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adaptive copulas for ABC

March 20, 2019

A paper on ABC I read on my way back from Cambodia:  Yanzhi Chen and Michael Gutmann arXived an ABC [in Edinburgh] paper on learning the target via Gaussian copulas, to be presented at AISTATS this year (in Okinawa!). Linking post-processing (regression) ABC and sequential ABC. The drawback in the regression approach is that the […]

auxiliary likelihood ABC in print

March 1, 2019

Our paper with Gael Martin, Brendan McCabe , David Frazier and Worapree Maneesoonthorn, with full title Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models, has now appeared in JCGS. To think that it started in Rimini in 2009, when I met Gael for the first time at the Rimini Bayesian Econometrics conference, although we […]

particular degeneracy in ABC model choice

February 22, 2019

In one of the presentations by the last cohort of OxWaSP students, the group decided to implement an ABC model choice strategy based on sequential ABC inspired from Toni et al.  (2008). and this made me reconsider this approach (disclaimer: no criticism of the students implied in the following!). Indeed, the outcome of the simulation […]

a pen for ABC

February 13, 2019

Among the flury of papers arXived around the ICML 2019 deadline, I read on my way back from Oxford a paper by Wiqvist et al. on learning summary statistics for ABC by neural nets. Pointing out at another recent paper by Jiang et al. (2017, Statistica Sinica) which constructed a neural network for predicting each […]

prepaid ABC

January 16, 2019

Merijn Mestdagha, Stijn Verdoncka, Kristof Meersa, Tim Loossensa, and Francis Tuerlinckx from the KU Leuven, some of whom I met during a visit to its Wallon counterpart Louvain-La-Neuve, proposed and arXived a new likelihood-free approach based on saving simulations on a large scale for future users. Future users interested in the same model. The very […]