New Insights Into Approximate Bayesian Computation

Gérard Biau, Frédéric Cérou, Arnaud Guyader

Published 2012-07-27, updated 2013-06-03Version 2

Approximate Bayesian Computation (ABC for short) is a family of computational techniques which offer an almost automated solution in situations where evaluation of the posterior likelihood is computationally prohibitive, or whenever suitable likelihoods are not available. In the present paper, we analyze the procedure from the point of view of k-nearest neighbor theory and explore the statistical properties of its outputs. We discuss in particular some asymptotic features of the genuine conditional density estimate associated with ABC, which is an interesting hybrid between a k-nearest neighbor and a kernel method.