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dc.contributor.authorFrazier, David T.
dc.contributor.authorRobert, Christian P.
dc.contributor.authorRousseau, Judith
dc.date.accessioned2019-04-16T09:20:10Z
dc.date.available2019-04-16T09:20:10Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18655
dc.language.isoenen
dc.subjectapproximate Bayesian computationen
dc.subjectMisspecificationen
dc.subject.ddc519en
dc.titleModel Misspecification in ABC : Consequences and Diagnosticsen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe analyze the behavior of approximate Bayesian computation (ABC) when the model generating the simulated data differs from the actual data generating process; i.e., when the data simulator in ABC is misspecified. We demonstrate both theoretically and in simple, but practically relevant, examples that when the model is misspecified different versions of ABC can lead to substantially different results. Our theoretical results demonstrate that under regularity conditions a version of the accept/reject ABC approach concentrates posterior mass on an appropriately defined pseudo-true parameter value. However, under model misspecification the ABC posterior does not yield credible sets with valid frequentist coverage and has non-standard asymptotic behavior. We also examine the theoretical behavior of the popular linear regression adjustment to ABC under model misspecification and demonstrate that this approach concentrates posterior mass on a completely different pseudo-true value than that obtained by the accept/reject approach to ABC. Using our theoretical results, we suggest two approaches to diagnose model misspecification in ABC. All theoretical results and diagnostics are illustrated in a simple running example.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages33en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01961101en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T13:30:56Z
hal.person.labIds231820
hal.person.labIds60$$$2579
hal.person.labIds60


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