## off to Australia

Posted in pictures, Statistics, Travel, University life, Wines with tags , , , , , , , , , on August 22, 2016 by xi'an

Taking advantage of being in San Francisco, I flew yesterday to Australia over the Pacific, crossing for the first time the day line. The 15 hour Qantas flight to Sydney was remarkably smooth and quiet, with most passengers sleeping for most of the way, and it gave me a great opportunity to go over several papers I wanted to read and review. Over the next week or so, I will work with my friends and co-authors David Frazier and Gael Martin at Monash University (and undoubtedly enjoy the great food and wine scene!). Before flying back to Paris (alas via San Francisco rather than direct).

## asymptotic properties of Approximate Bayesian Computation

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , on July 26, 2016 by xi'an

With David Frazier and Gael Martin from Monash University, and with Judith Rousseau (Paris-Dauphine), we have now completed and arXived a paper entitled Asymptotic Properties of Approximate Bayesian Computation. This paper undertakes a fairly complete study of the large sample properties of ABC under weak regularity conditions. We produce therein sufficient conditions for posterior concentration, asymptotic normality of the ABC posterior estimate, and asymptotic normality of the ABC posterior mean. Moreover, those (theoretical) results are of significant import for practitioners of ABC as they pertain to the choice of tolerance ε used within ABC for selecting parameter draws. In particular, they [the results] contradict the conventional ABC wisdom that this tolerance should always be taken as small as the computing budget allows.

Now, this paper bears some similarities with our earlier paper on the consistency of ABC, written with David and Gael. As it happens, the paper was rejected after submission and I then discussed it in an internal seminar in Paris-Dauphine, with Judith taking part in the discussion and quickly suggesting some alternative approach that is now central to the current paper. The previous version analysed Bayesian consistency of ABC under specific uniformity conditions on the summary statistics used within ABC. But conditions for consistency are now much weaker conditions than earlier, thanks to Judith’s input!

There are also similarities with Li and Fearnhead (2015). Previously discussed here. However, while similar in spirit, the results contained in the two papers strongly differ on several fronts:

1. Li and Fearnhead (2015) considers an ABC algorithm based on kernel smoothing, whereas our interest is the original ABC accept-reject and its many derivatives
2. our theoretical approach permits a complete study of the asymptotic properties of ABC, posterior concentration, asymptotic normality of ABC posteriors, and asymptotic normality of the ABC posterior mean, whereas Li and Fearnhead (2015) is only concerned with asymptotic normality of the ABC posterior mean estimator (and various related point estimators);
3. the results of Li and Fearnhead (2015) are derived under very strict uniformity and continuity/differentiability conditions, which bear a strong resemblance to those conditions in Yuan and Clark (2004) and Creel et al. (2015), while the result herein do not rely on such conditions and only assume very weak regularity conditions on the summaries statistics themselves; this difference allows us to characterise the behaviour of ABC in situations not covered by the approach taken in Li and Fearnhead (2015);

## proper likelihoods for Bayesian analysis

Posted in Books, Statistics, University life with tags , , , , , , , on April 11, 2013 by xi'an

While in Montpellier yesterday (where I also had the opportunity of tasting an excellent local wine!), I had a look at the 1992 Biometrika paper by Monahan and Boos on “Proper likelihoods for Bayesian analysis“. This is a paper I missed and that was pointed out to me during the discussions in Padova. The main point of this short paper is to decide when a method based on an approximative likelihood function is truly (or properly) Bayes. Just the very question a bystander would ask of ABC methods, wouldn’t it?! The validation proposed by Monahan and Boos is one of calibration of credible sets, just as in the recent arXiv paper of Dennis Prangle, Michael Blum, G. Popovic and Scott Sisson I reviewed three months ago. The idea is indeed to check by simulation that the true posterior coverage of an α-level set equals the nominal coverage α. In other words, the predictive based on the likelihood approximation should be uniformly distributed and this leads to a goodness-of-fit test based on simulations. As in our ABC model choice paper, Proper likelihoods for Bayesian analysis notices that Bayesian inference drawn upon an insufficient statistic is proper and valid, simply less accurate than the Bayesian inference drawn upon the whole dataset. The paper also enounces a conjecture:

A [approximate] likelihood L is a coverage proper Bayesian likelihood if and inly if L has the form L(y|θ) = c(s) g(s|θ) where s=S(y) is a statistic with density g(s|θ) and c(s) some function depending on s alone.

conjecture that sounds incorrect in that noisy ABC is also well-calibrated. (I am not 100% sure of this argument, though.) An interesting section covers the case of pivotal densities as substitute likelihoods and of the confusion created by the double meaning of the parameter θ. The last section is also connected with ABC in that Monahan and Boos reflect on the use of large sample approximations, like normal distributions for estimates of θ which are a special kind of statistics, but do not report formal results on the asymptotic validation of such approximations. All in all, a fairly interesting paper!

Reading this highly interesting paper also made me realise that the criticism I had made in my review of Prangle et al. about the difficulty for this calibration method to address the issue of summary statistics was incorrect: when using the true likelihood function, the use of an arbitrary summary statistics is validated by this method and is thus proper.

## ABC convergence for HMMs

Posted in Statistics, University life with tags , , , , , on April 19, 2011 by xi'an

Following my previous post on Paul Fearnhead’s and Dennis Prangle’s Semi-automatic ABC, Ajay Jasra pointed me to the paper he arXived with Thomas Dean, Sumeetpal Singh and Gareth Peters twenty days ago. I read it today. It is entitled Parameter Estimation for Hidden Markov Models with Intractable Likelihoods  and it relates to Fearnhead’s and Prangle’s paper in that those authors also establish ABC consistency for the noisy ABC. The paper focus on the HMM case and the authors construct an ABC scheme such that the ABC simulated sequence remains an HMM, the conditional distribution of the observables given the latent Markov chain being modified by the ABC acceptance ball. This means that conducting maximum likelihood (or Bayesian) estimation based on the ABC sample is equivalent to exact inference under the perturbed HMM scheme. In this sense, this equivalence brings the paper close to Wilkinson’s (2008) and Fearnhead’s and Prangle’s. While this also establishes asymptotic bias for a fixed value of the tolerance ε, it also proves that an arbitrary accuracy can be attained with enough data and a small enough ε. The authors of the paper show in addition (as in Fearnhead’s and Prangle’s) that an ABC inference based on noisy observations

$\hat y_1+\epsilon z_1,\ldots,\hat y_n+\epsilon z_n$

is equivalent to a regular inference based on the original data

$\hat y_1,\ldots,\hat y_n$

hence the asymptotic consistence of noisy ABC! Furthermore, the authors show that the asymptotic variance of the ABC version is always greater than the asymptotic variance of the standard MLE, but that it decreases as ε². The ppr also contains an illustration on an HMM with α-stable observables. (Of course, the restriction to summary statistics that preserve the HMM structure is paramount for the results in the paper to apply, hence preventing the use of truly summarising statistics that would not grow in dimension with the size of the HMM series.)

In conclusion, here comes a second paper that validates [noisy] ABC without non-parametric arguments. Both those recent papers make me appreciate even further the idea of noisy ABC: at first, I liked the concept but found the randomisation it involved rather counter-intuitive from a Bayesian perspective. Now, I rather perceive it as a duplication of the randomness in the data that brings the simulated model closer to the observed model.