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Statistics > Computation

Title: Approximating the Likelihood in Approximate Bayesian Computation

Abstract: This chapter will appear in the forthcoming Handbook of Approximate Bayesian Computation (2018).
The conceptual and methodological framework that underpins approximate Bayesian computation (ABC) is targetted primarily towards problems in which the likelihood is either challenging or missing. ABC uses a simulation-based non-parametric estimate of the likelihood of a summary statistic and assumes that the generation of data from the model is computationally cheap. This chapter reviews two alternative approaches for estimating the intractable likelihood, with the goal of reducing the necessary model simulations to produce an approximate posterior. The first of these is a Bayesian version of the synthetic likelihood (SL), initially developed by Wood (2010), which uses a multivariate normal approximation to the summary statistic likelihood. Using the parametric approximation as opposed to the non-parametric approximation of ABC, it is possible to reduce the number of model simulations required. The second likelihood approximation method we consider in this chapter is based on the empirical likelihood (EL), which is a non-parametric technique and involves maximising a likelihood constructed empirically under a set of moment constraints. Mengersen et al (2013) adapt the EL framework so that it can be used to form an approximate posterior for problems where ABC can be applied, that is, for models with intractable likelihoods. However, unlike ABC and the Bayesian SL (BSL), the Bayesian EL (BCel) approach can be used to completely avoid model simulations in some cases. The BSL and BCel methods are illustrated on models of varying complexity.
Subjects: Computation (stat.CO); Methodology (stat.ME)
Cite as: arXiv:1803.06645 [stat.CO]
  (or arXiv:1803.06645v1 [stat.CO] for this version)

Submission history

From: Christopher Drovandi Dr [view email]
[v1] Sun, 18 Mar 2018 11:43:33 GMT (2299kb,D)