Approximate Bayesian computation via regression density estimation. Issue 1 (5th February 2013)

• Record Type: Journal Article
• Authors: Fan, Yanan; Nott, David J.; Sisson, Scott A.
• Is Part Of: Stat. Volume 2:Issue 1(2013)
• Page Start: 34
• Page End: 48
• Publication Date: 2013-02-05
• Subjects: approximate Bayesian computation -- copulas -- likelihood‐free inference -- multivariate density estimation -- regression density estimation; Statistics -- Periodicals; 519.2
• DOI: 10.1002/sta4.15
• Languages: English
• ISSNs: 2049-1573

Abstract

Abstract : Approximate Bayesian computation (ABC) methods, which are applicable when the likelihood is difficult or impossible to calculate, are an active topic of current research. Most current ABC algorithms directly approximate the posterior distribution, but an alternative, less common strategy is to approximate the likelihood function. This has several advantages. First, in some problems, it is easier to approximate the likelihood than to approximate the posterior. Second, an approximation to the likelihood allows reference analyses to be constructed based solely on the likelihood. Third, it is straightforward to perform sensitivity analyses for several different choices of prior once an approximation to the likelihood is constructed, which needs to be done only once. The contribution of the present paper is to consider regression density estimation techniques to approximate the likelihood in the ABC setting. Our likelihood approximations build on recently developed marginal adaptation density estimators by extending them for conditional density estimation. Our approach facilitates reference Bayesian inference, as well as frequentist inference. The method is demonstrated via a challenging problem of inference for stereological extremes, where we perform both frequentist and Bayesian inference. Copyright © 2013 John Wiley & Sons Ltd