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Article Dans Une Revue Journal of the Royal Statistical Society: Series B Année : 2019

Model misspecification in approximate Bayesian computation: consequences and diagnostics

Model Misspecification in ABC: Consequences and Diagnostics

Résumé

We analyze the behavior of approximate Bayesian computation (ABC) when the model generating the simulated data differs from the actual data generating process; i.e., when the data simulator in ABC is misspecified. We demonstrate both theoretically and in simple, but practically relevant, examples that when the model is misspecified different versions of ABC can lead to substantially different results. Our theoretical results demonstrate that under regularity conditions a version of the accept/reject ABC approach concentrates posterior mass on an appropriately defined pseudo-true parameter value. However, under model misspecification the ABC posterior does not yield credible sets with valid frequentist coverage and has non-standard asymptotic behavior. We also examine the theoretical behavior of the popular linear regression adjustment to ABC under model misspecification and demonstrate that this approach concentrates posterior mass on a completely different pseudo-true value than that obtained by the accept/reject approach to ABC. Using our theoretical results, we suggest two approaches to diagnose model misspecification in ABC. All theoretical results and diagnostics are illustrated in a simple running example.

Dates et versions

hal-01961101 , version 2 (19-12-2018)
hal-01961101 , version 1 (23-12-2022)

Identifiants

Citer

David Frazier, Christian Robert, Judith Rousseau. Model misspecification in approximate Bayesian computation: consequences and diagnostics. Journal of the Royal Statistical Society: Series B, 2019, 82 (2), pp.421-444. ⟨10.1111/rssb.12356⟩. ⟨hal-01961101v2⟩
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