Testing Model Specification in Approximate Bayesian Computation Using Asymptotic Properties
| dc.citation.epage | 1128 | |
| dc.citation.issue | 3 | |
| dc.citation.journalTitle | Journal of Computational and Graphical Statistics | eng |
| dc.citation.spage | 1122 | |
| dc.citation.volume | 33 | |
| dc.contributor.affiliation | Universidad EAFIT | |
| dc.contributor.author | Ramírez-Hassan, Andrés | |
| dc.coverage.spatial | Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees | |
| dc.creator.email | aramir21@eafit.edu.co | |
| dc.date.accessioned | 2025-01-08T20:12:21Z | |
| dc.date.available | 2025-01-08T20:12:21Z | |
| dc.date.issued | 2024-06-24 | |
| dc.description.abstract | We present a novel procedure to diagnose model misspecification in situations where inference is performed using approximate Bayesian computation (ABC). Unlike previous procedures, our proposal is based on the asymptotic properties of ABC. We demonstrate theoretically, and empirically that our procedure can consistently detect the presence of model misspecification. The examples demonstrate that our proposal shows good finite-sample properties, outperforming existing approaches. An empirical application to modeling exchange rate log returns using a g-and-k distribution completes the article. Supplementary materials for this article are available online. | eng |
| dc.identifier.doi | 10.1080/10618600.2024.2357630 | |
| dc.identifier.uri | https://hdl.handle.net/10784/34859 | |
| dc.language.iso | eng | |
| dc.publisher | Taylor & Francis | eng |
| dc.publisher.department | Universidad EAFIT. Escuela de Finanzas, Economía y Gobierno. Área Mercados y Estrategia Financiera | spa |
| dc.publisher.place | Medellín | spa |
| dc.publisher.program | Grupo de Investigación Omega | spa |
| dc.relation.ispartof | Journal of Computational and Graphical Statistics Volume 33, 2024 - Issue 3 | |
| dc.relation.isversionof | https://www.tandfonline.com/doi/full/10.1080/10618600.2024.2357630 | |
| dc.relation.uri | https://www.tandfonline.com/doi/full/10.1080/10618600.2024.2357630 | |
| dc.rights | Copyright © 2024 Taylor & Francis. All rights reserved. | |
| dc.rights.accessrights | info:eu-repo/semantics/RestrictedAccess | eng |
| dc.rights.local | Acceso restringido | spa |
| dc.subject.keyword | Approximate Bayesian computation | eng |
| dc.subject.keyword | Bayesian inference | eng |
| dc.subject.keyword | Misspecification test | eng |
| dc.subject.keyword | Simulation | eng |
| dc.title | Testing Model Specification in Approximate Bayesian Computation Using Asymptotic Properties | eng |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | article | eng |
| dc.type.hasVersion | publishedVersion | eng |
| dc.type.local | Artículo | spa |