Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/259222

On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments
Creel, Michael; Kristensen, Dennis
This paper presents a cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that may contain many, many elements. An example, for which optimal statistics are known from theory, shows that the method is able to select optimal statistics out of a large set of candidate statistics.
02-2015
Method of simulated moments
Selection of statistics
Likelihood-free methods
Approximate Bayesian Computation
33 - Economia
Econometria
Simulació, Mètodes de
Decisió estadística bayesiana, Teoria de la
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17 p.
Documento de trabajo
Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica
Working papers;950.15
         

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