On Unbiased Score Estimation for Partially Observed Diffusions

We consider the problem of statistical inference for a class of partially-observed diffusion processes, with discretely-observed data and finite-dimensional parameters. We construct unbiased estimators of the score function, i.e. the gradient of the log-likelihood function with respect to parameters, with no time-discretization bias. These estimators can be straightforwardly employed within stochastic gradient methods to perform maximum likelihood estimation or Bayesian inference. As our proposed methodology only requires access to a time-discretization scheme such as the Euler-Maruyama method, it is applicable to a wide class of diffusion processes and observation models. Our approach is based on a representation of the score as a smoothing expectation using Girsanov theorem, and a novel adaptation of the randomization schemes developed in Mcleish [2011], Rhee and Glynn [2015], Jacob et al. [2020a]. This allows one to remove the time-discretization bias and burn-in bias when computing smoothing expectations using the conditional particle filter of Andrieu et al. [2010]. Central to our approach is the development of new couplings of multiple conditional particle filters. We prove under assumptions that our estimators are unbiased and have finite variance. The methodology is illustrated on several challenging applications from population ecology and neuroscience.

Ajay Jasra was supported by KAUST baseline funding. Jeremy Heng was funded by CY Initiative of Excellence (grant “Investissements d’Avenir” ANR-16-IDEX-0008).



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