Related papers: Direct Amortized Likelihood Ratio Estimation
Accurate simulation of complex physical systems enables the development, testing, and certification of control strategies before they are deployed into the real systems. As simulators become more advanced, the analytical tractability of the…
A new likelihood based AR approximation is given for ARMA models. The usual algorithms for the computation of the likelihood of an ARMA model require $O(n)$ flops per function evaluation. Using our new approximation, an algorithm is…
The Heuristic Ratio Estimation (HRE) approach proposes a new way of using the pairwise comparisons matrix. It allows the assumption that the weights of some alternatives (herein referred to as concepts) are known and fixed, hence the weight…
Simulation-based methods for statistical inference have evolved dramatically over the past 50 years, keeping pace with technological advancements. The field is undergoing a new revolution as it embraces the representational capacity of…
In this paper, we propose a cost function that corresponds to the mean square errors between estimated values and true values of conditional probability in a discrete distribution. We then obtain the values that minimize the cost function.…
The purpose of this work is to improve the efficiency in estimating the average causal effect (ACE) on the survival scale where right-censoring exists and high-dimensional covariate information is available. We propose new estimators using…
Simulation-Based Inference (SBI) is an approach to statistical inference where simulations from an assumed model are used to construct estimators and confidence sets. SBI is often used when the likelihood is intractable and to construct…
We introduce the sequential neural posterior and likelihood approximation (SNPLA) algorithm. SNPLA is a normalizing flows-based algorithm for inference in implicit models, and therefore is a simulation-based inference method that only…
We present a new unbiased algorithm that estimates the expected value of f(U) via Monte Carlo simulation, where U is a vector of d independent random variables, and f is a function of d variables. We assume that f does not depend equally on…
Estimation of density derivatives is a versatile tool in statistical data analysis. A naive approach is to first estimate the density and then compute its derivative. However, such a two-step approach does not work well because a good…
We propose a novel approach to parameter estimation for simulator-based statistical models with intractable likelihood. Our proposed method involves recursive application of kernel ABC and kernel herding to the same observed data. We…
Comparing competing mathematical models of complex natural processes is a shared goal among many branches of science. The Bayesian probabilistic framework offers a principled way to perform model comparison and extract useful metrics for…
We study the problem of likelihood maximization when the likelihood function is intractable but model simulations are readily available. We propose a sequential, gradient-based optimization method that directly models the Fisher score based…
Integrating probability and nonprobability survey samples is an important problem in modern survey sampling. Nonprobability samples often contain rich outcome information but may lack population representativeness, whereas probability…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
Inference for models with recursively defined likelihoods is computationally demanding, limiting scalability to large datasets. We propose a stabilised weighted subsampling methodology for accelerated inference based on an unbiased…
The frequentist method of simulated minimum distance (SMD) is widely used in economics to estimate complex models with an intractable likelihood. In other disciplines, a Bayesian approach known as Approximate Bayesian Computation (ABC) is…
Ionides, King et al. (see e.g. Inference for nonlinear dynamical systems, PNAS 103) have recently introduced an original approach to perform maximum likelihood parameter estimation in state-space models which only requires being able to…
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…
We propose a randomized a posteriori error estimator for reduced order approximations of parametrized (partial) differential equations. The error estimator has several important properties: the effectivity is close to unity with prescribed…