Didelot, Xavier, Everitt, Richard G., Johansen, Adam M. and Lawson, Daniel J. (2010) Likelihood-free estimation of model evidence. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.12).

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Abstract

Statistical methods of inference typically require the likelihood function to be computable
in a reasonable amount of time. The class of "likelihood-free" methods termed Approximate
Bayesian Computation (ABC) is able to eliminate this requirement, replacing the evaluation
of the likelihood with simulation from it. Likelihood-free methods have gained in efficiency
and popularity in the past few years, following their integration with Markov Chain Monte
Carlo (MCMC) and Sequential Monte Carlo (SMC) in order to better explore the parameter
space. They have been applied primarily to the estimation of the parameters of a given
model, but can also be used to compare models.
Here we present novel likelihood-free approaches to model comparison, based upon the
independent estimation of the evidence of each model under study. Key advantages of these
approaches over previous techniques are that they allow the exploitation of MCMC or SMC
algorithms for exploring the parameter space, and that they do not require a sampler able to
mix between models. We validate the proposed methods using a simple exponential family
problem before providing a realistic problem from population genetics: the comparison of
different growth models based upon observations of human Y chromosome data from the
terminal generation.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH):	Mathematical statistics, Bayesian statistical decision theory, Mathematical models
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Official Date:	June 2010
Dates:	Date Event June 2010 Published
Volume:	Vol.2010
Number:	No.12
Number of Pages:	35
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Version or Related Resource:	Didelot, X., et al. (2011). Likelihood-free estimation of model evidence. Bayesian Analysis, 6(1), pp. 49-76. http://wrap.warwick.ac.uk/id/eprint/41188
Related URLs:	Related item in WRAP

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