Approximate Bayesian Computation with the Wasserstein Distance

DOI10.1111/rssb.12312zbMath1420.62022arXiv1905.03747OpenAlexW2916041869WikidataQ128361831 ScholiaQ128361831MaRDI QIDQ5234401

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Publication date: 26 September 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.03747

zbMATH Keywords

time seriesWasserstein distanceapproximate Bayesian computationqueuing modeloptimal transportlikelihood-free inferencegenerative modelsLévy-driven stochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian problems; characterization of Bayes procedures (62C10) Queueing theory (aspects of probability theory) (60K25)

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