Convergence of Regression Adjusted Approximate Bayesian Computation

DOI10.1093/BIOMET/ASX081MaRDI QIDQ6277836arXivFDO

Authors Wentao Li, Paul Fearnhead

Publication date 22 September 2016

Published in arXiv

Full work available at URL https://doi.org/10.1093/BIOMET/ASX081

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

arXiv classification

math.ST stat.CO stat.TH

Abstract: We present asymptotic results for the regression-adjusted version of approximate Bayesian computation introduced by Beaumont(2002). We show that for an appropriate choice of the bandwidth, regression adjustment will lead to a posterior that, asymptotically, correctly quantifies uncertainty. Furthermore, for such a choice of bandwidth we can implement an importance sampling algorithm to sample from the posterior whose acceptance probability tends to unity as the data sample size increases. This compares favourably to results for standard approximate Bayesian computation, where the only way to obtain a posterior that correctly quantifies uncertainty is to choose a much smaller bandwidth; one for which the acceptance probability tends to zero and hence for which Monte Carlo error will dominate.

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