Approximate Bayesian computation (ABC) refers to a family of inference methods used in the Bayesian analysis of complex models where evaluation of the likelihood is difficult. Conventional ABC methods often suffer from the curse of dimensionality, and a marginal adjustment strategy was recently introduced in the literature to improve the performance of ABC algorithms in high-dimensional problems. In this article, the marginal adjustment approach is extended using a Gaussian copula approximation. The method first estimates the bivariate posterior for each pair of parameters separately using 2-dimensional Gaussian copula, and then combines these estimates together to estimate the joint posterior. The approximation works well in large sample settings when the posterior is approximately normal, but also works well in many cases where we are far from that situation due to the nonparametric estimation of the marginal posterior distributions. If each bivariate posterior distribution can be well estimated with a low-dimensional ABC analysis then this Gaussian copula method can extend ABC methods to problems of high dimension. The method also results in an analytic expression for the approximate posterior which is useful for many purposes such as approximation of the likelihood itself. We illustrate this method with several examples.
Gaussian Copula ABC REF estimates the posterior with a parametric Gaussian copula model.
Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
arXiv: Computation
Mathematics Computer Science