Ensemble Kalman inversion for general likelihoods

Samuel Duffield and Sumeetpal S. Singh

Statistics & Probability Letters, 2022, vol. 187, issue C

Abstract: In this letter we generalise Ensemble Kalman inversion techniques to general Bayesian models where previously they were restricted to additive Gaussian likelihoods — all in the difficult setting where the likelihood can be sampled from, but its density not necessarily evaluated.

Keywords: Ensemble Kalman inversion; Approximate Bayesian computation; Bayesian inference; Intractable likelihoods (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109523

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