18 citations · 67 across the 26 of their papers we have counts for
3 papers · 1 filter
Asymptotic Properties of Approximate Bayesian Computation
David T. Frazier, Gael M. Martin, Christian P. Robert +1
Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distrib…
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…
Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
Gael M. Martin, Brendan P. M. McCabe, David T. Frazier +2
A computationally simple approach to inference in state space models is proposed, using approximate Bayesian computation (ABC). ABC avoids evaluation of an intractable likelihood b…