Likelihood-free inference by ratio estimation

Owen M. Thomas, Ritabrata Dutta, Jukka Corander, Samuel Kaski, Michael Gutmann

Tutkimustuotos: LehtiartikkeliArticleScientificvertaisarvioitu

6 Lataukset (Pure)

Abstrakti

We consider the problem of parametric statistical inference when likelihood computations are prohibitively expensive but sampling from the model is possible. Several so-called likelihood-free methods have been developed to perform inference in the absence of a likelihood function. The popular synthetic likelihood approach infers the parameters by modelling summary statistics of the data by a Gaussian probability distribution. In another popular approach called approximate Bayesian computation, the inference is performed by identifying parameter values for which the summary statistics of the simulated data are close to those of the observed data. Synthetic likelihood is easier to use as no measure of “closeness” is required but the Gaussianity assumption is often limiting. Moreover, both approaches require judiciously chosen summary statistics. We here present an alternative inference approach that is as easy to use as synthetic likelihood but not as restricted in its assumptions, and that, in a natural way, enables automatic selection of relevant summary statistic from a large set of candidates. The basic idea is to frame the problem of estimating the posterior as a problem of estimating the ratio between the data generating distribution and the marginal distribution. This problem can be solved by logistic regression, and including regularising penalty terms enables automatic selection of the summary statistics relevant to the inference task. We illustrate the general theory on canonical examples and employ it to perform inference for challenging stochastic nonlinear dynamical systems and high-dimensional summary statistics.
AlkuperäiskieliEnglanti
Sivumäärä31
JulkaisuBayesian Analysis
Vuosikerta2021
Varhainen verkossa julkaisun päivämäärä2021
DOI - pysyväislinkit
TilaSähköinen julkaisu (e-pub) ennen painettua julkistusta - 2021
OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

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