Generative models have been shown to provide a powerful mechanism for anomaly detection by learning to model healthy or normal reference data which can subsequently be used as a baseline for scoring anomalies. In this work we consider denoising diffusion probabilistic models (DDPMs) for unsupervised anomaly detection. DDPMs have superior mode coverage over generative adversarial networks (GANs) and higher sample quality than variational autoencoders (VAEs). However, this comes at the expense of poor scalability and increased sampling times due to the long Markov chain sequences required. We observe that within reconstruction-based anomaly detection a full-length Markov chain diffusion is not required. This leads us to develop a novel partial diffusion anomaly detection strategy that scales to high-resolution imagery, named AnoDDPM. A secondary problem is that Gaussian diffusion fails to capture larger anomalies; therefore we develop a multi-scale simplex noise diffusion process that gives control over the target anomaly size. AnoDDPM with simplex noise is shown to significantly outperform both f-AnoGAN and Gaussian diffusion for the tumorous dataset of 22 T1weighted MRI scans (CCBS Edinburgh) qualitatively and quantitatively (improvement of +25.5% Sørensen-Dice coefficient, +17.6% IoU and +7.4% AUC).

Modern systems of official statistics require the timely estimation of area-specific densities of subpopulations. Ideally estimates should be based on precise geocoded information, which is not available because of confidentiality constraints. One approach for ensuring confidentiality is by rounding the geoco-ordinates. We propose multivariate non-parametric kernel density estimation that reverses the rounding process by using a measurement error model. The methodology is applied to the Berlin register of residents for deriving density estimates of ethnic minorities and aged people. Estimates are used for identifying areas with a need for new advisory centres for migrants and infrastructure for older people.

Summary The pseudo-marginal algorithm is a variant of the Metropolis–Hastings algorithm which samples asymptotically from a probability distribution when it is only possible to estimate unbiasedly an unnormalized version of its density. Practically, one has to trade off the computational resources used to obtain this estimator against the asymptotic variances of the ergodic averages obtained by the pseudo-marginal algorithm. Recent works on optimizing this trade-off rely on some strong assumptions, which can cast doubts over their practical relevance. In particular, they all assume that the distribution of the difference between the log-density, and its estimate is independent of the parameter value at which it is evaluated. Under regularity conditions we show that as the number of data points tends to infinity, a space-rescaled version of the pseudo-marginal chain converges weakly to another pseudo-marginal chain for which this assumption indeed holds. A study of this limiting chain allows us to provide parameter dimension-dependent guidelines on how to optimally scale a normal random walk proposal, and the number of Monte Carlo samples for the pseudo-marginal method in the large-sample regime. These findings complement and validate currently available results.

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Simulation models of scientific interest often lack a tractable likelihood function, precluding standard likelihood-based statistical inference. A popular likelihood-free method for inferring simulator parameters is approximate Bayesian computation, where an approximate posterior is sampled by comparing simulator output and observed data. However, effective measures of closeness between simulated and observed data are generally difficult to construct, particularly for time series data which are often high-dimensional and structurally complex. Existing approaches typically involve manually constructing summary statistics, requiring substantial domain expertise and experimentation, or rely on unrealistic assumptions such as iid data. Others are inappropriate in more complex settings like multivariate or irregularly sampled time series data. In this paper, we introduce the use of path signatures as a natural candidate feature set for constructing distances between time series data for use in approximate Bayesian computation algorithms. Our experiments show that such an approach can generate more accurate approximate Bayesian posteriors than existing techniques for time series models.