Simulation based composite likelihood.

IF 1.6 2区数学 Q2 COMPUTER SCIENCE, THEORY & METHODS Statistics and Computing Pub Date : 2025-01-01 Epub Date: 2025-02-25 DOI:10.1007/s11222-025-10584-z

Lorenzo Rimella, Chris Jewell, Paul Fearnhead

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引用次数: 0

Abstract

Inference for high-dimensional hidden Markov models is challenging due to the exponential-in-dimension computational cost of calculating the likelihood. To address this issue, we introduce an innovative composite likelihood approach called "Simulation Based Composite Likelihood" (SimBa-CL). With SimBa-CL, we approximate the likelihood by the product of its marginals, which we estimate using Monte Carlo sampling. In a similar vein to approximate Bayesian computation (ABC), SimBa-CL requires multiple simulations from the model, but, in contrast to ABC, it provides a likelihood approximation that guides the optimization of the parameters. Leveraging automatic differentiation libraries, it is simple to calculate gradients and Hessians to not only speed up optimization but also to build approximate confidence sets. We present extensive empirical results which validate our theory and demonstrate its advantage over SMC, and apply SimBa-CL to real-world Aphtovirus data.

Supplementary information: The online version contains supplementary material available at 10.1007/s11222-025-10584-z.

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来源期刊

Statistics and Computing 数学-计算机：理论方法

CiteScore

3.20

自引率

4.50%

发文量

审稿时长

6-12 weeks

期刊介绍： Statistics and Computing is a bi-monthly refereed journal which publishes papers covering the range of the interface between the statistical and computing sciences. In particular, it addresses the use of statistical concepts in computing science, for example in machine learning, computer vision and data analytics, as well as the use of computers in data modelling, prediction and analysis. Specific topics which are covered include: techniques for evaluating analytically intractable problems such as bootstrap resampling, Markov chain Monte Carlo, sequential Monte Carlo, approximate Bayesian computation, search and optimization methods, stochastic simulation and Monte Carlo, graphics, computer environments, statistical approaches to software errors, information retrieval, machine learning, statistics of databases and database technology, huge data sets and big data analytics, computer algebra, graphical models, image processing, tomography, inverse problems and uncertainty quantification. In addition, the journal contains original research reports, authoritative review papers, discussed papers, and occasional special issues on particular topics or carrying proceedings of relevant conferences. Statistics and Computing also publishes book review and software review sections.