arXiv subjects

Umberto Simola

Publications and source records attributed to Umberto Simola.

5 recordsLinked to original sources

arXiv2021

ABC of the Future

Approximate Bayesian computation (ABC) has advanced in two decades from a seminal idea to a practically applicable inference tool for simulator-based statistical models, which are becoming increasingly popular in many research domains. The computational feasibility of ABC for practical applications has been recently boosted by adopting techniques from machine learning to build surrogate models for the approximate likelihood or posterior and by the introduction of a general-purpose software platform with several advanced features, including automated parallelization. Here we demonstrate the strengths of the advances in ABC by going beyond the typical benchmark examples and considering real applications in astronomy, infectious disease epidemiology, personalised cancer therapy and financial prediction. We anticipate that the emerging success of ABC in producing actual added value and quantitative insights in the real world will continue to inspire a plethora of further applications across different fields of science, social science and technology.

stat.AP↗

arXiv2020

Approximate Bayesian Computation for Finite Mixture Models

Finite mixture models are used in statistics and other disciplines, but inference for mixture models is challenging due, in part, to the multimodality of the likelihood function and the so-called label switching problem. We propose extensions of the Approximate Bayesian Computation-Population Monte Carlo (ABC-PMC) algorithm as an alternative framework for inference on finite mixture models. There are several decisions to make when implementing an ABC-PMC algorithm for finite mixture models, including the selection of the kernels used for moving the particles through the iterations, how to address the label switching problem, and the choice of informative summary statistics. Examples are presented to demonstrate the performance of the proposed ABC-PMC algorithm for mixture modeling. The performance of the proposed method is evaluated in a simulation study and for the popular recessional velocity galaxy data.

stat.ME↗

arXiv2020

Adaptive Approximate Bayesian Computation Tolerance Selection

Approximate Bayesian Computation (ABC) methods are increasingly used for inference in situations in which the likelihood function is either computationally costly or intractable to evaluate. Extensions of the basic ABC rejection algorithm have improved the computational efficiency of the procedure and broadened its applicability. The ABC-Population Monte Carlo (ABC-PMC) approach of Beaumont et al. (2009) has become a popular choice for approximate sampling from the posterior. ABC-PMC is a sequential sampler with an iteratively decreasing value of the tolerance, which specifies how close the simulated data need to be to the real data for acceptance. We propose a method for adaptively selecting a sequence of tolerances that improves the computational efficiency of the algorithm over other common techniques. In addition we define a stopping rule as a by-product of the adaptation procedure, which assists in automating termination of sampling. The proposed automatic ABC-PMC algorithm can be easily implemented and we present several examples demonstrating its benefits in terms of computational efficiency.

stat.CO↗

arXiv2020

Sequentially guided MCMC proposals for synthetic likelihoods and correlated synthetic likelihoods

Synthetic likelihood (SL) is a strategy for parameter inference when the likelihood function is analytically or computationally intractable. In SL, the likelihood function of the data is replaced by a multivariate Gaussian density over summary statistics of the data. SL requires simulation of many replicate datasets at every parameter value considered by a sampling algorithm, such as Markov chain Monte Carlo (MCMC), making the method computationally-intensive. We propose two strategies to alleviate the computational burden. First, we introduce an algorithm producing a proposal distribution that is sequentially tuned and made conditional to data, thus it rapidly \textit{guides} the proposed parameters towards high posterior density regions. In our experiments, a small number of iterations of our algorithm is enough to rapidly locate high density regions, which we use to initialize one or several chains that make use of off-the-shelf adaptive MCMC methods. Our "guided" approach can also be potentially used with MCMC samplers for approximate Bayesian computation (ABC). Second, we exploit strategies borrowed from the correlated pseudo-marginal MCMC literature, to improve the chains mixing in a SL framework. Moreover, our methods enable inference for challenging case studies, when the posterior is multimodal and when the chain is initialised in low posterior probability regions of the parameter space, where standard samplers failed. To illustrate the advantages stemming from our framework we consider five benchmark examples, including estimation of parameters for a cosmological model and a stochastic model with highly non-Gaussian summary statistics.

stat.ME↗

arXiv2018

Measuring precise radial velocities and cross-correlation function line-profile variations using a Skew Normal density

Stellar activity is one of the primary limitations to the detection of low-mass exoplanets using the radial-velocity (RV) technique. We propose to estimate the variations in shape of the CCF by fitting a Skew Normal (SN) density which, unlike the commonly employed Normal density, includes a skewness parameter to capture the asymmetry of the CCF induced by stellar activity and the convective blueshift. The performances of the proposed method are compared to the commonly employed Normal density using both simulations and real observations, with different levels of activity and signal-to-noise ratio. When considering real observations, the correlation between the RV and the asymmetry of the CCF and between the RV and the width of the CCF are stronger when using the parameters estimated with the SN density rather than the ones obtained with the commonly employed Normal density. Using the proposed SN approach, the uncertainties estimated on the RV defined as the median of the SN are on average 10% smaller than the uncertainties calculated on the mean of the Normal. The uncertainties estimated on the asymmetry parameter of the SN are on average 15% smaller than the uncertainties measured on the Bisector Inverse Slope Span (BIS SPAN), which is the commonly used parameter to evaluate the asymmetry of the CCF. We also propose a new model to account for stellar activity when fitting a planetary signal to RV data. Based on simple simulations, we were able to demonstrate that this new model improves the planetary detection limits by 12% compared to the model commonly used to account for stellar activity. The SN density is a better model than the Normal density for characterizing the CCF since the correlations used to probe stellar activity are stronger and the uncertainties of the RV estimate and the asymmetry of the CCF are both smaller.

astro-ph.EP↗