On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
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Publication:693361
DOI10.1007/S11222-012-9315-YzbMATH Open1252.65022arXiv0808.3466OpenAlexW2048509028MaRDI QIDQ693361FDOQ693361
Authors: Gareth W. Peters, Yanan Fan, S. A. Sisson 
Publication date: 7 December 2012
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm, and show that this variant can be considered as a sequential Monte Carlo sampler with a modified mutation kernel. We prove that the new sampler can reduce the variance of the incremental importance weights when compared with standard sequential Monte Carlo samplers. We provide a study of theoretical properties of the new algorithm, and make connections with some existing algorithms. Finally, the sampler is adapted for application under the challenging "likelihood free," approximate Bayesian computation modelling framework, where we demonstrate superior performance over existing likelihood-free samplers.
Full work available at URL: https://arxiv.org/abs/0808.3466
Recommendations
Bayesian computationapproximate Bayesian computationlikelihood-free inferencepartial rejection controlsequential Monte Carlo samplers
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05)
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Cited In (19)
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- An ABC approach for CAViaR models with asymmetric kernels
- Sequentially constrained Monte Carlo
- An approximate likelihood perspective on ABC methods
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