Seminario: 18 Gennaio 2017 - Juan Miguel Marin
Mercoledì 18 gennaio, alle ore 12:30, presso l'Aula di Matematica (Sapienza Università di Roma, Via del Castro Laurenziano 9, Roma - Facoltà di Economia, 1° piano)
Relatore: Juan Miguel Marin
There is an increasing amount of literature focused on Bayesian computational methods to address problems with intractable likelihood. One approach is a set of algorithms known as Approximate Bayesian Computational (ABC) methods. One of the problems of these algorithms is that the performance depends on the tuning of some parameters, such as the summary statistics, distance and tolerance level. To bypass this problem, Mengersen, Pudlo and Robert (2013) introduced an alternative method based on empirical likelihood, which can be easily implemented when a set of constraints, related to the moments of the distribution, is known. However, the choice of the constraints is sometimes challenging. To overcome this problem, we propose an alternative method based on a bootstrap likelihood approach. The method is easy to implement and in some cases it is faster than the other approaches. The performance of the algorithm is illustrated with examples in Population Genetics, Time Series and Stochastic Differential Equations. Finally, we test the method on a real dataset.