University of Cape Town
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Software: Adaptive Approximate Bayesian Computation

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posted on 2022-02-07, 05:30 authored by Michael GantMichael Gant, Tim GebbieTim Gebbie
A Julia package stored in a GitHub repository that contains an Approximate Bayesian Computation (ABC) model with distance functions. This is used as a likelihood-free approach to calibrating a given simulation function to some observed data.

There are 2 ABC methods available, rejection-ABC and Population Monte Carlo ABC (PMC-ABC), each with 2 different distance functions, the block bootstrap distance function and the weighted euclidean distance function.

This package is used in the dissertation, Calibrating a Latent Order Book Model to Market Data, to calibrate various models (ARMA, LOB, SLOB) to synthetic and real market data.



Statistical Sciences