摘要翻译：
模拟最小距离(SMD)的频率法在经济学中被广泛用于估计具有难以处理的似然性的复杂模型。在其他学科中，一种被称为近似贝叶斯计算(ABC)的贝叶斯方法要流行得多。本文将这两种看似相关的方法结合到无似然估计中，通过一个反向采样器，使用优化和重要性加权来针对后验分布。它的混合特性使我们能够从SMD的角度分析ABC估计值。我们证明了一个理想的ABC估计可以作为一系列SMD模式的加权平均，每个模式是数据与模型之间偏差的最小值。这与SMD形成鲜明对比，SMD是平均偏差的模式。利用随机展开，我们给出了频率估计和基于贝叶斯计算的频率估计的一般刻画，包括Laplace型估计。通过分析实例和对动态面板模型的仿真研究，说明了它们的差异。
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英文标题：
《The ABC of Simulation Estimation with Auxiliary Statistics》
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作者：
Jean-Jacques Forneron and Serena Ng
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最新提交年份：
2017
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  The frequentist method of simulated minimum distance (SMD) is widely used in economics to estimate complex models with an intractable likelihood. In other disciplines, a Bayesian approach known as Approximate Bayesian Computation (ABC) is far more popular. This paper connects these two seemingly related approaches to likelihood-free estimation by means of a Reverse Sampler that uses both optimization and importance weighting to target the posterior distribution. Its hybrid features enable us to analyze an ABC estimate from the perspective of SMD. We show that an ideal ABC estimate can be obtained as a weighted average of a sequence of SMD modes, each being the minimizer of the deviations between the data and the model. This contrasts with the SMD, which is the mode of the average deviations. Using stochastic expansions, we provide a general characterization of frequentist estimators and those based on Bayesian computations including Laplace-type estimators. Their differences are illustrated using analytical examples and a simulation study of the dynamic panel model.
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PDF链接：
https://arxiv.org/pdf/1501.01265