Approximate maximum likelihood estimation using data-cloning ABC
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Abstract: A maximum likelihood methodology for a general class of models is presented, using an approximate Bayesian computation (ABC) approach. The typical target of ABC methods are models with intractable likelihoods, and we combine an ABC-MCMC sampler with so-called "data cloning" for maximum likelihood estimation. Accuracy of ABC methods relies on the use of a small threshold value for comparing simulations from the model and observed data. The proposed methodology shows how to use large threshold values, while the number of data-clones is increased to ease convergence towards an approximate maximum likelihood estimate. We show how to exploit the methodology to reduce the number of iterations of a standard ABC-MCMC algorithm and therefore reduce the computational effort, while obtaining reasonable point estimates. Simulation studies show the good performance of our approach on models with intractable likelihoods such as g-and-k distributions, stochastic differential equations and state-space models.
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Cited in
(5)- An approximate likelihood perspective on ABC methods
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
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