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Relevant statistics for Bayesian model choice

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Date
2014
Link to item file
http://fr.arxiv.org/abs/1110.4700
Dewey
Probabilités et mathématiques appliquées
Sujet
Bayesian model choice; Gaussianity; Likelihood-free methods; Sufficiency; Bayes factor; Asymptotics; Approximate Bayesian computation; Ancillarity
JEL code
C15; C11
Journal issue
Journal of the Royal Statistical Society. Series B, Statistical Methodology
Volume
76
Number
55
Publication date
2014
Article pages
833-859
Publisher
Wiley
DOI
http://dx.doi.org/10.1111/rssb.12056
URI
https://basepub.dauphine.fr/handle/123456789/7848
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Rousseau, Judith
Robert, Christian P.
Pillai, Natesh S.
Marin, Jean-Michel
Type
Article accepté pour publication ou publié
Abstract (EN)
The choice of the summary statistics in Bayesian inference and in particular in ABC algorithms is paramount to produce a valid outcome. We derive necessary and sufficient conditions on those statistics for the corresponding Bayes factor to be convergent, namely to asymptotically select the true model. Those conditions which amount to the means of the summary statistics to asymptotically differ under both models are then usable in ABC settings to determine which summary statistics are appropriate, most generally via a standard Monte Carlo validation.

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