Conditional density estimation using population Monte Carlo based approximate Bayesian computation

Authors : Faiza AFZAAL, Maryam ILYAS

Pages : 1120-1134

Doi:10.15672/hujms.1055050

View : 221 | Download : 297

Publication Date : 2023-08-15

Article Type : Research Paper

Abstract :Most statistical methods require likelihood evaluation to draw a statistical inference. However, in some situations, likelihood evaluation becomes difficult analytically or computationally. Different likelihood-free methods are available that eliminate the need to compute the likelihood function. Approximate Bayesian Computation insert ignore into journalissuearticles values(ABC); is a framework that implements likelihood-free inference and replaces the likelihood evaluation with simulations by using forward modeling. The goal of ABC methods is to approximate the posterior distribution. However, posterior approximation via ABC methods is still considerably expensive for high dimensions. ABC requires many simulations that become computationally infeasible for complex models. Here, a technique is proposed that combines a somewhat more efficient form of ABC insert ignore into journalissuearticles values(Population Monte Carlo, PMC); with a Conditional Density Estimation insert ignore into journalissuearticles values(CDE); approach. The proposed framework provides an estimation of the posterior distribution which is referred to as PMC-CDE. A simulation study is performed that provides empirical evidence to show the efficiency of PMC-CDE in terms of integrated squared error loss. Furthermore, real-life datasets manifest the application of the proposed method.
Keywords : Approximate Bayesian computation, sequential Monte Carlo, population Monte Carlo, conditional density estimation