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Frazier, David T., Martin, Gael M., Robert, Christian P. and Rousseau, Judith (2018) Asymptotic properties of approximate Bayesian computation. Biometrika, 105 (3). pp. 593-607. doi:10.1093/biomet/asy027 ISSN 0006-3444.
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Official URL: https://doi.org/10.1093/biomet/asy027
Abstract
Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on the rate at which the posterior distribution concentrates on sets containing the true parameter, its limiting shape, and the asymptotic distribution of the posterior mean. These results hold under given rates for the tolerance used within the method, mild regularity conditions on the summary statistics, and a condition linked to identification of the true parameters. Implications for practitioners are discussed.
| Item Type: | Journal Article | ||||||||||||
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| Subjects: | Q Science > QA Mathematics | ||||||||||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||||
| Library of Congress Subject Headings (LCSH): | Asymptotic distribution (Probability theory), Bayesian statistical decision theory | ||||||||||||
| Journal or Publication Title: | Biometrika | ||||||||||||
| Publisher: | Oxford University Press | ||||||||||||
| ISSN: | 0006-3444 | ||||||||||||
| Official Date: | 1 September 2018 | ||||||||||||
| Dates: |
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| Volume: | 105 | ||||||||||||
| Number: | 3 | ||||||||||||
| Page Range: | pp. 593-607 | ||||||||||||
| DOI: | 10.1093/biomet/asy027 | ||||||||||||
| Status: | Peer Reviewed | ||||||||||||
| Publication Status: | Published | ||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||||||
| Date of first compliant deposit: | 8 May 2018 | ||||||||||||
| Date of first compliant Open Access: | 6 June 2019 | ||||||||||||
| RIOXX Funder/Project Grant: |
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