Example 15

Case-Study XV: Approximate Bayesian inference using 10 bivariate normal distributions

In this fifteenth study we illustrate the use of Approximate Bayesian Computation (ABC) by application to a target distribution consisting of ten bivariate normal distributions. We first sample randomly ten times the mean, , of a bivariate normal distribution, by drawing randomly from a two-dimensional uniform prior distribution, with and or , where the tilde symbol ‟” means ‟distributed according to”. We then treat these i = 10 values as observations, and store them in a vector, . We now use this vector of with observations to determine the observed means by drawing ten different times a sample from a bivariate normal distribution

where is the pair of parameter values created by DREAM and stored in vector x, and  . The values of are stored in the vector, . The distance between the observed and simulated observations is not defined with a formal likelihood function, but rather with a distance function, as follows (Turner and Sederberg, 1980)

The proposal is considered to be behavioral (= posterior solution) if the value of the distance function is smaller than , a small positive value. We approximate the posterior distribution of the ten means in DREAM using N = 20 different chains and the distance function of Equation (15.02). The initial state of each chain is sampled randomly from and standard values are used of the algorithmic variables (default ).

Implementation of plugin functions

The complete source code can be found in DREAM SDK - Examples\D3\Drm_Example15\Plugin\Src_Cpp