ABC Densities

$\newcommand{\ystar}{y^{*}} \newcommand{\Ycal}{\mathcal{Y}} \newcommand{\isample}{^{(i)}} \newcommand{\kernel}{p_{\epsilon}(\ystar \mid y)} \newcommand{\tkernel}{\tilde{p}_{\epsilon}(\ystar \mid y)} \newcommand{\jointABCpost}{p_{\epsilon}(\theta, y \mid \ystar)} \newcommand{\like}{p(y \mid \theta)} \newcommand{\prior}{p(\theta)} \newcommand{\truepost}{p(\theta \mid \ystar)} \newcommand{\ABCpost}{p_{\epsilon}(\theta \mid \ystar)} \newcommand{\ABClike}{p_{\epsilon}(\ystar \mid \theta)} \newcommand{\Ebb}{\mathbb{E}}$

ABC Posterior and ABC Kernel

In the previous subsection, we realised that we need a way to compare the simulated data $y$ and the observed data $\ystar$. Suppose that we have sampled a parameter value from the prior $\theta \sim p(\theta)$ and generated an auxiliary dataset with that parameter value $y \sim p(y \mid \theta)$. We could weight the sample $(y, \theta)\sim p(y \mid \theta) p(\theta)$ by a function that measures the similarity between $y$ and $\ystar$. We call this function a normalized kernel function and we denote it by $\kernel$ where $\epsilon$ is the tolerance or bandwidth parameter. The result of this sampling and weighting operation is that we are sampling from the following density $$ (y, \theta) \sim \jointABCpost \propto \kernel \like \prior. $$ which we call the augmented ABC posterior. Of course our original aim was to sample from $\truepost$ so we need to marginalize out the auxiliary dataset $y$ to obtain an approximate parameter posterior density, which we call ABC posterior $$ \ABCpost = \int_{\Ycal} \jointABCpost dy \propto \int_{\Ycal} \kernel \like \prior dy = \ABClike \prior. $$ In right-hand side of the expression above we have defined the ABC likelihood as a convolution between the true likelihood and the normalized kernel function $$ \ABClike = \int_{\Ycal} \kernel \like dy. $$ This convolution operation has a simple interpretation if you break it down: given a parameter value $\theta$ the ABC likelihood is formed as a weighted average of the true likelihood and the normalized kernel function. This operation smoothes out the intractable likelihood. In practice, this marginalization operation is performed simply by dropping the auxiliary dataset: the remaining $\theta$ samples will be from $\ABCpost$.

Augmented ABC Posterior$\jointABCpost$
ABC Posterior$\ABCpost$
ABC Likelihood$\ABClike$
Normalized ABC Kernel$\kernel$