Recalibration: a post-processing method for approximate Bayesian computation

DOI10.1016/J.CSDA.2018.04.004MaRDI QIDQ1663087zbMATH OpenOpenAlexWikidataFDO

Authors G. S. Rodrigues, S. A. Sisson, D. Prangle

Publication date 21 August 2018

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

Full work available at URL https://arxiv.org/abs/1704.06374

zbMATH Keywords

approximate Bayesian computation (ABC)indirect inferencecoverageregression-adjustment

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: A new recalibration post-processing method is presented to improve the quality of the posterior approximation when using Approximate Bayesian Computation (ABC) algorithms. Recalibration may be used in conjunction with existing post-processing methods, such as regression-adjustments. In addition, this work extends and strengthens the links between ABC and indirect inference algorithms, allowing more extensive use of misspecified auxiliary models in the ABC context. The method is illustrated using simulated examples to demonstrate the effects of recalibration under various conditions, and through an application to an analysis of stereological extremes both with and without the use of auxiliary models. Code to implement recalibration post-processing is available in the R package, abctools.

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Cites work

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Cited in

(8)

• Model selection and parameter estimation for an improved approximate Bayesian computation sequential Monte Carlo algorithm
• Calibration procedures for approximate Bayesian credible sets
• Approximate Bayesian computation using asymptotically normal point estimates
• Vector operations for accelerating expensive Bayesian computations - a tutorial guide
• Microsimulation model calibration using incremental mixture approximate Bayesian computation
• An improved approximate Bayesian computation scheme for parameter inference based on a recalibration post-processing method
• Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
• Likelihood-free approximate Gibbs sampling

Describes a project that uses

Uses Software

• abcrf
• abctools
• ABCtoolbox

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