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gwern comments on Open thread, Sep. 14 - Sep. 20, 2015 - Less Wrong Discussion

3 Post author: MrMind 14 September 2015 07:10AM

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Comment author: gwern 16 September 2015 04:26:40PM *  4 points [-]

It's just that right now, even if I do specify exactly how I think the generating process works, I still need to work out how to do the estimation.

If you can implement a good simulation of the generating process, then you are already done - estimating is as simple as ABC. (Aside from the hilariously high computing demands of the naive/exact ABC, I've been pleased & impressed just how dang easy it is to use ABC. Complicated interval-censored data? No problem. Even more complicated mixture distribution / multilevel problem where data flips from garbage to highly accurate? Ne pas!)