Archive for Approximate Bayesian computation

ABC intro for Astrophysics

Posted in Books, Kids, Mountains, R, Running, Statistics, University life with tags , , , , , , , , , , , on October 15, 2018 by xi'an

Today I received in the mail a copy of the short book published by edp sciences after the courses we gave last year at the astrophysics summer school, in Autrans. Which contains a quick introduction to ABC extracted from my notes (which I still hope to turn into a book!). As well as a longer coverage of Bayesian foundations and computations by David Stenning and David van Dyk.

Implicit maximum likelihood estimates

Posted in Statistics with tags , , , , , , , , , , on October 9, 2018 by xi'an

An ‘Og’s reader pointed me to this paper by Li and Malik, which made it to arXiv after not making it to NIPS. While the NIPS reviews were not particularly informative and strongly discordant, the authors point out in the comments that they are available for the sake of promoting discussion. (As made clear in earlier posts, I am quite supportive of this attitude! Disclaimer: I was not involved in an evaluation of this paper, neither for NIPS nor for another conference or journal!!) Although the paper does not seem to mention ABC in the setting of implicit likelihoods and generative models, there is a reference to the early (1984) paper by Peter Diggle and Richard Gratton that is often seen as the ancestor of ABC methods. The authors point out numerous issues with solutions proposed for parameter estimation in such implicit models. For instance, for GANs, they signal that “minimizing the Jensen-Shannon divergence or the Wasserstein distance between the empirical data distribution and the model distribution does not necessarily minimize the same between the true data distribution and the model distribution.” (Not mentioning the particular difficulty with Bayesian GANs.) Their own solution is the implicit maximum likelihood estimator, which picks the value of the parameter θ bringing a simulated sample the closest to the observed sample. Closest in the sense of the Euclidean distance between both samples. Or between the minimum of several simulated samples and the observed sample. (The modelling seems to imply the availability of n>1 observed samples.) They advocate using a stochastic gradient descent approach for finding the optimal parameter θ which presupposes that the dependence between θ and the simulated samples is somewhat differentiable. (And this does not account for using a min, which would make differentiation close to impossible.) The paper then meanders in a lengthy discussion as to whether maximising the likelihood makes sense, with a rather naïve view on why using the empirical distribution in a Kullback-Leibler divergence does not make sense! What does not make sense is considering the finite sample approximation to the Kullback-Leibler divergence with the true distribution in my opinion.

ABC in print

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , on September 5, 2018 by xi'an

The CRC Press Handbook of ABC is now out, after a rather long delay [the first version of our model choice chapter was written in 2015!] due to some late contributors Which is why I did not spot it at JSM 2018. As announced a few weeks ago, our Handbook of Mixture Analysis is soon to be published as well. (Not that I necessarily advocate the individual purchase of these costly volumes!, especially given most chapters are available on-line.)

asymptotic properties of ABC now appeared

Posted in Books, Statistics, University life with tags , , , , , , on September 1, 2018 by xi'an

Our paper with David Frazier, Gael Martin and Judith Rousseau has appeared in print in Biometrika, Volume 105, Issue 3, 1 September 2018, Pages 593–607, almost exactly two years after it was submitted. I am quite glad with the final version, though, and grateful for the editorial input, as the paper clearly characterises the connection between the tolerance level ε and the convergence rate of the summary statistic to its parameter identifying asymptotic mean. Asymptotic in the sample size, that is.

JSM 2018 [#3]

Posted in Mountains, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 1, 2018 by xi'an

As I skipped day #2 for climbing, here I am on day #3, attending JSM 2018, with a [fully Canadian!] session on (conditional) copula (where Bruno Rémillard talked of copulas for mixed data, with unknown atoms, which sounded like an impossible target!), and another on four highlights from Bayesian Analysis, (the journal), with Maria Terres defending the (often ill-considered!) spectral approach within Bayesian analysis, modelling spectral densities (Fourier transforms of correlations functions, not probability densities), an advantage compared with MCAR modelling being the automated derivation of dependence graphs. While the spectral ghost did not completely dissipate for me, the use of DIC that she mentioned at the very end seems to call for investigation as I do not know of well-studied cases of complex dependent data with clearly specified DICs. Then Chris Drobandi was speaking of ABC being used for prior choice, an idea I vaguely remember seeing quite a while ago as a referee (or another paper!), paper in BA that I missed (and obviously did not referee). Using the same reference table works (for simple ABC) with different datasets but also different priors. I did not get first the notion that the reference table also produces an evaluation of the marginal distribution but indeed the entire simulation from prior x generative model gives a Monte Carlo representation of the marginal, hence the evidence at the observed data. Borrowing from Evans’ fringe Bayesian approach to model choice by prior predictive check for prior-model conflict. I remain sceptic or at least agnostic on the notion of using data to compare priors. And here on using ABC in tractable settings.

The afternoon session was [a mostly Australian] Advanced Bayesian computational methods,  with Robert Kohn on variational Bayes, with an interesting comparison of (exact) MCMC and (approximative) variational Bayes results for some species intensity and the remark that forecasting may be much more tolerant to the approximation than estimation. Making me wonder at a possibility of assessing VB on the marginals manageable by MCMC. Unless I miss a complexity such that the decomposition is impossible. And Antonietta Mira on estimating time-evolving networks estimated by ABC (which Anto first showed me in Orly airport, waiting for her plane!). With a possibility of a zero distance. Next talk by Nadja Klein on impicit copulas, linked with shrinkage properties I was unaware of, including the case of spike & slab copulas. Michael Smith also spoke of copulas with discrete margins, mentioning a version with continuous latent variables (as I thought could be done during the first session of the day), then moving to variational Bayes which sounds quite popular at JSM 2018. And David Gunawan made a presentation of a paper mixing pseudo-marginal Metropolis with particle Gibbs sampling, written with Chris Carter and Robert Kohn, making me wonder at their feature of using the white noise as an auxiliary variable in the estimation of the likelihood, which is quite clever but seems to get against the validation of the pseudo-marginal principle. (Warning: I have been known to be wrong!)

ABC’ptotics on-line

Posted in Statistics with tags , , , , , , , on June 14, 2018 by xi'an

Our paper on Asymptotic properties of ABC with David Frazier, Gael Martin, and Judith Rousseau, is now on-line on the Biometrika webpage. Coincidentally both papers by Wentao Li and Paul Fearnhead on ABC’ptotics are published in the June issue of the journal.

Approximate Bayesian computation allows for statistical analysis using models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on the rate at which the posterior distribution concentrates on sets containing the true parameter, the limiting shape of the posterior distribution, and the asymptotic distribution of the posterior mean. These results hold under given rates for the tolerance used within the method, mild regularity conditions on the summary statistics, and a condition linked to identification of the true parameters. Implications for practitioners are discussed.

ABCDay [arXivals]

Posted in Books, Statistics, University life with tags , , , , , , on March 2, 2018 by xi'an

A bunch of ABC papers on arXiv yesterday, most of them linked to the incoming Handbook of ABC:

    1. Overview of Approximate Bayesian Computation S. A. Sisson, Y. Fan, M. A. Beaumont
    2. Kernel Recursive ABC: Point Estimation with Intractable Likelihood Takafumi Kajihara, Keisuke Yamazaki, Motonobu Kanagawa, Kenji Fukumizu
    3. High-dimensional ABC D. J. Nott, V. M.-H. Ong, Y. Fan, S. A. Sisson
    4. ABC Samplers Y. Fan, S. A. Sisson