Ensemble Kalman inversion for general likelihoods

Duffield, S; Singh, SS

View / Open Files

Published version (PDF, 1Mb)

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

Metadata

Show full item record

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/

Statistics

Total file downloads (since January 2020). For more information on metrics see the IRUS guide.

Except where otherwise noted, this item's licence is described as Attribution 4.0 International