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hal.structure.identifierMonash University, Department of Economics
dc.contributor.authorFrazier, David T.*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRobert, Christian P.*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRousseau, Judith*
dc.date.accessioned2019-12-20T11:23:01Z
dc.date.available2019-12-20T11:23:01Z
dc.date.issued2020
dc.identifier.issn1369-7412
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20365
dc.language.isoenen
dc.subjectapproximate Bayesian computation
dc.subjectAsymptotics
dc.subjectLikelihood‐free methods
dc.subjectModel misspecification
dc.subjectRegression adjustment approximate Bayesian computation
dc.subject.ddc519en
dc.titleModel Misspecification in ABC: Consequences and Diagnostics
dc.typeArticle accepté pour publication ou publié
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.
dc.relation.isversionofjnlnameJournal of the Royal Statistical Society. Series B, Statistical Methodology
dc.relation.isversionofjnlvol82
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2020
dc.relation.isversionofjnlpages421-444
dc.relation.isversionofdoi10.1111/rssb.12356
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingouien
dc.relation.forthcomingprintouien
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-07-08T13:23:06Z
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