Archive for ABC-SMC²

rare ABC [webinar impressions]

Posted in Books, Statistics, Travel, University life with tags , , , , , , , on April 28, 2020 by xi'an

A second occurrence of the One World ABC seminar by Ivis Kerama, and Richard Everitt (Warwick U), on their on-going pape with and Tom Thorne, Rare Event ABC-SMC², which is not about rare event simulation but truly about ABC improvement. Building upon a previous paper by Prangle et al. (2018). And also connected with Dennis’ talk a fortnight ago in that it exploits an autoencoder representation of the simulated outcome being H(u,θ). It also reminded me of an earlier talk by Nicolas Chopin.

This approach avoids using summary statistics (but relies on a particular distance) and implements a biased sampling of the u’s to produce outcomes more suited to the observation(s). Almost sounds like a fiducial ABC! Their stopping rule for decreasing the tolerance is to spot an increase in the variance of the likelihood estimates. As the method requires many data generations for a single θ, it only applies in certain settings. The ABC approximation is indeed used as an estimation of likelihood ratio (which makes sense for SMC² but is biased because of ABC). I got slightly confused during Richard’s talk by his using the term of unbiased estimator of the likelihood before I realised he was talking of the ABC posterior. Thanks to both speakers, looking forward the talk by Umberto Picchini in a fortnight (on a joint paper with Richard).

One World webinars

Posted in Statistics with tags , , , , on April 21, 2020 by xi'an

Just a notice that our ABC World seminar has joined the “franchise” of the One World seminars

and that, on Thursday, 23 April, at 12:30 (CEST) IIvis Kerama and Richard Everitt will talk on  Rare event ABC-SMC², while, also on Thursday, at 16:00 (CEST) Michela Ottobre will talk Fast non mean-field network: uniform in time averaging in the One World Probability Seminar.