Articles by xi'an

AISTATS 2014 / MLSS tutorial

April 25, 2014 | xi'an

Here are the slides of the tutorial on ABC methods I gave yesterday at both AISTAST 2014 and MLSS. (I actually gave a tutorial at another MLSS a few years ago, on the pretty island of Berder in Brittany, next to Vannes.) They are definitely similar to previous talks and tutorials ... [Read more...]

Le Monde sans puzzle [& sans penguins]

April 11, 2014 | xi'an

As the Le Monde mathematical puzzle of this week was a geometric one (the quadrangle ABCD is divided into two parts with the same area, &tc…) , with no clear R resolution, I chose to bypass it. In this April 3 issue, several items of interest: first, a report by Etienne Ghys ... [Read more...]

data scientist position

April 6, 2014 | xi'an

Our newly created Chaire “Economie et gestion des nouvelles données” in Paris-Dauphine, ENS Ulm, École Polytechnique and ENSAE is recruiting a data scientist starting as early as May 1, the call remaining open till the position is filled. The location is in one of the above labs in Paris, the ... [Read more...]

Le Monde puzzle [#860]

April 3, 2014 | xi'an

A Le Monde mathematical puzzle that connects to my awalé post of last year: For N≤18, N balls are placed in N consecutive holes. Two players, Alice and Bob, consecutively take two balls at a time provided those balls are in contiguous holes. The loser is left with orphaned balls. ...
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Bayesian Data Analysis [BDA3 – part #2]

March 30, 2014 | xi'an

Here is the second part of my review of Gelman et al.’ Bayesian Data Analysis (third edition): “When an iterative simulation algorithm is “tuned” (…) the iterations will not in general converge to the target distribution.” (p.297) Part III covers advanced computation, obviously including MCMC but also model approximations like variational ...
[Read more...]

Bayesian Data Analysis [BDA3]

March 27, 2014 | xi'an

Andrew Gelman and his coauthors, John Carlin, Hal Stern, David Dunson, Aki Vehtari, and Don Rubin, have now published the latest edition of their book Bayesian Data Analysis. David and Aki are newcomers to the authors’ list, with an extended section on non-linear and non-parametric models. I have been asked ...
[Read more...]

MCMC on zero measure sets

March 23, 2014 | xi'an

Simulating a bivariate normal under the constraint (or conditional to the fact) that x²-y²=1 (a non-linear zero measure curve in the 2-dimensional Euclidean space) is not that easy: if running a random walk along that curve (by running a random walk on y and deducing x as x²=y²+1 ... [Read more...]

Le Monde puzzle [#857]

March 21, 2014 | xi'an

A rather bland case of Le Monde mathematical puzzle : Two positive integers x and y are turned into s=x+y and p=xy. If Sarah and Primrose are given S and P, respectively, how can the following dialogue happen? I am sure you cannot find my number Now you ...
[Read more...]

fine-sliced Poisson [a.k.a. sashimi]

March 19, 2014 | xi'an

As my student Kévin Guimard had not mailed me his own Poisson slice sampler of a Poisson distribution, I could not tell why the code was not working! My earlier post prompted him to do so and a somewhat optimised version is given below: As you can easily check ... [Read more...]

sliced Poisson

March 17, 2014 | xi'an

One of my students complained that his slice sampler of a Poisson distribution was not working when following the instructions in Monte Carlo Statistical Methods (Exercise 8.5). This puzzled me during my early morning run and I checked on my way back, even before attacking the fresh baguette I had brought ... [Read more...]

Approximate Bayesian model choice

March 16, 2014 | xi'an

The above is the running head of the arXived paper with full title “Implications of  uniformly distributed, empirically informed priors for phylogeographical model selection: A reply to Hickerson et al.” by Oaks, Linkem and Sukuraman. That I (again) read in the plane to Montréal (third one in this series!, ... [Read more...]

where did the normalising constants go?! [part 2]

March 11, 2014 | xi'an

Coming (swiftly and smoothly) back home after this wonderful and intense week in Banff, I hugged my loved ones,  quickly unpacked, ran a washing machine, and  then sat down to check where and how my reasoning was wrong. To start with, I experimented with a toy example in R: and (... [Read more...]

where did the normalising constants go?! [part 1]

March 10, 2014 | xi'an

When listening this week to several talks in Banff handling large datasets or complex likelihoods by parallelisation, splitting the posterior as and handling each term of this product on a separate processor or thread as proportional to a probability density, then producing simulations from the mi‘s and attempting at ... [Read more...]

Advances in scalable Bayesian computation [day #4]

March 7, 2014 | xi'an

Final day of our workshop Advances in Scalable Bayesian Computation already, since tomorrow morning is an open research time ½ day! Another “perfect day in paradise”, with the Banff Centre campus covered by a fine snow blanket, still falling…, and making work in an office of BIRS a dream-like moment. Still ... [Read more...]

Advances in scalable Bayesian computation [day #3]

March 6, 2014 | xi'an

We have now gone over the midpoint of our workshop Advances in Scalable Bayesian Computation with three talks in the morning and an open research or open air afternoon. (Maybe surprisingly I chose to stay indoors and work on a new research topic rather than trying cross-country skiing!) If I ... [Read more...]

Advances in scalable Bayesian computation [day #2]

March 5, 2014 | xi'an

And here is the second day of our workshop Advances in Scalable Bayesian Computation gone! This time, it sounded like the “main” theme was about brains… In fact, Simon Barthelmé‘s research originated from neurosciences, while Dawn Woodard dissected a brain (via MRI) during her talk! (Note that the BIRS ... [Read more...]

Advances in scalable Bayesian computation [day #1]

March 4, 2014 | xi'an

This was the first day of our workshop Advances in Scalable Bayesian Computation and it sounded like the “main” theme was probabilistic programming, in tune with my book review posted this morning. Indeed, both Vikash Mansinghka and Frank Wood gave talks about this concept, Vikash detailing the specifics of a ... [Read more...]

Foundations of Statistical Algorithms [book review]

February 27, 2014 | xi'an

There is computational statistics and there is statistical computing. And then there is statistical algorithmic. Not the same thing, by far. This 2014 book by Weihs, Mersman and Ligges, from TU Dortmund, the later being also a member of the R Core team, stands at one end of this wide spectrum ... [Read more...]

Nonlinear Time Series just appeared

February 25, 2014 | xi'an

My friends Randal Douc and Éric Moulines just published this new time series book with David Stoffer. (David also wrote Time Series Analysis and its Applications with Robert Shumway a year ago.) The books reflects well on the research of Randal and Éric over the past decade, namely convergence results ... [Read more...]
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