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On selection of statistics for approximate Bayesian computing (or the method of simulated moments)

Creel, M; Kristensen, D; (2016) On selection of statistics for approximate Bayesian computing (or the method of simulated moments). Computational Statistics and Data Analysis , 100 pp. 99-114. 10.1016/j.csda.2015.05.005. Green open access

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Abstract

A cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments, is presented. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that may contain an extremely large number of elements. A first simple example, for which optimal statistics are known from theory, shows that the method is able to select these optimal statistics out of a large set of candidate statistics. A second example of selection of statistics for a stochastic volatility model illustrates the method in a more complex case. Code to replicate the results, or to use the method for other applications, is provided at http://www.runmycode.org/companion/view/1116.

Type: Article
Title: On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.csda.2015.05.005
Publisher version: http://dx.doi.org/10.1016/j.csda.2015.05.005
Language: English
Additional information: © 2016. This manuscript version is published under a Creative Commons Attribution Non-commercial Non-derivative 4.0 International licence (CC BY-NC-ND 4.0). This licence allows you to share, copy, distribute and transmit the work for personal and non-commercial use providing author and publisher attribution is clearly stated. Further details about CC BY licences are available at http://creativecommons.org/licenses/by/4.0. Access may be initially restricted by the publisher.
Keywords: Approximate Bayesian computation, Likelihood-free methods, Method of simulated moments, Selection of statistics
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/1471056
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