The use of a single pseudo-sample in approximate Bayesian computation

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The use of a single pseudo-sample in approximate Bayesian computation

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Title: The use of a single pseudo-sample in approximate Bayesian computation
Author: Bornn, Luke; Pillai, Natesh S; Smith, Aaron; Woodard, Dawn

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Citation: Bornn, Luke, Natesh S. Pillai, Aaron Smith, and Dawn Woodard. 2016. “The Use of a Single Pseudo-Sample in Approximate Bayesian Computation.” Statistics and Computing 27 (3) (March 14): 583–590. doi:10.1007/s11222-016-9640-7.
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Abstract: We analyze the computational efficiency of approximate Bayesian computation (ABC), which approximates a likelihood function by drawing pseudo-samples from the associated model. For the rejection sampling version of ABC, it is known that multiple pseudo-samples cannot substantially increase (and can substantially decrease) the efficiency of the algorithm as compared to employing a high-variance estimate based on a single pseudo-sample. We show that this conclusion also holds for a Markov chain Monte Carlo version of ABC, implying that it is unnecessary to tune the number of pseudo-samples used in ABC-MCMC. This conclusion is in contrast to particle MCMC methods, for which increasing the number of particles can provide large gains in computational efficiency.
Published Version: doi:10.1007/s11222-016-9640-7
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:34744107
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