Simulation-based inference via telescoping ratio estimation for trawl processes

• URL: http://arxiv.org/abs/2510.04042v2
• Date: Wed, 08 Oct 2025 04:20:39 GMT
• Title: Simulation-based inference via telescoping ratio estimation for trawl processes
• Authors: Dan Leonte, Raphaël Huser, Almut E. D. Veraart,
• Abstract summary: We propose a fast, accurate, sample-efficient Markov-based inference framework for intractable processes.<n>We use Chebyshev approximations to efficiently generate independent posterior samples, enabling accurate inference even when chain Monte Carlo methods mix poorly.<n>We demonstrate the method's effectiveness on trawl processes, a class of flexible infinitely divisible models that applied to energy demand data.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The growing availability of large and complex datasets has increased interest in temporal stochastic processes that can capture stylized facts such as marginal skewness, non-Gaussian tails, long memory, and even non-Markovian dynamics. While such models are often easy to simulate from, parameter estimation remains challenging. Simulation-based inference (SBI) offers a promising way forward, but existing methods typically require large training datasets or complex architectures and frequently yield confidence (credible) regions that fail to attain their nominal values, raising doubts on the reliability of estimates for the very features that motivate the use of these models. To address these challenges, we propose a fast and accurate, sample-efficient SBI framework for amortized posterior inference applicable to intractable stochastic processes. The proposed approach relies on two main steps: first, we learn the posterior density by decomposing it sequentially across parameter dimensions. Then, we use Chebyshev polynomial approximations to efficiently generate independent posterior samples, enabling accurate inference even when Markov chain Monte Carlo methods mix poorly. We further develop novel diagnostic tools for SBI in this context, as well as post-hoc calibration techniques; the latter not only lead to performance improvements of the learned inferential tool, but also to the ability to reuse it directly with new time series of varying lengths, thus amortizing the training cost. We demonstrate the method's effectiveness on trawl processes, a class of flexible infinitely divisible models that generalize univariate Gaussian processes, applied to energy demand data.

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