Journal
BIOMETRIKA
Volume 96, Issue 4, Pages 983-990Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asp052
Keywords
Importance sampling; Markov chain Monte Carlo; Partial rejection control; Sequential Monte Carlo
Funding
- Engineering and Physical Sciences Research Council [EP/C533550/1] Funding Source: researchfish
- EPSRC [EP/C533550/1] Funding Source: UKRI
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Sequential techniques can enhance the efficiency of the approximate Bayesian computation algorithm, as in Sisson et al.'s (2007) partial rejection control version. While this method is based upon the theoretical works of Del Moral et al. (2006), the application to approximate Bayesian computation results in a bias in the approximation to the posterior. An alternative version based on genuine importance sampling arguments bypasses this difficulty, in connection with the population Monte Carlo method of Cappe et al. (2004), and it includes an automatic scaling of the forward kernel. When applied to a population genetics example, it compares favourably with two other versions of the approximate algorithm.
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