Estimating functions in indirect inference

By Knut Heggland, Arnoldo Frigessi. 2004

95 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2f7108a84f5318f6356895ed023190661f68f453

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In Statistics and Probability

Citations in the corpus

On the Asymptotic Efficiency of Approximate Bayesian Computation Estimators (2015, methodology): “This is similar to asymptotic results for indirect inference (Gouriéroux & Ronchetti, 1993; Heggland & Frigessi, 2004).”
Non-linear regression models for Approximate Bayesian Computation (2008, methodology): “In this section, we present three examples of implicit statistical models, two of which have received considerable attention in population genetics, and the last one has served to illustrate indirect inference (Gourieroux et al. 1993; Heggland and Frigessi 2004).”
A comparative review of dimension reduction methods in approximate Bayesian computation (2012, methodology): “lusion of regularisation techniques. We introduce the ridge regression adjustment to ABC in Section 3.2. 2.5 Other methods Drovandi et al. (2011) proposed to adopt ideas from indirect inference (e.g. Heggland and Frigessi 2004; Jiang and Turnbull 2004) as a means to identify summary statistics for a”
Constructing summary statistics for approximate Bayesian computation: semi‐automatic approximate Bayesian computation (2012, methodology): “For many approximating models, the auxiliary parameters depend on a small set of summary statistics of the data; these were called auxiliary statistics in Heggland and Frigessi (2004). In these cases indirect inference is performing inference based on these auxiliary statistics.”
Approximate Bayesian computation using indirect inference (2011, methodology): “In this paper we investigate an alternative approach to obtain summary statistics that is based on indirect inference (Heggland and Frigessi, 2004).”
Statistical inference for stochastic simulation models--theory and application. (2011, methodology): “…the method of indirect inference uses as summary statistics the parameter estimates of a so called auxiliary , intermediate or indirect statistical model that is fit to simulated and observed data (Gourieroux et al. 1993; Heggland & Frigessi 2004; Jiang & Turnbull 2004; Drovandi et al. 2011).”