Concentration results for approximate Bayesian computation without identifiability


We study the large sample behaviors of approximate Bayesian computation (ABC) posterior measures in situations when the data generating process is dependent on non-identifiable parameters. In particular, we establish the concentration of posterior measures on sets of arbitrarily measure that contain the equivalence set of the data generative parameter, when the sample size tends to infinity. Our theory also makes weak assumptions regarding the measurement of discrepancy between the data set and simulations, and in particular, does not require the use of summary statistics and is applicable to a broad class of kernelized ABC algorithms. We provide useful illustrations and demonstrations of our theory in practice, and offer a comprehensive assessment of the nature in which our findings complement other results in the literature.

TrungTin Nguyen
TrungTin Nguyen
Postdoctoral Research Fellow

A central theme of my research is data science at the intersection of statistical learning, machine learning and optimization.