On selection of statistics for approximate Bayesian computing (or the method of moments)
Creel, Michael (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)
Kristensen, Dennis (University College London)

Data:	2016
Resum:	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.
Ajuts:	European Commission 312474
Nota:	Altres ajuts: RES-589-28-0001
Drets:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Llengua:	Anglès
Document:	Article ; recerca ; Versió acceptada per publicar
Matèria:	Approximate Bayesian computation ; Likelihood-free methods ; Selection of statistics ; Method of simulated moments
Publicat a:	Computational statistics & data analysis, Vol. 100 (2016) , p. 99-114, ISSN 0167-9473

DOI: 10.1016/j.csda.2015.05.005

Postprint 30 p, 668.8 KB

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