  Understanding multivariate dependencies in both the bulk and the tails of a
distribution is an important problem for many applications, such as ensuring
algorithms are robust to observations that are infrequent but have devastating
effects. Archimax copulas are a family of distributions endowed with a precise
representation that allows simultaneous modeling of the bulk and the tails of a
distribution. Rather than separating the two as is typically done in practice,
incorporating additional information from the bulk may improve inference of the
tails, where observations are limited. Building on the stochastic
representation of Archimax copulas, we develop a non-parametric inference
method and sampling algorithm. Our proposed methods, to the best of our
knowledge, are the first that allow for highly flexible and scalable inference
and sampling algorithms, enabling the increased use of Archimax copulas in
practical settings. We experimentally compare to state-of-the-art density
modeling techniques, and the results suggest that the proposed method
effectively extrapolates to the tails while scaling to higher dimensional data.
Our findings suggest that the proposed algorithms can be used in a variety of
applications where understanding the interplay between the bulk and the tails
of a distribution is necessary, such as healthcare and safety.
