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Ensemble Kalman inversion for general likelihoods

Published version
Peer-reviewed

Type

Article

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Authors

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

Volume Title

Publisher

Elsevier BV
Sponsorship
EPSRC (1890282)
Engineering and Physical Sciences Research Council (EP/M508007/1)