Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
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Publication:5962740
DOI10.1007/S11222-013-9432-2zbMATH Open1331.65024arXiv1301.2975OpenAlexW2003198230WikidataQ40813437 ScholiaQ40813437MaRDI QIDQ5962740FDOQ5962740
Simon Preston, Theodore Kypraios, S. R. White
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Many modern statistical applications involve inference for complicated stochastic models for which the likelihood function is difficult or even impossible to calculate, and hence conventional likelihood-based inferential echniques cannot be used. In such settings, Bayesian inference can be performed using Approximate Bayesian Computation (ABC). However, in spite of many recent developments to ABC methodology, in many applications the computational cost of ABC necessitates the choice of summary statistics and tolerances that can potentially severely bias the estimate of the posterior. We propose a new "piecewise" ABC approach suitable for discretely observed Markov models that involves writing the posterior density of the parameters as a product of factors, each a function of only a subset of the data, and then using ABC within each factor. The approach has the advantage of side-stepping the need to choose a summary statistic and it enables a stringent tolerance to be set, making the posterior "less approximate". We investigate two methods for estimating the posterior density based on ABC samples for each of the factors: the first is to use a Gaussian approximation for each factor, and the second is to use a kernel density estimate. Both methods have their merits. The Gaussian approximation is simple, fast, and probably adequate for many applications. On the other hand, using instead a kernel density estimate has the benefit of consistently estimating the true ABC posterior as the number of ABC samples tends to infinity. We illustrate the piecewise ABC approach for three examples; in each case, the approach enables "exact matching" between simulations and data and offers fast and accurate inference.
Full work available at URL: https://arxiv.org/abs/1301.2975
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Cited In (11)
- Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
- Approximate Bayesian Computation for a Class of Time Series Models
- Data free inference with processed data products
- An approximate likelihood perspective on ABC methods
- Scalable Bayesian Nonparametric Clustering and Classification
- Forward Simulation Markov Chain Monte Carlo with Applications to Stochastic Epidemic Models
- Consensus Monte Carlo for Random Subsets Using Shared Anchors
- Alive SMC2: Bayesian model selection for low‐count time series models with intractable likelihoods
- Likelihood-free approximate Gibbs sampling
- Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
- Diagnostics for assessing the linear noise and moment closure approximations
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