Approximate Bayesian Computation for a Class of Time Series Models

Abstract: In the following article we consider approximate Bayesian computation (ABC) for certain classes of time series models. In particular, we focus upon scenarios where the likelihoods of the observations and parameter are intractable, by which we mean that one cannot evaluate the likelihood even up-to a positive unbiased estimate. This paper reviews and develops a class of approximation procedures based upon the idea of ABC, but, specifically maintains the probabilistic structure of the original statistical model. This idea is useful, in that it can facilitate an analysis of the bias of the approximation and the adaptation of established computational methods for parameter inference. Several existing results in the literature are surveyed and novel developments with regards to computation are given.