Parametric stochastic simulators are ubiquitous in science, often featuring high-dimensional input parameters and/or an intractable likelihood. Performing Bayesian parameter inference in this context can be challenging. We present a neural simulator-based inference algorithm which simultaneously offers simulation efficiency and fast empirical posterior testability, which is unique among modern algorithms. Our approach is simulation efficient by simultaneously estimating low-dimensional marginal posteriors instead of the joint posterior and by proposing simulations targeted to an observation of interest via a prior suitably truncated by an indicator function. Furthermore, by estimating a locally amortized posterior our algorithm enables efficient empirical tests of the robustness of the inference results. Such tests are important for sanity-checking inference in real-world applications, which do not feature a known ground truth. We perform experiments on a marginalized version of the simulation-based inference benchmark and two complex and narrow posteriors, highlighting the simulator efficiency of our algorithm as well as the quality of the estimated marginal posteriors. Implementation on GitHub.
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