Introduction to Approximate Bayesian Computation (ABC)

Many of the posts in this blog have been concerned with using MCMC based methods for Bayesian inference. These methods are typically “exact” in the sense that they have the exact posterior distribution of interest as their target equilibrium distribution, but are obviously “approximate”, in that for any finite amount of computing time, we can only generate a finite sample of correlated realisations from a Markov chain that we hope is close to equilibrium.

Approximate Bayesian Computation (ABC) methods go a step further, and generate samples from a distribution which is not the true posterior distribution of interest, but a distribution which is hoped to be close to the real posterior distribution of interest. There are many variants on ABC, and I won’t get around to explaining all of them in this blog. The wikipedia page on ABC is a good starting point for further reading. In this post I’ll…