**A** great Bayesian Analysis webinar this afternoon with well-balanced presentations by Steve MacEachern and John Lewis, and original discussions by Bertrand Clarke and Fabrizio Rugieri. Which attracted 122 participants. I particularly enjoyed Bertrand’s points that likelihoods were more general than models [made in 6 different wordings!] and that this paper was closer to the M-open perspective. I think I eventually got the reason why the approach could be seen as an ABC with ε=0, since the simulated y’s all get the right statistic, but this presentation does not bring a strong argument in favour of the restricted likelihood approach, when considering the methodological and computational effort. The discussion also made me wonder if tools like VAEs could be used towards approximating the distribution of T(y) conditional on the parameter θ. This is also an opportunity to thank my friend Michele Guindani for his hard work as Editor of Bayesian Analysis and in particular for keeping the discussion tradition thriving!

## Archive for conditional sampling

## BA webinar with discussion

Posted in Statistics with tags #BAjournal, ABC, Bayesian Analysis, conditional sampling, discussion, insufficiency, MCMC, restricted likelihood, webinar on February 8, 2022 by xi'an## GANs as density estimators

Posted in Books, Statistics with tags arXiv, Bayesian GANs, conditional sampling, Jacobian, MCMC, neural density estimator, normalising flow, push-forward distribution on October 15, 2021 by xi'an**I** recently read an arXival entitled Conditional Sampling With Monotone GAN by Kovakchi et al., who construct a mapping T that transforms or pushes forward a reference measure þ(dθ) like a multivariate Normal distribution to a target conditional distribution ð(dθ|x). Which makes the proposal a type of normalising flow, except it does not require a Jacobian derivation… The mapping T is monotonous and block triangular in order to be invertible. It is learned from data by minimising a functional divergence between Tþ(dθ) and ð(dθ|x), for instance GAN least square or GAN Wasserstein penalties and representing T as a neural network. Where monotonicity is imposed by a Lagrangian. The authors “note that global minimizers of [their GAN criterion] can also be used for conditional density estimation” but I fail to understand the distinction in that once T is constructed, the estimated conditional density is automatically available. However my main source of puzzlement is at the worth of this construction, since it does not provide an exact generative process for the conditional distribution, while requiring many generations from the joint distribution. Rather than a comparison with MCMC, which is not applicable in untractable generative models, a comparison with less expensive ABC solutions would have been appropriate, I think. And the paper is missing any quantification on the quality or asymptotics of the density estimate provided by this involved approximation, as most of the recent literature on normalising flows and friends. (A point acknowledged by the authors in the supplementary material section.)

“In this regard, the MGANs approach introduced in the article belongs to the category of sampling techniques such as MCMC, whose goal is to generate independent samples from the law of y|x, as opposed to assuming some structural form of the probability measure directly.”

I am unsure I understand the above remark as MCMC methods are intrinsically linked with the exact probability distribution, exploiting either some conditional representations as in Gibbs or at the very least the ability to compute the joint density…