Improving approximate Bayesian computation via quasi Monte Carlo

Alexander Buchholz () and Nicolas Chopin
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Alexander Buchholz: CREST-ENSAE

No 2017-37, Working Papers from Center for Research in Economics and Statistics

Abstract: ABC (approximate Bayesian computation) is a general approach for dealing with models with an intractable likelihood. In this work, we derive ABC algorithms based on QMC (quasi-Monte Carlo) sequences. We show that the resulting ABC estimates have a lower variance than their Monte Carlo counter-parts. We also develop QMC variants of sequential ABC algorithms, which progressively adapt the proposal distribution and the acceptance threshold. We illustrate our QMC approach through several examples taken from the ABC literature.

Keywords: Approximate Bayesian computation; Likelihood-free inference; Quasi Monte Carlo; Randomized Quasi Monte Carlo; Adaptive importance sampling (search for similar items in EconPapers)
Pages: 25 pages
Date: 2017-10-17
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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