A comparative review of dimension reduction methods in approximate Bayesian computation
TL;DR: This article provides a comprehensive review and comparison of the performance of the principal methods of dimension reduction proposed in the ABC literature, split into three nonmutually exclusive classes consisting of best subset selection methods, projection techniques and regularization.
Abstract: Approximate Bayesian computation (ABC) methods make use of comparisons between simulated and observed summary statistics to overcome the problem of computationally intractable likelihood functions. As the practical implementation of ABC requires computations based on vectors of summary statistics, rather than full data sets, a central question is how to derive low-dimensional summary statistics from the observed data with minimal loss of information. In this article we provide a comprehensive review and comparison of the performance of the principal methods of dimension reduction proposed in the ABC literature. The methods are split into three nonmutually exclusive classes consisting of best subset selection methods, projection techniques and regularization. In addition, we introduce two new methods of dimension reduction. The first is a best subset selection method based on Akaike and Bayesian information criteria, and the second uses ridge regression as a regularization procedure. We illustrate the performance of these dimension reduction techniques through the analysis of three challenging models and data sets.
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TL;DR: Approximate Bayesian computation (ABC) constitutes a class of computational methods rooted in Bayesian statistics that widen the realm of models for which statistical inference can be considered and exacerbates the challenges of parameter estimation and model selection.
Abstract: Approximate Bayesian computation (ABC) constitutes a class of computational methods rooted in Bayesian statistics. In all model-based statistical inference, the likelihood function is of central importance, since it expresses the probability of the observed data under a particular statistical model, and thus quantifies the support data lend to particular values of parameters and to choices among different models. For simple models, an analytical formula for the likelihood function can typically be derived. However, for more complex models, an analytical formula might be elusive or the likelihood function might be computationally very costly to evaluate. ABC methods bypass the evaluation of the likelihood function. In this way, ABC methods widen the realm of models for which statistical inference can be considered. ABC methods are mathematically well-founded, but they inevitably make assumptions and approximations whose impact needs to be carefully assessed. Furthermore, the wider application domain of ABC exacerbates the challenges of parameter estimation and model selection. ABC has rapidly gained popularity over the last years and in particular for the analysis of complex problems arising in biological sciences (e.g., in population genetics, ecology, epidemiology, and systems biology).
531 citations
TL;DR: This work shows how to construct appropriate summary statistics for ABC in a semi‐automatic manner, and shows that optimal summary statistics are the posterior means of the parameters.
Abstract: Summary. Many modern statistical applications involve inference for complex stochastic models, where it is easy to simulate from the models, but impossible to calculate likelihoods. Approximate Bayesian computation (ABC) is a method of inference for such models. It replaces calculation of the likelihood by a step which involves simulating artificial data for different parameter values, and comparing summary statistics of the simulated data with summary statistics of the observed data. Here we show how to construct appropriate summary statistics for ABC in a semi-automatic manner. We aim for summary statistics which will enable inference about certain parameters of interest to be as accurate as possible. Theoretical results show that optimal summary statistics are the posterior means of the parameters. Although these cannot be calculated analytically, we use an extra stage of simulation to estimate how the posterior means vary as a function of the data; and we then use these estimates of our summary statistics within ABC. Empirical results show that our approach is a robust method for choosing summary statistics that can result in substantially more accurate ABC analyses than the ad hoc choices of summary statistics that have been proposed in the literature. We also demonstrate advantages over two alternative methods of simulation-based inference.
527 citations
01 Jun 2012
TL;DR: In this article, a semi-automatic summary statistics for approximate Bayesian computation (ABC) is proposed, which can enable inference about certain parameters of interest to be as accurate as possible.
Abstract: Many modern statistical applications involve inference for complex stochastic models, where it is easy to simulate from the models, but impossible to calculate likelihoods. Approximate Bayesian computation (ABC) is a method of inference for such models. It replaces calculation of the likelihood by a step which involves simulating artificial data for different parameter values, and comparing summary statistics of the simulated data with summary statistics of the observed data. Here we show how to construct appropriate summary statistics for ABC in a semi-automatic manner. We aim for summary statistics which will enable inference about certain parameters of interest to be as accurate as possible. Theoretical results show that optimal summary statistics are the posterior means of the parameters. Although these cannot be calculated analytically, we use an extra stage of simulation to estimate how the posterior means vary as a function of the data; and we then use these estimates of our summary statistics within ABC. Empirical results show that our approach is a robust method for choosing summary statistics that can result in substantially more accurate ABC analyses than the ad hoc choices of summary statistics that have been proposed in the literature. We also demonstrate advantages over two alternative methods of simulation-based inference.
321 citations
TL;DR: It is argued that supervised ML is an important and underutilized tool that has considerable potential for the world of evolutionary genomics.
302 citations
Cites methods from "A comparative review of dimension r..."
...Most importantly, when using large feature vectors, ABC is susceptible to the curse of dimensionality [59] – much effort has therefore gone into dimensionality reduction and feature selection for ABC (reviewed in [89])....
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TL;DR: This work proposes a novel approach based on a machine learning tool named random forests (RF) to conduct selection among the highly complex models covered by ABC algorithms, modifying the way Bayesian model selection is both understood and operated.
Abstract: Approximate Bayesian computation (ABC) methods provide an elaborate approach to Bayesian inference on complex models, including model choice. Both theoretical arguments and simulation experiments indicate, however, that model posterior probabilities may be poorly evaluated by standard ABC techniques.Results: We propose a novel approach based on a machine learning tool named random forests (RF) to conduct selection among the highly complex models covered by ABC algorithms. We thus modify the way Bayesian model selection is both understood and operated, in that we rephrase the inferential goal as a classification problem, first predicting the model that best fits the data with RF and postponing the approximation of the posterior probability of the selected model for a second stage also relying on RF. Compared with earlier implementations of ABC model choice, the ABC RF approach offers several potential improvements: (i) it often has a larger discriminative power among the competing models, (ii) it is more robust against the number and choice of statistics summarizing the data, (iii) the computing effort is drastically reduced (with a gain in computation efficiency of at least 50) and (iv) it includes an approximation of the posterior probability of the selected model. The call to RF will undoubtedly extend the range of size of datasets and complexity of models that ABC can handle. We illustrate the power of this novel methodology by analyzing controlled experiments as well as genuine population genetics datasets.Availability and implementation: The proposed methodology is implemented in the R package abcrf available on the CRAN.
283 citations
Cites methods from "A comparative review of dimension r..."
...Keywords: Approximate Bayesian computation, model selection, summary statistics, k-nearest neighbors, likelihood-free methods, bagging, random forests, bootstrap, subsampling, posterior predictive, error rate, sparsity, Harlequin ladybird, Bayesian model choice....
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...…avoids the computation of the likelihood function (hence the alternative name of likelihood-free methods, Ratmann et al., 2007) and it progressively turned into a much more generic form of approximation technique, with applications to other forms of complex data, as covered in the above reviews....
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References
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TL;DR: This final installment of the paper considers the case where the signals or the messages or both are continuously variable, in contrast with the discrete nature assumed until now.
Abstract: In this final installment of the paper we consider the case where the signals or the messages or both are continuously variable, in contrast with the discrete nature assumed until now. To a considerable extent the continuous case can be obtained through a limiting process from the discrete case by dividing the continuum of messages and signals into a large but finite number of small regions and calculating the various parameters involved on a discrete basis. As the size of the regions is decreased these parameters in general approach as limits the proper values for the continuous case. There are, however, a few new effects that appear and also a general change of emphasis in the direction of specialization of the general results to particular cases.
65,425 citations
TL;DR: In this article, a new estimate minimum information theoretical criterion estimate (MAICE) is introduced for the purpose of statistical identification, which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure.
Abstract: The history of the development of statistical hypothesis testing in time series analysis is reviewed briefly and it is pointed out that the hypothesis testing procedure is not adequately defined as the procedure for statistical model identification. The classical maximum likelihood estimation procedure is reviewed and a new estimate minimum information theoretical criterion (AIC) estimate (MAICE) which is designed for the purpose of statistical identification is introduced. When there are several competing models the MAICE is defined by the model and the maximum likelihood estimates of the parameters which give the minimum of AIC defined by AIC = (-2)log-(maximum likelihood) + 2(number of independently adjusted parameters within the model). MAICE provides a versatile procedure for statistical model identification which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure. The practical utility of MAICE in time series analysis is demonstrated with some numerical examples.
47,133 citations
"A comparative review of dimension r..." refers background in this paper
...Each can be expressed as the sum of the maximized log-likelihood that measures the fit of the model to the data, and a penalty for model complexity (Akaike 1974; Schwarz 1978)....
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TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
Abstract: The problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion. These terms are a valid large-sample criterion beyond the Bayesian context, since they do not depend on the a priori distribution.
38,681 citations
01 Jan 2005
TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
Abstract: The problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion. These terms are a valid large-sample criterion beyond the Bayesian context, since they do not depend on the a priori distribution.
36,760 citations
TL;DR: In this paper, an estimation procedure based on adding small positive quantities to the diagonal of X′X was proposed, which is a method for showing in two dimensions the effects of nonorthogonality.
Abstract: In multiple regression it is shown that parameter estimates based on minimum residual sum of squares have a high probability of being unsatisfactory, if not incorrect, if the prediction vectors are not orthogonal. Proposed is an estimation procedure based on adding small positive quantities to the diagonal of X′X. Introduced is the ridge trace, a method for showing in two dimensions the effects of nonorthogonality. It is then shown how to augment X′X to obtain biased estimates with smaller mean square error.
8,091 citations