With Jean-Michel Marin, Pierre Pudlo and Robin Ryder, we just completed a survey on the ABC methodology. It is now both arXived and submitted to Statistics and Computing. Rather interestingly, our first draft was written in Jean-Michel’s office in Montpelier by collating the ‘Og posts surveying new ABC papers! (Interestingly because this means that my investment in the ‘Og is now such that it needs to [and can] be recycled into papers and books. Another paper with Randal Douc is inspired from a reply to a comment…) Besides surveying the recent literature, this paper illustrates the behaviour of the ABC approximation in the simple case of the MA(2) model. Both graphs reproduced here illustrate the impact of the choice of the distance (above) and of the tolerance level (below, in a model choice setting).
Filed under: R, Statistics Tagged: ABC, MA(q) model, Statistics and Computing, survey