Simulation based composite likelihood.

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Tác giả: Paul Fearnhead, Chris Jewell, Lorenzo Rimella

Ngôn ngữ: eng

Ký hiệu phân loại: 785.13 *Trios

Thông tin xuất bản: United States : Statistics and computing , 2025

Mô tả vật lý:

Bộ sưu tập: NCBI

ID: 682338

UNLABELLED: 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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