Asymptotic properties of approximate Bayesian computation

DOI10.1093/BIOMET/ASY027zbMATH Open1499.62112arXiv1607.06903OpenAlexW2494636976WikidataQ129814401 ScholiaQ129814401MaRDI QIDQ4561014FDOQ4561014

Authors: David T. Frazier, Gael M. Martin, Judith Rousseau, Christian P. Robert Robert 

Publication date: 10 December 2018

Published in: Biometrika (Search for Journal in Brave)

Abstract: Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on the rate at which the posterior distribution concentrates on sets containing the true parameter, its limiting shape, and the asymptotic distribution of the posterior mean. These results hold under given rates for the tolerance used within the method, mild regularity conditions on the summary statistics, and a condition linked to identification of the true parameters. Implications for practitioners are discussed.

Full work available at URL: https://arxiv.org/abs/1607.06903

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zbMATH Keywords

asymptoticsapproximate Bayesian computationposterior concentrationBernstein-von Mises theoremlikelihood-free method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

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