Removing the fat from your posterior samples with margarine

@article{Bevins2022RemovingTF,
  title={Removing the fat from your posterior samples with margarine},
  author={H. T. J. Bevins and Will Handley and Pablo Lemos and Peter H Sims and Eloy de Lera Acedo and Anastasia Fialkov and Justin Alsing},
  journal={ArXiv},
  year={2022},
  volume={abs/2205.12841}
}
Bayesian workflows often require the introduction of nuisance parameters, yet for core science modelling one needs access to a marginal posterior density. In this work we use masked autoregressive flows and kernel density estimators to encapsulate the marginal posterior, allowing us to compute marginal Kullback– Leibler divergences and marginal Bayesian model dimensionalities in addition to generating samples and computing marginal log probabilities. We demonstrate this in application to topical… 

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Marginal Bayesian Statistics Using Masked Autoregressive Flows and Kernel Density Estimators with Examples in Cosmology
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