Generalized score matching for general domains

DOI10.1093/IMAIAI/IAAA041MaRDI QIDQ5095268zbMATH OpenOpenAlexFDO

Authors Shiqing Yu, Mathias Drton, Ali Shojaie

Publication date 5 August 2022

Published in Information and Inference: A Journal of the IMA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.11428

zbMATH Keywords

density estimationgraphical modelnormalizing constantsparsitytruncated distributions

Mathematics Subject Classification ID

Density estimation (62G07)

Abstract: Estimation of density functions supported on general domains arises when the data is naturally restricted to a proper subset of the real space. This problem is complicated by typically intractable normalizing constants. Score matching provides a powerful tool for estimating densities with such intractable normalizing constants, but as originally proposed is limited to densities on $mathbb{R}^m$ and $mathbb{R}_{+}^m$. In this paper, we offer a natural generalization of score matching that accommodates densities supported on a very general class of domains. We apply the framework to truncated graphical and pairwise interaction models, and provide theoretical guarantees for the resulting estimators. We also generalize a recently proposed method from bounded to unbounded domains, and empirically demonstrate the advantages of our method.

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(6)

• Some extensions of score matching
• Estimation of non-normalized statistical models by score matching
• Generalized score matching for non-negative data
• Optimal convex M-estimation via score matching
• Stein's method of moments
• Score matching for differential abundance testing of compositional high-throughput sequencing data

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