コバヤシ　ゲンヤ   KOBAYASHI GENYA   小林　弦矢    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2014/12
形態種別	学術雑誌
査読	査読あり
標題	A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice
執筆形態	単著
掲載誌名	COMPUTATIONAL STATISTICS & DATA ANALYSIS
掲載区分	国外
出版社・発行元	ELSEVIER SCIENCE BV
巻・号・頁	80,pp.167-183
著者・共著者	Genya Kobayashi
概要	When the likelihood functions are either unavailable analytically or are computationally cumbersome to evaluate, it is impossible to implement conventional Bayesian model Choice methods. Instead, approximate Bayesian computation (ABC) or the likelihood-free method can be used in order to avoid direct evaluation of the intractable likelihoods. This paper proposes a new Markov chain Monte Carlo (MCMC) method for model choice. This method is based on the pseudo-marginal approach and is appropriate for situations where the likelihood functions for the competing models are intractable. This method proposes jumps between the models with different dimensionalities without matching the dimensionalities. Therefore, it enables the construction of a flexible proposal distribution. The proposal distribution used in this paper is convenient to implement and works well in the context of ABC.
DOI	10.1016/j.csda.2014.06.025
ISSN	0167-9473