Optimally-weighted Estimators of the Maximum Mean Discrepancy for Likelihood-Free Inference

Published: 20 Jun 2023, Last Modified: 18 Jul 2023AABI 2023 - Fast TrackEveryoneRevisionsBibTeX
Keywords: Likelihood-free inference, Maximum mean discrepancy, approximate Bayesian computation
Abstract: Likelihood-free inference methods typically make use of a distance between simulated and real data. A common example is the maximum mean discrepancy (MMD), which has previously been used for approximate Bayesian computation, minimum distance estimation, generalised Bayesian inference, and within the nonparametric learning framework. The MMD is commonly estimated at a root-$m$ rate, where $m$ is the number of simulated samples. This can lead to significant computational challenges since a large $m$ is required to obtain an accurate estimate, which is crucial for parameter estimation. In this paper, we propose a novel estimator for the MMD with significantly improved sample complexity. The estimator is particularly well suited for computationally expensive smooth simulators with low- to mid-dimensional inputs. This claim is supported through both theoretical results and an extensive simulation study on benchmark simulators.
Publication Venue: ICML 2023
Submission Number: 1