Simulation based composite likelihood

Inference for high-dimensional hidden Markov models is challenging due to the exponential-in-dimension computational cost of calculating the likelihood. To address this issue, we introduce an innovative composite likelihood approach called “Simulation Based Composite Likelihood” (SimBa-CL). With SimBa-CL, we approximate the likelihood by the product of its marginals, which we estimate using Monte Carlo sampling. In a similar vein to approximate Bayesian computation (ABC), SimBa-CL requires multiple simulations from the model, but, in contrast to ABC, it provides a likelihood approximation that guides the optimization of the parameters. Leveraging automatic differentiation libraries, it is simple to calculate gradients and Hessians to not only speed up optimization but also to build approximate confidence sets. We present extensive empirical results which validate our theory and demonstrate its advantage over SMC, and apply SimBa-CL to real-world Aphtovirus data.