Piecewise Approximate Bayesian Computation: fast inference for discretely observed Markov models using a factorised posterior distributionTools White, S.R. and Kypraios, Theodore and Preston, Simon P. (2015) Piecewise Approximate Bayesian Computation: fast inference for discretely observed Markov models using a factorised posterior distribution. Statistics and Computing, 25 (2). pp. 289301. ISSN 15731375
AbstractMany modern statistical applications involve inference for complicated stochastic models for which the likelihood function is difficult or even impossible to calculate, and hence conventional likelihoodbased inferential techniques cannot be used. In such settings, Bayesian inference can be performed using Approximate Bayesian Computation (ABC). However, in spite of many recent developments to ABC methodology, in many applications the computational cost of ABC necessitates the choice of summary statistics and tolerances that can potentially severely bias the estimate of the posterior.
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