Search Results

extending ABC to high dimensions via Gaussian copula

April 28, 2015

Li, Nott, Fan, and Sisson arXived last week a new paper on ABC methodology that I read on my way to Warwick this morning. The central idea in the paper is (i) to estimate marginal posterior densities for the components of the model parameter by non-parametric means; and (ii) to consider all pairs of components […]

abc [with brains]

April 16, 2015

importance weighting without importance weights [ABC for bandits?!]

March 27, 2015

I did not read very far in the recent arXival by Neu and Bartók, but I got the impression that it was a version of ABC for bandit problems where the probabilities behind the bandit arms are not available but can be generated. Since the stopping rule found in the “Recurrence weighting for multi-armed bandits” […]

ABC for copula estimation

March 23, 2015

Clara Grazian and Brunero Liseo (di Roma) have just arXived a note on a method merging copulas, ABC, and empirical likelihood. The approach is rather hybrid and thus not completely Bayesian, but this must be seen as a consequence of an ill-posed problem. Indeed, as in many econometric models, the model there is not fully […]

Hamiltonian ABC

March 13, 2015

On Monday, Ed Meeds, Robert Leenders, and Max Welling (from Amsterdam) arXived a paper entitled Hamiltonian ABC. Before looking at the paper in any detail, I got puzzled by this association of antagonistic terms, since ABC is intended for complex and mostly intractable likelihoods, while Hamiltonian Monte Carlo requires a lot from the target, in […]


Get every new post delivered to your Inbox.

Join 821 other followers