Robust Approximate Bayesian Computation: An Adjustment Approach

08/07/2020

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by   David T. Frazier, et al.

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We propose a novel approach to approximate Bayesian computation (ABC) that seeks to cater for possible misspecification of the assumed model. This new approach can be equally applied to rejection-based ABC and to popular regression adjustment ABC. We demonstrate that this new approach mitigates the poor performance of regression adjusted ABC that can eventuate when the model is misspecified. In addition, this new adjustment approach allows us to detect which features of the observed data can not be reliably reproduced by the assumed model. A series of simulated and empirical examples illustrate this new approach.