  We introduce a new family of estimators for unnormalized statistical models.
Our family of estimators is parameterized by two nonlinear functions and uses a
single sample from an auxiliary distribution, generalizing Maximum Likelihood
Monte Carlo estimation of Geyer and Thompson (1992). The family is such that we
can estimate the partition function like any other parameter in the model. The
estimation is done by optimizing an algebraically simple, well defined
objective function, which allows for the use of dedicated optimization methods.
We establish consistency of the estimator family and give an expression for the
asymptotic covariance matrix, which enables us to further analyze the influence
of the nonlinearities and the auxiliary density on estimation performance. Some
estimators in our family are particularly stable for a wide range of auxiliary
densities. Interestingly, a specific choice of the nonlinearity establishes a
connection between density estimation and classification by nonlinear logistic
regression. Finally, the optimal amount of auxiliary samples relative to the
given amount of the data is considered from the perspective of computational
efficiency.
