Approximate Co-Sufficient Sampling for Goodness-of-fit Tests and Synthetic Data.

Co-sufficient sampling refers to resampling the data conditional on a sufficient statistic, a useful technique for statistical problems such as goodness-of-fit tests, model selection, and confidence interval construction; it is also a powerful tool to generate synthetic data which limits the disclosure risk of sensitive data. However, sampling from such conditional distributions is both technically and computationally challenging, and is inapplicable in models without low-dimensional sufficient statistics. We study an indirect inference approach to approximate co-sufficient sampling, which only requires an efficient statistic rather than a sufficient statistic. Given an efficient estimator, we prove that the expected KL divergence goes to zero between the true conditional distribution and the resulting approximate distribution. We also propose a one-step approximate solution to the optimization problem that preserves the original estimator with an error of $o_p(n^{-1/2})$, which suffices for asymptotic optimality. The one-step method is easily implemented, highly computationally efficient, and applicable to a wide variety of models, only requiring the ability to sample from the model and compute an efficient statistic. We implement our methods via simulations to tackle problems in synthetic data, hypothesis testing, and differential privacy.