Kernel Recursive ABC: Point Estimation with Intractable Likelihood

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Takafumi Kajihara, Motonobu Kanagawa, Keisuke Yamazaki, Kenji Fukumizu ;
Proceedings of the 35th International Conference on Machine Learning, PMLR 80:2400-2409, 2018.

Abstract

We propose a novel approach to parameter estimation for simulator-based statistical models with intractable likelihood. Our proposed method involves recursive application of kernel ABC and kernel herding to the same observed data. We provide a theoretical explanation regarding why the approach works, showing (for the population setting) that, under a certain assumption, point estimates obtained with this method converge to the true parameter, as recursion proceeds. We have conducted a variety of numerical experiments, including parameter estimation for a real-world pedestrian flow simulator, and show that in most cases our method outperforms existing approaches.

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