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High-dimensional ABC

This Chapter, "High-dimensional ABC", is to appear in the forthcoming Handbook of Approximate Bayesian Computation (2018). It details the main ideas and concepts behind extending ABC methods to higher dimensions, with supporting examples and illustrations.

Likelihood-free approximate Gibbs sampling

Likelihood-free methods refer to procedures that perform likelihood-based statistical inference, but without direct evaluation of the likelihood function. This is attractive when the likelihood function is computationally prohibitive to evaluate due to dataset size or model complexity, or when the likelihood function is only known through a data generation process. Some classes of likelihood-free methods include pseudo-marginal methods (Beaumont 2003; Andrieu and Roberts 2009), indirect inference (Gourieroux et al. 1993) and approximate Bayesian computation (Sisson et al. 2018a). In particular, approximate Bayesian computation (ABC) methods form an approximation to the computationally intractable posterior distribution by firstly sampling parameter vectors from the prior, and conditional on these, generating synthetic datasets under the model. The parameter vectors are then weighted by how well a vector of summary statistics of the synthetic datasets matches the same summary statistics of the observed data. ABC methods have seen extensive application and development over the past 15 years.

ABC Samplers

This Chapter, "ABC Samplers", is to appear in the forthcoming Handbook of Approximate Bayesian Computation (2018). It details the main ideas and algorithms used to sample from the ABC approximation to the posterior distribution, including methods based on rejection/importance sampling, MCMC and sequential Monte Carlo.

Efficient Bayesian synthetic likelihood with whitening transformations

Likelihood-free methods are an established approach for performing approximate Bayesian inference for models with intractable likelihood functions. However, they can be computationally demanding. Bayesian synthetic likelihood (BSL) is a popular such method that approximates the likelihood function of the summary statistic with a known, tractable distribution -- typically Gaussian -- and then performs statistical inference using standard likelihood-based techniques. However, as the number of summary statistics grows, the number of model simulations required to accurately estimate the covariance matrix for this likelihood rapidly increases. This poses significant challenge for the application of BSL, especially in cases where model simulation is expensive. In this article we propose whitening BSL (wBSL) -- an efficient BSL method that uses approximate whitening transformations to decorrelate the summary statistics at each algorithm iteration. We show empirically that this can reduce the number of model simulations required to implement BSL by more than an order of magnitude, without much loss of accuracy. We explore a range of whitening procedures and demonstrate the performance of wBSL on a range of simulated and real modelling scenarios from ecology and biology.

Likelihood-free Model Choice

This document is an invited chapter covering the specificities of ABC model choice, intended for the incoming Handbook of ABC by Sisson, Fan, and Beaumont (2017). Beyond exposing the potential pitfalls of ABC based posterior probabilities, the review emphasizes mostly the solution proposed by Pudlo et al. (2016) on the use of random forests for aggregating summary statistics and and for estimating the posterior probability of the most likely model via a secondary random fores.