Statistical Inference with Unnormalized Models
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Other divergences: density-power divergences, pseudo spherical divergence, etc. => robust estimators
Different from the intractable models talked in the MCMC, which only aims to get a sample from the untractable model, but here we need to get a (MLE) estimate of the parameter.
where the variational representation of KL divergences is that
where the Stein operator is defined by
more details can be found in the M-estimator.
the calculation procedure is as follows: