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• A novel sparse density estimator named GCE is presented for dependence modeling. • A CE method using GCE is developed to get the IS-PDF of correlated RVs (CRVs) • Composite system reliability evaluation is greatly accelerated using IS-PDF of CRVs. Multivariate kernel density estimation (KDE) is powerful for dependence modeling, but producing a non-sparse probability density estimation model. To address this issue, a sparse density estimation technique termed as generalized cross-entropy (GCE) density estimator, is proposed to estimate the joint probability density function (PDF) of correlated random variables (RVs). Moreover, to effectively accelerate the composite systems reliability evaluation, a unified cross-entropy based importance sampling (CEIS) method accommodating both GCE and KDE density estimators is presented, and a creative CE optimization approach is also developed based on the composition sampling algorithm, through which the analytical updating rules of IS-PDF parameters can be derived even though GCE and KDE estimators do not belong to the exponential distribution family (EF). Compared to the KDE estimator, the GCE estimator encounters much less dimensionality difficulty in CE optimization due to the model sparsity merit, and consequently achieves more accurate IS-PDF parameters and better CEIS efficiency. The superiority of GCE estimator over KDE estimator in correlation modeling and CEIS is verified by several numerical tests. [ABSTRACT FROM AUTHOR]