Adaptive approximate Bayesian computation for complex models

Details Adaptive approximate Bayesian computation for complex models Adaptive approximate Bayesian computation for complex models

2011-11-05

arxiv.org/abs/1111.1308v2

Mathematics

Statistics Theory

Scientific paper

Approximate Bayesian computation (ABC) is a family of computational techniques in Bayesian statistics. These techniques allow to fit a model to data without relying on the computation of the model likelihood. They instead require to simulate a large number of times the model to be fitted. A number of re finements to the original rejection-based ABC scheme have been proposed, including the sequential improvement of posterior distributions. This technique allows to decrease the number of model simulations required, but it still presents several shortcomings which are particularly problematic for costly to simulate complex models. We here provide a new algorithm to perform adaptive approximate Bayesian computation, which is shown to perform better on both a toy example and a complex social model.

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