# Markov chain Monte Carlo importance samplers for Bayesian models with intractable likelihoods

## TL;DR

This paper develops and analyzes Markov chain Monte Carlo importance sampling methods for Bayesian models with intractable likelihoods, providing convergence theorems, efficiency comparisons, and applications to complex stochastic models.

## Contribution

It introduces a novel MCMC-IS framework with convergence results, handles pseudo-marginal and reweighted estimators, and applies these methods to diffusion processes and ABC, enhancing inference accuracy.

## Key findings

- Convergence and CLT established for MCMC-IS estimators.
- Efficiency comparisons with pseudo-marginal and ABC methods.
- Successful application to parameter inference in stochastic differential equations.

## Abstract

We consider the efficient use of an approximation within Markov chain Monte Carlo (MCMC), with subsequent importance sampling (IS) correction of the Markov chain inexact output, leading to asymptotically exact inference. We detail convergence and central limit theorems for the resulting MCMC-IS estimators. We also consider the case where the approximate Markov chain is pseudo-marginal, requiring unbiased estimators for its approximate marginal target. Convergence results with asymptotic variance formulae are shown for this case, and for the case where the IS weights based on unbiased estimators are only calculated for distinct output samples of the so-called `jump' chain, which, with a suitable reweighting, allows for improved efficiency. As the IS type weights may assume negative values, extended classes of unbiased estimators may be used for the IS type correction, such as those obtained from randomised multilevel Monte Carlo. Using Euler approximations and coupling of particle filters, we apply the resulting estimator using randomised weights to the problem of parameter inference for partially observed It\^{o} diffusions. Convergence of the estimator is verified to hold under regularity assumptions which do not require that the diffusion can be simulated exactly. In the context of approximate Bayesian computation (ABC), we suggest an adaptive MCMC approach to deal with the selection of a suitably large tolerance, with IS correction possible to finer tolerance, and with provided approximate confidence intervals. A prominent question is the efficiency of MCMC-IS compared to standard direct MCMC, such as pseudo-marginal, delayed acceptance, and ABC-MCMC. We provide a comparison criterion which generalises the covariance ordering to the IS setting.