18 citations · 67 across the 26 of their papers we have counts for
5 papers · 1 filter
Sequential Scoring Rule Evaluation for Forecast Method Selection
David T. Frazier, Donald S. Poskitt
This paper shows that sequential statistical analysis techniques can be generalised to the problem of selecting between alternative forecasting methods using scoring rules. A retur…
Cutting feedback and modularized analyses in generalized Bayesian inference
David T. Frazier, David J. Nott
This work considers Bayesian inference under misspecification for complex statistical models comprised of simpler submodels, referred to as modules, that are coupled together. Such…
Synthetic likelihood in misspecified models
David T. Frazier, Christopher Drovandi, David J. Nott
Bayesian synthetic likelihood is a widely used approach for conducting Bayesian analysis in complex models where evaluation of the likelihood is infeasible but simulation from the…
Model Misspecification in ABC: Consequences and Diagnostics
David T. Frazier, Christian P. Robert, Judith Rousseau
We analyze the behavior of approximate Bayesian computation (ABC) when the model generating the simulated data differs from the actual data generating process; i.e., when the data…
Indirect Inference With(Out) Constraints
David T. Frazier, Eric Renault
Indirect Inference (I-I) estimation of structural parameters {requires matching observed and simulated statistics, which are most often generated using an auxiliary model that…