27 citations · 74 across the 13 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…
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…
Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
Don S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, , in fractionally integrated processes. The re-sampling method…