An easy-to-use empirical likelihood ABC method

Sanjay Chaudhuri; Subhro Ghosh; David J. Nott; Kim Cuc Pham

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arXiv · 1810.01675

An easy-to-use empirical likelihood ABC method

Sanjay Chaudhuri·Subhro Ghosh·David J. Nott·Kim Cuc Pham

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Abstract

Many scientifically well-motivated statistical models in natural, engineering and environmental sciences are specified through a generative process, but in some cases it may not be possible to write down a likelihood for these models analytically. Approximate Bayesian computation (ABC) methods, which allow Bayesian inference in these situations, are typically computationally intensive. Recently, computationally attractive empirical likelihood based ABC methods have been suggested in the literature. These methods heavily rely on the availability of a set of suitable analytically tractable estimating equations. We propose an easy-to-use empirical likelihood ABC method, where the only inputs required are a choice of summary statistic, it's observed value, and the ability to simulate summary statistics for any parameter value under the model. It is shown that the posterior obtained using the proposed method is consistent, and its performance is explored using various examples.

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BibTeX RIS

Sanjay Chaudhuri, Subhro Ghosh, David J. Nott, Kim Cuc Pham. 2018-10-03. An easy-to-use empirical likelihood ABC method. https://arxiv.org/abs/1810.01675

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