scorematchingad

Hyvärinen's score matching (Hyvärinen, 2005) https://jmlr.org/papers/v6/hyvarinen05a.html is a useful estimation technique when the normalising constant for a probability distribution is difficult to compute. This package implements score matching estimators using automatic differentiation in the 'CppAD' library https://github.com/coin-or/CppAD and is designed for quickly implementing score matching estimators for new models. Also available is general robustification (Windham, 1995) https://www.jstor.org/stable/2346159. Already in the package are estimators for directional distributions (Mardia, Kent and Laha, 2016) doi:10.48550/arXiv.1604.08470 and the flexible Polynomially-Tilted Pairwise Interaction model for compositional data. The latter estimators perform well when there are zeros in the compositions (Scealy and Wood, 2023) https://doi.org/10.1080/01621459.2021.2016422, even many zeros (Scealy, Hingee, Kent, and Wood, 2024) https://doi.org/10.1007/s11222-024-10412-w. A partial interface to CppAD's ADFun objects is also available.

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