However, evaluating whether or not these approximations can be trusted remains a challenge. Most approaches evaluate the posterior estimator only in expectation over the observation space.

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Bayesian network on a given graph.

However, evaluating whether or not these approximations can be trusted remains a challenge. Most approaches evaluate the posterior estimator only in expectation over the observation space.

Neural Posterior Estimation (NPE) has emerged as a powerful approach for amortized Bayesian inference when the true posterior $p(θ\mid y)$ is intractable or difficult to sample. But evaluating the accuracy of neural posterior estimates remains challenging, with existing methods suffering from major limitations. One appealing and widely used method is the classifier two-sample test (C2ST), where a classifier is trained to distinguish samples from the true posterior $p(θ\mid y)$ versus the learned NPE approximation $q(θ\mid y)$. Yet despite the appealing simplicity of the C2ST, its theoretical and practical reliability depend upon having access to a near-Bayes-optimal classifier -- a requirement that is rarely met and, at best, difficult to verify. Thus a major open question is: can a weak classifier still be useful for neural posterior validation? We show that the answer is yes. Building on the work of Hu and Lei, we present several key results for a conformal variant of the C2ST, which converts any trained classifier's scores -- even those of weak or over-fitted models -- into exact finite-sample p-values. We establish two key theoretical properties of the conformal C2ST: (i) finite-sample Type-I error control, and (ii) non-trivial power that degrades gently in tandem with the error of the trained classifier. The upshot is that even weak, biased, or overfit classifiers can still yield powerful and reliable tests. Empirically, the Conformal C2ST outperforms classical discriminative tests across a wide range of benchmarks. These results reveal the under appreciated strength of weak classifiers for validating neural posterior estimates, establishing the conformal C2ST as a practical, theoretically grounded diagnostic for modern simulation-based inference.

Transformers have emerged as the dominant architecture in the field of deep learning, with a broad range of applications and remarkable in-context learning (ICL) capabilities. While not yet fully understood, ICL has already proved to be an intriguing phenomenon, allowing transformers to learn in context -- without requiring further training. In this paper, we further advance the understanding of ICL by demonstrating that transformers can perform full Bayesian inference for commonly used statistical models in context. More specifically, we introduce a general framework that builds on ideas from prior fitted networks and continuous normalizing flows which enables us to infer complex posterior distributions for methods such as generalized linear models and latent factor models. Extensive experiments on real-world datasets demonstrate that our ICL approach yields posterior samples that are similar in quality to state-of-the-art MCMC or variational inference methods not operating in context.

Generative models are invaluable in many fields of science because of their ability to capture high-dimensional and complicated distributions, such as photo-realistic images, protein structures, and connectomes. How do we evaluate the samples these models generate? This work aims to provide an accessible entry point to understanding popular notions of statistical distances, requiring only foundational knowledge in mathematics and statistics. We focus on four commonly used notions of statistical distances representing different methodologies: Using low-dimensional projections (Sliced-Wasserstein; SW), obtaining a distance using classifiers (Classifier Two-Sample Tests; C2ST), using embeddings through kernels (Maximum Mean Discrepancy; MMD), or neural networks (Fr\'echet Inception Distance; FID). We highlight the intuition behind each distance and explain their merits, scalability, complexity, and pitfalls. To demonstrate how these distances are used in practice, we evaluate generative models from different scientific domains, namely a model of decision making and a model generating medical images. We showcase that distinct distances can give different results on similar data. Through this guide, we aim to help researchers to use, interpret, and evaluate statistical distances for generative models in science.

Distribution shifts remain a fundamental problem for the safe application of machine learning systems. If undetected, they may impact the real-world performance of such systems or will at least render original performance claims invalid. In this paper, we focus on the detection of subgroup shifts, a type of distribution shift that can occur when subgroups have a different prevalence during validation compared to the deployment setting. For example, algorithms developed on data from various acquisition settings may be predominantly applied in hospitals with lower quality data acquisition, leading to an inadvertent performance drop. We formulate subgroup shift detection in the framework of statistical hypothesis testing and show that recent state-of-the-art statistical tests can be effectively applied to subgroup shift detection on medical imaging data. We provide synthetic experiments as well as extensive evaluation on clinically meaningful subgroup shifts on histopathology as well as retinal fundus images. We conclude that classifier-based subgroup shift detection tests could be a particularly useful tool for post-market surveillance of deployed ML systems.

Likelihood-to-evidence ratio estimation is usually cast as either a binary (NRE-A) or a multiclass (NRE-B) classification task. In contrast to the binary classification framework, the current formulation of the multiclass version has an intrinsic and unknown bias term, making otherwise informative diagnostics unreliable. We propose a multiclass framework free from the bias inherent to NRE-B at optimum, leaving us in the position to run diagnostics that practitioners depend on. It also recovers NRE-A in one corner case and NRE-B in the limiting case. For fair comparison, we benchmark the behavior of all algorithms in both familiar and novel training regimes: when jointly drawn data is unlimited, when data is fixed but prior draws are unlimited, and in the commonplace fixed data and parameters setting. Our investigations reveal that the highest performing models are distant from the competitors (NRE-A, NRE-B) in hyperparameter space. We make a recommendation for hyperparameters distinct from the previous models. We suggest a bound on the mutual information as a performance metric for simulation-based inference methods, without the need for posterior samples, and provide experimental results.

We investigate novel parameter estimation and goodness-of-fit (GOF) assessment methods for large-scale confirmatory item factor analysis (IFA) with many respondents, items, and latent factors. For parameter estimation, we extend Urban and Bauer's (2021) deep learning algorithm for exploratory IFA to the confirmatory setting by showing how to handle user-defined constraints on loadings and factor correlations. For GOF assessment, we explore new simulation-based tests and indices. In particular, we consider extensions of the classifier two-sample test (C2ST), a method that tests whether a machine learning classifier can distinguish between observed data and synthetic data sampled from a fitted IFA model. The C2ST provides a flexible framework that integrates overall model fit, piece-wise fit, and person fit. Proposed extensions include a C2ST-based test of approximate fit in which the user specifies what percentage of observed data can be distinguished from synthetic data as well as a C2ST-based relative fit index that is similar in spirit to the relative fit indices used in structural equation modeling. Via simulation studies, we first show that the confirmatory extension of Urban and Bauer's (2021) algorithm produces more accurate parameter estimates as the sample size increases and obtains comparable estimates to a state-of-the-art confirmatory IFA estimation procedure in less time. We next show that the C2ST-based test of approximate fit controls the empirical type I error rate and detects when the number of latent factors is misspecified. Finally, we empirically investigate how the sampling distribution of the C2ST-based relative fit index depends on the sample size.