Profiled score
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johannbrehmer commented
Let's say we want to infer on n parameters of interest in the presence of k nuisance parameters. Right now, SALLY lets us estimate the (k+n)-dimensional score.
It is possible to define a "profiled" or "nuisance-hardened" n-dimensional score, see https://arxiv.org/abs/1903.01473. We should implement this, probably in the ScoreEstimator class.
And then we can and should compare this infernal SALLY to INFERNO (https://arxiv.org/abs/1806.04743) :)
johannbrehmer commented
Implemented in 22fd05b