Afficher la notice abrégée

dc.contributor.authorFrazier, David*
dc.contributor.authorMartin, Gael*
dc.contributor.authorRobert, Christian P.*
dc.contributor.authorRousseau, Judith*
dc.date.accessioned2017-11-06T11:25:37Z
dc.date.available2017-11-06T11:25:37Z
dc.date.issued2018
dc.identifier.issn0006-3444
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16920
dc.language.isoenen
dc.subjectasymptotic properties
dc.subjectBayesian consistency
dc.subjectBernstein-von Mises theorem
dc.subjectlikelihood-free methods
dc.subject.ddc519en
dc.titleAsymptotic Properties of Approximate Bayesian Computation
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenApproximate Bayesian computation (ABC) is becoming an accepted tool for statistical analysis in models with intractable likelihoods. With the initial focus being primarily on the practical import of ABC, exploration of its formal statistical properties has begun to attract more attention. In this paper we consider the asymptotic behavior of the posterior obtained from ABC and the ensuing posterior mean. We give general results on: (i) the rate of concentration of the ABC posterior on sets containing the true parameter (vector); (ii) the limiting shape of the posterior; and\ (iii) the asymptotic distribution of the ABC posterior mean. These results hold under given rates for the tolerance used within ABC, mild regularity conditions on the summary statistics, and a condition linked to identification of the true parameters. Using simple illustrative examples that have featured in the literature, we demonstrate that the required identification condition is far from guaranteed. The implications of the theoretical results for practitioners of ABC are also highlighted.
dc.relation.isversionofjnlnameBiometrika
dc.relation.isversionofjnlvol105
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages593-607
dc.relation.isversionofdoi10.1093/biomet/asy027
dc.identifier.urlsitehttps://arxiv.org/abs/1607.06903
dc.relation.isversionofjnlpublisherOxford University Press
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-11-16T14:55:27Z
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*


Fichiers attachés à cette notice

FichiersTailleFormatConsulter

Il n'y a pas de fichiers associés à cette notice.

Ce document fait partie de la (des) collection(s) suivante(s)

Afficher la notice abrégée