Amortised Likelihood-free Inference for Expensive Time-series Simulators with Signatured Ratio Estimation

Joel Dyer · Patrick Cannon · Sebastian Schmon

[ Abstract ]
Tue 29 Mar 1 a.m. PDT — 2:30 a.m. PDT


Simulation models of complex dynamics in the natural and social sciences commonly lack a tractable likelihood function, rendering traditional likelihood-based statistical inference impossible. Recent advances in machine learning have introduced novel algorithms for estimating otherwise intractable likelihood functions using a likelihood ratio trick based on binary classifiers. Consequently, efficient likelihood approximations can be obtained whenever good probabilistic classifiers can be constructed. We propose a kernel classifier for sequential data using path signatures based on the recently introduced signature kernel. We demonstrate that the representative power of signatures yields a highly performant classifier, even in the crucially important case where sample numbers are low. In such scenarios, our approach can outperform sophisticated neural networks for common posterior inference tasks.

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