Weak convergence of posteriors conditional on maximum pseudo-likelihood estimates and implications in ABC

Samuel Soubeyrand and Emilie Haon-Lasportes

Statistics & Probability Letters, 2015, vol. 107, issue C, 84-92

Abstract: The weak convergence of posterior distributions conditional on maximum pseudo-likelihood estimates (MPLE) is studied and exploited to justify the use of MPLE as summary statistics in approximate Bayesian computation (ABC). Our study could be generalized by replacing the pseudo-likelihood by other estimating functions (e.g. quasi-likelihoods and contrasts).

Keywords: Approximate Bayesian computation; Bernstein–von Mises theorem; Weak convergence (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.08.003

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