Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
From MaRDI portal
Abstract: Approximate Bayesian computation (ABC) refers to a family of inference methods used in the Bayesian analysis of complex models where evaluation of the likelihood is difficult. Conventional ABC methods often suffer from the curse of dimensionality, and a marginal adjustment strategy was recently introduced in the literature to improve the performance of ABC algorithms in high-dimensional problems. The marginal adjustment approach is extended using a Gaussian copula approximation. The method first estimates the bivariate posterior for each pair of parameters separately using a 2-dimensional Gaussian copula, and then combines these estimates together to estimate the joint posterior. The approximation works well in large sample settings when the posterior is approximately normal, but also works well in many cases which are far from that situation due to the nonparametric estimation of the marginal posterior distributions. If each bivariate posterior distribution can be well estimated with a low-dimensional ABC analysis then this Gaussian copula method can extend ABC methods to problems of high dimension. The method also results in an analytic expression for the approximate posterior which is useful for many purposes such as approximation of the likelihood itself. This method is illustrated with several examples.
Recommendations
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 4070082 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 3047450 (Why is no real title available?)
- A comparative review of dimension reduction methods in approximate Bayesian computation
- Adaptive approximate Bayesian computation
- Adaptive proposal distribution for random walk Metropolis algorithm
- Approximate Bayesian computation: a nonparametric perspective
- Approximate integrated likelihood via ABC methods
- Asymptotic Statistics
- Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation. With discussion and authors' reply
- Diagnostic tools for approximate Bayesian computation using the coverage property
- Estimation of parameters for macroparasite population evolution using approximate Bayesian computation
- Expectation propagation for likelihood-free inference
- Inference for Stereological Extremes
- Likelihood-free Bayesian estimation of multivariate quantile distributions
- On optimal selection of summary statistics for approximate Bayesian computation
- Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
- Sequential Monte Carlo without likelihoods
- Sharpening Wald-type inference in robust regression for small samples
- Statistical corrections of invalid correlation matrices
- The meta-elliptical distributions with given marginals
- Weighted quantile-based estimation for a class of transformation distributions.
Cited in
(23)- Modularized Bayesian analyses and cutting feedback in likelihood-free inference
- Detecting conflicting summary statistics in likelihood-free inference
- ABC–CDE: Toward Approximate Bayesian Computation With Complex High-Dimensional Data and Limited Simulations
- Approximate Bayesian computational methods for the inference of unknown parameters
- Improving the Accuracy of Marginal Approximations in Likelihood-Free Inference via Localization
- Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
- Recalibration: a post-processing method for approximate Bayesian computation
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Variational Bayes with synthetic likelihood
- Likelihood-free approximate Gibbs sampling
- Gaussian process modelling in approximate Bayesian computation to estimate horizontal gene transfer in bacteria
- Efficient Bayesian inference for Gaussian copula regression models
- Efficient and feasible inference for high-dimensional normal copula regression models
- Random Forest Adjustment for Approximate Bayesian Computation
- Robust Bayesian synthetic likelihood via a semi-parametric approach
- An improved approximate Bayesian computation scheme for parameter inference based on a recalibration post-processing method
- A rare event approach to high-dimensional approximate Bayesian computation
- Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
- Approximate Bayesian computation for copula estimation
- Dependence properties and Bayesian inference for asymmetric multivariate copulas
- Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
- Likelihood-free inference in high dimensions with synthetic likelihood
- Approximating posteriors with high-dimensional nuisance parameters via integrated rotated Gaussian approximation
This page was built for publication: Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1658506)
