CUED Publications database

Asymptotic behaviour of approximate Bayesian estimators

Dean, TA and Singh, SS (2011) Asymptotic behaviour of approximate Bayesian estimators. Technical Report. Cambridge University Engineering Department.

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Although approximate Bayesian computation (ABC) has become a popular technique for performing parameter estimation when the likelihood functions are analytically intractable there has not as yet been a complete investigation of the theoretical properties of the resulting estimators. In this paper we give a theoretical analysis of the asymptotic properties of ABC based parameter estimators for hidden Markov models and show that ABC based estimators satisfy asymptotically biased versions of the standard results in the statistical literature.

Item Type: Monograph (Technical Report)
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron job
Date Deposited: 16 Jul 2015 14:36
Last Modified: 07 Oct 2015 03:39