Ensemble Kalman inversion for general likelihoods
Published version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Duffield, S https://orcid.org/0000-0002-8656-8734
Singh, SS
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.
Description
Keywords
Ensemble Kalman inversion, Approximate Bayesian computation, Bayesian inference, Intractable likelihoods
Journal Title
Statistics and Probability Letters
Conference Name
Journal ISSN
0167-7152
1879-2103
1879-2103
Volume Title
Publisher
Elsevier BV
Publisher DOI
Sponsorship
EPSRC (1890282)
Engineering and Physical Sciences Research Council (EP/M508007/1)
Engineering and Physical Sciences Research Council (EP/M508007/1)