Scalable inference for Markov processes with intractable likelihoods
From MaRDI portal
Publication:5963547
DOI10.1007/S11222-014-9524-7zbMATH Open1331.62065arXiv1403.6886OpenAlexW2147639966WikidataQ59410638 ScholiaQ59410638MaRDI QIDQ5963547FDOQ5963547
Authors: J. Owen, Darren J. Wilkinson, Colin S. Gillespie 
Publication date: 22 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Bayesian inference for Markov processes has become increasingly relevant in recent years. Problems of this type often have intractable likelihoods and prior knowledge about model rate parameters is often poor. Markov Chain Monte Carlo (MCMC) techniques can lead to exact inference in such models but in practice can suffer performance issues including long burn-in periods and poor mixing. On the other hand approximate Bayesian computation techniques can allow rapid exploration of a large parameter space but yield only approximate posterior distributions. Here we consider the combined use of approximate Bayesian computation (ABC) and MCMC techniques for improved computational efficiency while retaining exact inference on parallel hardware.
Full work available at URL: https://arxiv.org/abs/1403.6886
Recommendations
- Markov chain Monte Carlo inference for Markov jump processes via the linear noise approximation
- Parameter estimation for hidden Markov models with intractable likelihoods
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- Bayesian inference in the presence of intractable normalizing functions
- Likelihood-free MCMC
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Bayesian problems; characterization of Bayes procedures (62C10)
Cites Work
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- The pseudo-marginal approach for efficient Monte Carlo computations
- A comparative review of dimension reduction methods in approximate Bayesian computation
- Particle Markov Chain Monte Carlo Methods
- Constructing Summary Statistics for Approximate Bayesian Computation: Semi-Automatic Approximate Bayesian Computation
- Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
- Sequential Monte Carlo without likelihoods
- Optimal scaling for various Metropolis-Hastings algorithms.
- Adaptive approximate Bayesian computation
- On the efficiency of pseudo-marginal random walk Metropolis algorithms
- Estimation of parameters for macroparasite population evolution using approximate Bayesian computation
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Stochastic modelling for systems biology.
- Delayed acceptance particle MCMC for exact inference in stochastic kinetic models
- Stochastic modeling of aphid population growth with nonlinear, power-law dynamics
Cited In (10)
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- Direct likelihood-based inference for discretely observed stochastic compartmental models of infectious disease
- Parallel inference for big data with the group Bayesian method
- A partitioned quasi-likelihood for distributed statistical inference
- Birth/birth-death processes and their computable transition probabilities with biological applications
- Likelihood free inference for Markov processes: a comparison
- Accelerating inference for stochastic kinetic models
- Particle MCMC algorithms and architectures for accelerating inference in state-space models
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
- Introduction to ``Scalable inference for Markov processes with intractable likelihoods by J. Owen, D. Wilkinson, C. Gillespie
This page was built for publication: Scalable inference for Markov processes with intractable likelihoods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5963547)
