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Summary A growing number of generative statistical models do not permit the numerical evaluation of their likelihood functions. Approximate Bayesian computation has become a popular approach to overcome this issue, in which one simulates synthetic data sets given parameters and compares summaries of these data sets with the corresponding observed values. We propose to avoid the use of summaries and the ensuing loss of information by instead using the Wasserstein distance between the empirical distributions of the observed and synthetic data. This generalizes the well-known approach of using order statistics within approximate Bayesian computation to arbitrary dimensions. We describe how recently developed approximations of the Wasserstein distance allow the method to scale to realistic data sizes, and we propose a new distance based on the Hilbert space filling curve. We provide a theoretical study of the method proposed, describing consistency as the threshold goes to 0 while the observations are kept fixed, and concentration properties as the number of observations grows. Various extensions to time series data are discussed. The approach is illustrated on various examples, including univariate and multivariate g-and-k distributions, a toggle switch model from systems biology, a queuing model and a Lévy-driven stochastic volatility model.
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On parameter estimation with the Wasserstein distance
Abstract Statistical inference can be performed by minimizing, over the parameter space, the Wasserstein distance between model distributions and the empirical distribution of the data. We study asymptotic properties of such minimum Wasserstein distance estimators, complementing results derived by Bassetti, Bodini and Regazzini in 2006. In particular, our results cover the misspecified setting, in which the data-generating process is not assumed to be part of the family of distributions described by the model. Our results are motivated by recent applications of minimum Wasserstein estimators to complex generative models. We discuss some difficulties arising in the numerical approximation of these estimators. Two of our numerical examples ($$g$$-and-$$\kappa$$ and sum of log-normals) are taken from the literature on approximate Bayesian computation and have likelihood functions that are not analytically tractable. Two other examples involve misspecified models.
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- Award ID(s):
- 1712872
- PAR ID:
- 10121900
- Publisher / Repository:
- Oxford University Press
- Date Published:
- Journal Name:
- Information and Inference: A Journal of the IMA
- Volume:
- 8
- Issue:
- 4
- ISSN:
- 2049-8764
- Page Range / eLocation ID:
- p. 657-676
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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