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statistical modelers in finance

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Generalized score matching improves parameter learning on constrained domains

Generalized Score Matching for Parameter Estimation on Convex Domains

Abstract: Maximum likelihood (ML) estimation is a principled and statistically efficient approach for learning probabilistic models. However, for unnormalized models, ML estimation requires evaluating the partition function and differentiating through it, which may not always be tractable. Score matching provides a practically viable alternative that circumvents this obstacle by fitting the score in a way that eliminates dependence on the normalizing constant. We derive the generalized score matching objective on a convex subset of $\mathbb{R}^{d}$ constructively starting from Minimum Probability Flow (MPF) learning, and show how classical score matching as well as domain-adapted variants for non-negative data arise naturally within the proposed framework. We show that the resulting objective is a {\it proper local scoring rule} of second-order, which provides the theoretical guarantee that the true density is recovered when the objective is minimized. Furthermore, for a model belonging to the exponential family, we establish convexity of the objective together with consistency of the finite-sample estimator under standard regularity conditions. Our derivation sheds new light on the scope and applicability of generalized score matching in various problem settings. We compare generalized score matching-based estimators on constrained domains, where the partition function is analytically intractable. We provide experimental results on parameter estimation for model densities belonging to the exponential family defined over convex subsets of $\mathbb{R}^{d}$, and a generative modeling use-case to demonstrate broader applicability of the proposed generalized score matching framework.

Thu 10 SeptMachine Learning
The gist
Estimating the parameters of complex models often requires calculating difficult normalization factors, which can be computationally challenging. The authors propose a generalized version of score matching, a technique that avoids these difficult calculations, tailored to data constrained within convex shapes. Their method guarantees recovering the true model under certain assumptions and works well particularly for models within the exponential family. They tested their approach on tasks where the data lies within such constrained domains, showing it can estimate parameters reliably without computing tricky normalizing constants.
Open 2609.11521v1