Blum, M. G. B. and Nunes, Matthew and Prangle, Dennis and Sisson, S. A. (2013) A comparative review of dimension reduction methods in approximate Bayesian computation. Statistical Science, 28 (2). pp. 189-208. ISSN 0883-4237
Abstract
Approximate Bayesian computation (ABC) methods make use of comparisons between simulated and observed summary statistics to overcome the problem of computationally intractable likelihood functions. As the practical implementation of ABC requires computations based on vectors of summary statistics, rather than full datasets, a central question is how to derive low dimensional summary statistics from the observed data with minimal loss of information. In this article we provide a comprehensive review and comparison of the performance of the principal methods of dimension reduction proposed in the ABC literature. The methods are split into three non-mutually exclusive classes consisting of best subset selection methods, projection techniques and regularisation. In addition, we introduce two new methods of dimension reduction. The first is a best subset selection method based on Akaike and Bayesian information criteria, and the second uses ridge regression as a regularisation procedure. We illustrate the performance of these dimension reduction techniques through the analysis of three challenging models and data sets.