Quasi-Bayes meets Vines

TL;DR

This paper introduces Quasi-Bayesian Vine (QB-Vine), a novel high-dimensional density estimation method that combines recursive QB construction for marginals with vine copulas for dependence, achieving efficient, accurate results with few samples.

Contribution

It extends Quasi-Bayesian prediction to high dimensions using vine copulas and provides an analytical, non-parametric density estimator with dimension-independent convergence rates.

Findings

Handles high-dimensional distributions (~64 dimensions) effectively.

Requires few samples (~200) for training.

Outperforms state-of-the-art density estimation methods.

Abstract

Recently proposed quasi-Bayesian (QB) methods initiated a new era in Bayesian computation by directly constructing the Bayesian predictive distribution through recursion, removing the need for expensive computations involved in sampling the Bayesian posterior distribution. This has proved to be data-efficient for univariate predictions, but extensions to multiple dimensions rely on a conditional decomposition resulting from predefined assumptions on the kernel of the Dirichlet Process Mixture Model, which is the implicit nonparametric model used. Here, we propose a different way to extend Quasi-Bayesian prediction to high dimensions through the use of Sklar's theorem by decomposing the predictive distribution into one-dimensional predictive marginals and a high-dimensional copula. Thus, we use the efficient recursive QB construction for the one-dimensional marginals and model the dependence using highly expressive vine copulas. Further, we tune hyperparameters using robust divergences (eg. energy score) and show that our proposed Quasi-Bayesian Vine (QB-Vine) is a fully non-parametric density estimator with \emph{an analytical form} and convergence rate independent of the dimension of data in some situations. Our experiments illustrate that the QB-Vine is appropriate for high dimensional distributions ($\sim$64), needs very few samples to train ($\sim$200) and outperforms state-of-the-art methods with analytical forms for density estimation and supervised tasks by a considerable margin.