Diagnostic tools for approximate Bayesian computation using the coverage property
From MaRDI portal
Publication:2804160
Abstract: Approximate Bayesian computation (ABC) is an approach for sampling from an approximate posterior distribution in the presence of a computationally intractable likelihood function. A common implementation is based on simulating model, parameter and dataset triples, (m, heta,y), from the prior, and then accepting as samples from the approximate posterior, those pairs (m, heta) for which y, or a summary of y, is "close" to the observed data. Closeness is typically determined though a distance measure and a kernel scale parameter, epsilon. Appropriate choice of epsilon is important to producing a good quality approximation. This paper proposes diagnostic tools for the choice of epsilon based on assessing the coverage property, which asserts that credible intervals have the correct coverage levels. We provide theoretical results on coverage for both model and parameter inference, and adapt these into diagnostics for the ABC context. We re-analyse a study on human demographic history to determine whether the adopted posterior approximation was appropriate. R code implementing the proposed methodology is freely available in the package "abc."
Recommendations
- New insights into approximate Bayesian computation
- The rate of convergence for approximate Bayesian computation
- Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation. With discussion and authors' reply
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- Approximate Bayesian computation: a survey on recent results
Cites work
- scientific article; zbMATH DE number 3421754 (Why is no real title available?)
- A comparative review of dimension reduction methods in approximate Bayesian computation
- ABC likelihood-free methods for model choice in Gibbs random fields
- Approximate Bayesian computation: a nonparametric perspective
- Approximate Bayesian computational methods
- Inference for Stereological Extremes
- Likelihood-free Bayesian estimation of multivariate quantile distributions
- On Testing the Validity of Sequential Probability Forecasts
- Parameter estimation for hidden Markov models with intractable likelihoods
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Probabilistic Forecasts, Calibration and Sharpness
- Proper likelihoods for Bayesian analysis
- Simultaneous adjustment of bias and coverage probabilities for confidence intervals
Cited in
(17)- An approximate likelihood perspective on ABC methods
- Scalable Bayesian inference for the inverse temperature of a hidden Potts model
- A quasi likelihood approximation of posterior distributions for likelihood-intractable complex models
- ABC–CDE: Toward Approximate Bayesian Computation With Complex High-Dimensional Data and Limited Simulations
- Approximate Bayesian inference for agent-based models in economics: a case study
- Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
- Recalibration: a post-processing method for approximate Bayesian computation
- Likelihood-free approximate Gibbs sampling
- Approximate Bayesian computation by modelling summary statistics in a quasi-likelihood framework
- Simultaneous adjustment of bias and coverage probabilities for confidence intervals
- An improved approximate Bayesian computation scheme for parameter inference based on a recalibration post-processing method
- Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs
- SB-ETAS: using simulation based inference for scalable, likelihood-free inference for the ETAS model of earthquake occurrences
- Approximate Bayesian computation: a survey on recent results
- Debiasing inference with approximate covariance matrices and other unidentified biases
- Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
- Calibration procedures for approximate Bayesian credible sets
This page was built for publication: Diagnostic tools for approximate Bayesian computation using the coverage property
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2804160)
