ABC and sufficient statistics

Posted in Statistics, University life with tags , , , , , , , on July 8, 2011 by xi'an

Chris Barnes, Sarah Filippi, Michael P.H. Stumpf, and Thomas Thorne posted a paper on arXiv on the selection of sufficient statistics towards ABC model choice. This paper, called Considerate Approaches to Achieving Sufficiency for ABC model selection, was presented by Chris Barnes during ABC in London two months ago. (Note that all talks of the meeting are now available in Nature Precedings. A neat concept by the way!) This paper of them builds on our earlier warning about (unfounded) ABC model selection to propose a selection of summary statistics that partly alleviates the  original problem. (The part about the discrepancy with the true posterior probability remains to be addressed. As does the issue of whether or not the selected collection of statistics provides a convergent model choice inference. We are currently working on it…) Their section “Resuscitating ABC model choice” states quite clearly the goal of the paper:

– this [use of inadequate summary statistics] mirrors problems that can also be observed in the parameter estimation context,
– for many important, and arguably the most important applications of ABC, this problem can in principle be avoided by using the whole data rather than summary statistics,
– in cases where summary statistics are required, we argue that we can construct approximately sufficient statistics in a disciplined manner,
– when all else fails, a change in perspective, allows us to nevertheless make use of the flexibility of the ABC framework

The driving idea in the paper is to use an entropy approximation to measure the lack of information due to the use of a given set of summary statistics. The corresponding algorithm then proceeds from a starting pool of summary statistics to build sequentially a collection of the most informative summary statistics (which, in a sense, reminded me of a variable selection procedure based on Kullback-Leibler, we developed with  Costas Goutis and Jérôme Dupuis). It is a very interesting advance in the issue of ABC model selection, even though it cannot eliminate all stumbling blocks. The interpretation that ABC should be processed as an inferential method on its own rather than an approximation to Bayesian inference is clearly appealing. (Fearnhead and Prangle, and Dean, Singh, Jasra and Peters could be quoted as well.)

ABC in London

Posted in Statistics, Travel, University life with tags , , , , on May 5, 2011 by xi'an

Today is the day of the ABC in London meeting. As noted by Michael Stumpf on his last mail to the speakers, “because of the impressive list of excellent speakers we could have filled the venue three times over but had to severely limit places…” And indeed the waiting queue for the meeting is quite long, at least crossing once the whole of Hyde Park! Note that all talks will be videoed in order to set up a Collection on Nature Precedings, to keep a record of all presentations.

Here are my slides, pilfered from my longer talk in Zurich and incorporating the latest updates: