Adaptive Kernel Density Estimation proposal in gravitational wave data analysis

Abstract

Markov Chain Monte Carlo approach is frequently used within Bayesian framework to sample the target posterior distribution. Its efficiency strongly depends on the proposal used to build the chain. The best jump proposal is the one that closely resembles the unknown target distribution, therefore we suggest an adaptive proposal based on Kernel Density Estimation (KDE). We group parameters of the model according to their correlation and build KDE based on the already accepted points for each group. We adapt the KDE-based proposal until it stabilizes. We argue that such a proposal could be helpful in applications where the data volume is increasing and in the hyper-model sampling. We tested it on several astrophysical datasets (IPTA and LISA) and have shown that in some cases KDE-based proposal also helps to reduce the autocorrelation length of the chains. The efficiency of this proposal is reduces in case of the strong correlations between a large group of parameters.

arXiv comment12 pages, 11 figures

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• Validating Sequential Monte Carlo for Gravitational-Wave Inference
• Conformalised data synthesis
• Extracting overlapping gravitational-wave signals of galactic compact binaries: a mini review