Adaptive approximate Bayesian computation

MA Beaumont, JM Cornuet, JM Marin, CP Robert

Research output: Contribution to journalArticle (Academic Journal)peer-review

248 Citations (Scopus)

Abstract

Sequential techniques can enhance the efficiency of the approximate Bayesian computation algorithm, as in Sisson et al.s (2007) partial rejection control version. While this method is based upon the theoretical works of Del Moral et al. (2006), the application to approximate Bayesian computation results in a bias in the approximation to the posterior. An alternative version based on genuine importance sampling arguments bypasses this difficulty, in connection with the population Monte Carlo method of Capp et al. (2004), and it includes an automatic scaling of the forward kernel. When applied to a population genetics example, it compares favourably with two other versions of the approximate algorithm.
Translated title of the contributionAdaptive approximate Bayesian computation
Original languageEnglish
Pages (from-to)983 - 990
Number of pages8
JournalBiometrika
Volume96(4)
DOIs
Publication statusPublished - Dec 2009

Bibliographical note

Publisher: Oxford University Press

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