## Bayesian optimization for likelihood-free inference of simulator-based statistical models

Posted in Books, Statistics, University life with tags , , , , on January 29, 2015 by xi'an

Michael Gutmann and Jukka Corander arXived this paper two weeks ago. I read part of it (mostly the extended introduction part) on the flight from Edinburgh to Birmingham this morning. I find the reflection it contains on the nature of the ABC approximation quite deep and thought-provoking.  Indeed, the major theme of the paper is to visualise ABC (which is admittedly shorter than “likelihood-free inference of simulator-based statistical models”!) as a regular computational method based on an approximation of the likelihood function at the observed value, yobs. This includes for example Simon Wood’s synthetic likelihood (who incidentally gave a talk on his method while I was in Oxford). As well as non-parametric versions. In both cases, the approximations are based on repeated simulations of pseudo-datasets for a given value of the parameter θ, either to produce an estimation of the mean and covariance of the sampling model as a function of θ or to construct genuine estimates of the likelihood function. As assumed by the authors, this calls for a small dimension θ. This approach actually allows for the inclusion of the synthetic approach as a lower bound on a non-parametric version.

In the case of Wood’s synthetic likelihood, two questions came to me:

• the estimation of the mean and covariance functions is usually not smooth because new simulations are required for each new value of θ. I wonder how frequent is the case where we can always use the same basic random variates for all values of θ. Because it would then give a smooth version of the above. In the other cases, provided the dimension is manageable, a Gaussian process could be first fitted before using the approximation. Or any other form of regularization.
• no mention is made [in the current paper] of the impact of the parametrization of the summary statistics. Once again, a Cox transform could be applied to each component of the summary for a better proximity of/to the normal distribution.

When reading about a non-parametric approximation to the likelihood (based on the summaries), the questions I scribbled on the paper were:

• estimating a complete density when using this estimate at the single point yobs could possibly be superseded by a more efficient approach.
• the authors study a kernel that is a function of the difference or distance between the summaries and which is maximal at zero. This is indeed rather frequent in the ABC literature, but does it impact the convergence properties of the kernel estimator?
• the estimation of the tolerance, which happens to be a bandwidth in that case, does not appear to be processed in this paper, which could explain for very low probabilities of acceptance mentioned in the paper.
• I am lost as to why lower bounds on likelihoods are relevant here. Unless this is intended for ABC maximum likelihood estimation.

Guttmann and Corander also comment on the first point, through the cost of producing a likelihood estimator. They therefore suggest to resort to regression and to avoid regions of low estimated likelihood. And rely on Bayesian optimisation. (Hopefully to be commented later.)

## rate of convergence for ABC

Posted in Statistics, University life with tags , , , , on November 19, 2013 by xi'an

Barber, Voss, and Webster recently posted and arXived a paper entitled The Rate of Convergence for Approximate Bayesian Computation. The paper is essentially theoretical and establishes the optimal rate of convergence of the MSE—for approximating a posterior moment—at a rate of 2/(q+4), where q is the dimension of the summary statistic, associated with an optimal tolerance in n-1/4. I was first surprised at the role of the dimension of the summary statistic, but rationalised it as being the dimension where the non-parametric estimation takes place. I may have read the paper too quickly as I did not spot any link with earlier convergence results found in the literature: for instance, Blum (2010, JASA) links ABC with standard kernel density non-parametric estimation and find a tolerance (bandwidth) of order n-1/q+4 and an MSE of order 2/(q+4) as well. Similarly, Biau et al. (2013, Annales de l’IHP) obtain precise convergence rates for ABC interpreted as a k-nearest-neighbour estimator. And, as already discussed at length on this blog, Fearnhead and Prangle (2012, JRSS Series B) derive rates similar to Blum’s with a tolerance of order n-1/q+4 for the regular ABC and of order n-1/q+2 for the noisy ABC

## Le Monde rank test (cont’d)

Posted in R, Statistics with tags , , , on April 5, 2010 by xi'an

Following a comment from efrique pointing out that this statistic is called Spearman footrule, I want to clarify the notation in

$\mathfrak{M}_n = \sum_{i=1}^n |r^x_i-r^y_i|\,,$

namely (a) that the ranks of $x_i$ and $y_i$ are considered for the whole sample, i.e.

$\{r^x_1,\ldots,r^x_n,r^y_1,\ldots,r^y_n\} = \{1,\ldots,2n\}$

instead of being computed separately for the $x$‘s and the $y$‘s, and then (b) that the ranks are reordered for each group (meaning that the groups could be of different sizes). This statistics is therefore different from the Spearman footrule studied by Persi Diaconis and R. Graham in a 1977 JRSS paper,

$\mathfrak{D}_ n = \sum_{i=1}^n |\pi(i)-\sigma(i)|\,,$

where $\pi$ and $\sigma$ are permutations from $\mathfrak{S}_n$. The mean of $\mathfrak{D}_ n$ is approximately $n^{2/3}$. I mistakenly referred to Spearman’s ρ rank correlation test in the previous post. It is actually much more related to the Siegel-Tukey test, even though I think there exists a non-parametric test of iid-ness for paired observations… The $x$‘s and the $y$‘s are thus not paired, despite what I wrote previously. This distance must be related to some non-parametric test for checking the equality of location parameters.

## Exploratory Statistics with R

Posted in Statistics, University life with tags , , , , , on October 5, 2009 by xi'an

The exploratory Statistics course at Université Paris Dauphine has now started again and I am giving as in the past years the version of the course in English for interested students. Here are the slides (in English):

The course is intended for our third year students who already have two probability courses and one statistics course as background. The idea is to work only with small groups and only in the computer lab, so that they can experiment on the go. This approach is the result of several failed attempts when the students would not show up in class but only in the labs. The students take an on-line exam at the end of the course in January with multiple choice questions that must be argumented by attached R programs. This follows several years when the students were handling projects, due to massive cheating!

## ABC as a non-parametric approximation

Posted in Statistics with tags , , , on April 8, 2009 by xi'an

There was yet another post on arXiv of an ABC paper, this time by Michael Blum. The paper is entitled Approximate Bayesian Computation: a non-parametric perspective and it does provide a good review on the nonparametric side of ABC, which I find is underexploited and underrepresented. The true difficulty is with the dimension curse of course, but mixing dimension reduction with recycling by shrinking as in Beaumont et al. (2002) may help fight this problem.