The rate of convergence for approximate Bayesian computation

DOI10.1214/15-EJS988zbMATH Open1307.62063arXiv1311.2038WikidataQ59897773 ScholiaQ59897773MaRDI QIDQ2259529FDOQ2259529

S. Barber, Mark Webster, Jochen Voss

Publication date: 4 March 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Approximate Bayesian Computation (ABC) is a popular computational method for likelihood-free Bayesian inference. The term "likelihood-free" refers to problems where the likelihood is intractable to compute or estimate directly, but where it is possible to generate simulated data $X$ relatively easily given a candidate set of parameters $heta$ simulated from a prior distribution. Parameters which generate simulated data within some tolerance $delta$ of the observed data $x^{*}$ are regarded as plausible, and a collection of such $heta$ is used to estimate the posterior distribution $heta,|,X!=!x^{*}$. Suitable choice of $delta$ is vital for ABC methods to return good approximations to $heta$ in reasonable computational time. While ABC methods are widely used in practice, particularly in population genetics, study of the mathematical properties of ABC estimators is still in its infancy. We prove that ABC estimates converge to the exact solution under very weak assumptions and, under slightly stronger assumptions, quantify the rate of this convergence. Our results can be used to guide the choice of the tolerance parameter $delta$.

Full work available at URL: https://arxiv.org/abs/1311.2038

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zbMATH Keywords

rate of convergenceapproximate Bayesian computationlikelihood-free inferenceMonte Carlo methodsconvergence of estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cited In (18)

• Improving the Accuracy of Marginal Approximations in Likelihood-Free Inference via Localization
• A tutorial introduction to Bayesian inference for stochastic epidemic models using approximate Bayesian computation
• Bayesian estimation of agent-based models
• Adaptive Gaussian Process Approximation for Bayesian Inference with Expensive Likelihood Functions
• Vector operations for accelerating expensive Bayesian computations - a tutorial guide
• A rare event approach to high-dimensional approximate Bayesian computation
• An approximate likelihood perspective on ABC methods
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• The rate of convergence for approximate Bayesian computation
• Information Geometry for Approximate Bayesian Computation
• Multilevel rejection sampling for approximate Bayesian computation
• Bayesian mode and maximum estimation and accelerated rates of contraction
• On predictive inference for intractable models via approximate Bayesian computation
• Mutation and selection in bacteria: modelling and calibration
• Local dimension reduction of summary statistics for likelihood-free inference
• Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs
• \(L^\infty\) metric criteria for convergence in Bayesian recursive inference systems
• Convergence of regression-adjusted approximate Bayesian computation

Uses Software

• R

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