Fast and flexible inference of joint distributions from their marginals

Copyright 2019 by the author(s). Across the social sciences and elsewhere, practitioners frequently have to reason about relationships between random variables, despite lacking joint observations of the variables. This is sometimes called an "ecological" inference; given samples from the marginal distributions of the variables, one attempts to infer their joint distribution. The problem is inherently ill-posed, yet only a few models have been proposed for bringing prior information into the problem, often relying on restrictive or unrealistic assumptions and lacking a unified approach. In this paper, we treat the inference problem generally and propose a unified class of models that encompasses some of those previously proposed while including many new ones. Previous work has relied on either relaxation or approximate inference via MCMC, with the latter known to mix prohibitively slowly for this type of problem. Here we instead give a single exact inference algorithm that works for the entire model class via an efficient fixed point iteration called Dykstra's method. We investigate empirically both the computational cost of our algorithm and the accuracy of the new models on real datasets, showing favorable performance in both cases and illustrating the impact of increased flexibility in modeling enabled by this work