Estimation of agent-based models using Bayesian deep learning approach of BayesFlow

DOI10.1016/J.JEDC.2021.104082MaRDI QIDQ2246641zbMATH OpenOpenAlexFDO

Authors Takashi Shiono

Publication date 16 November 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104082

zbMATH Keywords

agent-based modelBayesian inferencedeep learningneural networkparameter estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Artificial neural networks and deep learning (68T07) Principal-agent models (91B43)

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Cites work

• A comparison of economic agent-based model calibration methods
• Agent based-stock flow consistent macroeconomics: towards a benchmark model
• Agent-based model calibration using machine learning surrogates
• Algebraic Geometry and Statistical Learning Theory
• Approximation by superpositions of a sigmoidal function
• Bayesian estimation of agent-based models
• Emergent dynamics of a macroeconomic agent based model with capital and credit
• Estimation of agent-based models using sequential Monte Carlo methods
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Estimation of ergodic agent-based models by simulated minimum distance
• Estimation of financial agent-based models with simulated maximum likelihood
• Neural network with unbounded activation functions is universal approximator
• Universal approximation bounds for superpositions of a sigmoidal function

Cited in

(6)

• Bayesian estimation of agent-based models
• Agent-based model calibration using machine learning surrogates
• Black-box Bayesian inference for agent-based models
• Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates
• Solving high-dimensional inverse problems using amortized likelihood-free inference with noisy and incomplete data
• CANVAS: a Canadian behavioral agent-based model for monetary policy

Describes a project that uses

Uses Software

• LSTM
• BayesFlow

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