High-Dimensional Differential Parameter Inference in Exponential Family using Time Score Matching

This paper addresses differential inference in time-varying parametric probabilistic models, like graphical models with changing structures. Instead of estimating a high-dimensional model at each time and inferring changes later, we directly learn the differential parameter, i.e., the time derivative of the parameter. The main idea is treating the time score function of an exponential family model as a linear model of the differential parameter for direct estimation. We use time score matching to estimate parameter derivatives. We prove the consistency of a regularized score matching objective and demonstrate the finite-sample normality of a debiased estimator in high-dimensional settings. Our methodology effectively infers differential structures in high-dimensional graphical models, verified on simulated and real-world datasets.

Approximate Stein Classes for Truncated Density Estimation

Estimating truncated density models is difficult, as these models have intractable normalising constants and hard to satisfy boundary conditions. Score matching can be adapted to solve the truncated density estimation problem, but requires a continuous weighting function which takes zero at the boundary and is positive elsewhere. Evaluation of such a weighting function (and its gradient) often requires a closed-form expression of the truncation boundary and finding a solution to a complicated optimisation problem. In this paper, we propose approximate Stein classes, which in turn leads to a relaxed Stein identity for truncated density estimation. We develop a novel discrepancy measure, truncated kernelised Stein discrepancy (TKSD), which does not require fixing a weighting function in advance, and can be evaluated using only samples on the boundary. We estimate a truncated density model by minimising the Lagrangian dual of TKSD. Finally, experiments show the accuracy of our method to be an improvement over previous works even without the explicit functional form of the boundary.

Score Matching for Truncated Density Estimation on a Manifold

When observations are truncated, we are limited to an incomplete picture of our dataset. Recent methods deal with truncated density estimation problems by turning to score matching, where the access to the intractable normalising constant is not required. We present a novel extension to truncated score matching for a Riemannian manifold. Applications are presented for the von Mises-Fisher and Kent distributions on a two dimensional sphere in $\R^3$, as well as a real-world application of extreme storm observations in the USA. In simulated data experiments, our score matching estimator is able to approximate the true parameter values with a low estimation error and shows improvements over a maximum likelihood estimator.