Likelihood-Free Parameter Estimation with Neural Bayes Estimators

• URL: http://arxiv.org/abs/2208.12942v5
• Date: Wed, 4 Oct 2023 06:08:20 GMT
• Title: Likelihood-Free Parameter Estimation with Neural Bayes Estimators
• Authors: Matthew Sainsbury-Dale, Andrew Zammit-Mangion, and Rapha\"el Huser
• Abstract summary: Neural point estimators are neural networks that map data to parameter point estimates. We aim to increase the awareness of statisticians to this relatively new inferential tool, and to facilitate its adoption by providing user-friendly open-source software.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Neural point estimators are neural networks that map data to parameter point estimates. They are fast, likelihood free and, due to their amortised nature, amenable to fast bootstrap-based uncertainty quantification. In this paper, we aim to increase the awareness of statisticians to this relatively new inferential tool, and to facilitate its adoption by providing user-friendly open-source software. We also give attention to the ubiquitous problem of making inference from replicated data, which we address in the neural setting using permutation-invariant neural networks. Through extensive simulation studies we show that these neural point estimators can quickly and optimally (in a Bayes sense) estimate parameters in weakly-identified and highly-parameterised models with relative ease. We demonstrate their applicability through an analysis of extreme sea-surface temperature in the Red Sea where, after training, we obtain parameter estimates and bootstrap-based confidence intervals from hundreds of spatial fields in a fraction of a second.

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