Ensemble Kalman inversion for general likelihoods

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Authors
  Duffield, S
Singh, SS
Publication Date
2022
Journal Title
Statistics and Probability Letters
ISSN
0167-7152
Publisher
Elsevier BV
Type
Article
This Version
VoR
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Citation
Duffield, S., & Singh, S. (2022). Ensemble Kalman inversion for general likelihoods. Statistics and Probability Letters https://doi.org/10.1016/j.spl.2022.109523
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.
Sponsorship
EPSRC (1890282)
Engineering and Physical Sciences Research Council (EP/M508007/1)
Identifiers
External DOI: https://doi.org/10.1016/j.spl.2022.109523
This record's URL: https://www.repository.cam.ac.uk/handle/1810/336434
Rights
Attribution 4.0 International
Licence URL: https://creativecommons.org/licenses/by/4.0/
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Attribution 4.0 International
Except where otherwise noted, this item's licence is described as Attribution 4.0 International