Multilevel rejection sampling for approximate Bayesian computation

DOI10.1016/J.CSDA.2018.02.009MaRDI QIDQ1662859zbMATHOpenAlexWikidataFDO

Authors David J. Warne, Ruth E. Baker, Matthew J. Simpson

Publication date 20 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.03126

zbMATH Keywords

Bayesian inferenceapproximate Bayesian computationlikelihood-free methodsrejection samplingmultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

Abstract: Likelihood-free methods, such as approximate Bayesian computation, are powerful tools for practical inference problems with intractable likelihood functions. Markov chain Monte Carlo and sequential Monte Carlo variants of approximate Bayesian computation can be effective techniques for sampling posterior distributions in an approximate Bayesian computation setting. However, without careful consideration of convergence criteria and selection of proposal kernels, such methods can lead to very biased inference or computationally inefficient sampling. In contrast, rejection sampling for approximate Bayesian computation, despite being computationally intensive, results in independent, identically distributed samples from the approximated posterior. An alternative method is proposed for the acceleration of likelihood-free Bayesian inference that applies multilevel Monte Carlo variance reduction techniques directly to rejection sampling. The resulting method retains the accuracy advantages of rejection sampling while significantly improving the computational efficiency.

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Cited in

(16)

• Multifidelity approximate Bayesian computation with sequential Monte Carlo parameter sampling
• Multilevel Markov Chain Monte Carlo
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