While the above heading sounds like a title in reverse, its words are in the “correct” order in that our paper with George Casella, A Short History of Markov Chain Monte Carlo, has been accepted for publication by Statistical Science. This publication may sound weird when considering that the paper ... [Read more...]

The last puzzle of the year in Le Monde reads as follows (as far as I understand its wording!): Iter(n,x,y) is the function Iter=function(n,x,y){ if (n==1){ output=trunc(y/10)+x*(y%%10) }else{ output=Iter(n-1,x,Iter(1,x,y))} return output } Find the ... [Read more...]

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Ashley put the following comment on Chapter 5 of Introducing Monte Carlo Methods with R”: I am reading chapter 5. I try to reproduced the result on page 128. The R codes don’t work on my laptop. When I try to run the following codes on page 128 __ for (i in 1:(nlm(like,... [Read more...]

Here is the poster presented at MCMSki III next week by Pierre Jacob about our joint paper on parallelisation: Filed under: R, Statistics, Travel Tagged: Adapski, MCMC, MCMSki, Metropolis-Hastings, Monte Carlo Statistical Methods, parallelisation, pos... [Read more...]

Pierre Jacob and I got this email from a student about our parallel Rao-Blackwellisation paper. Here are some parts of the questions and our answer: Although I understand how the strategy proposed in the paper helps in variance reduction, I do not understand why you set b=1 (mentioned in Section 3.2) ... [Read more...]

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After a thorough revision that removed most of the theoretical attempts at improving our understanding of AMIS convergence, we have now resubmitted the AMIS paper to Scandinavian Journal of Statistics and arXived the new version as well. (I remind the reader that AMIS stands for adaptive mixture importance sampling and ... [Read more...]

This was bound to happen sooner or later, given my addiction to tea and sleepless nights, so I eventually managed to spill a cup of tea over my Mac… I had been working for a few hours in my hotel room in Philadelphia, completing an ABC paper with Jean-Michel Marin ... [Read more...]

Just to point out there still is room for more participants to the Adap’skiii workshop! We have now reached 60 participants for this Utah workshop and would welcome more, quite obviously! All participants are also free to present a poster on the evening of the 4th, in the bar. Filed ... [Read more...]

“The measurement outputs contain at the 99% confidence level 42 new random bits. This is a much stronger statement than passing or not passing statistical tests, which merely indicate that no obvious non-random patterns are present.” arXiv:0911.3427 As often, I bought La Recherche in the station newsagent for the wrong reason! The ... [Read more...]

Last week, I received a box of books from the International Statistical Review, for reviewing them. I thus grabbed the one whose title was most appealing to me, namely Bayesian Model Selection and Statistical Modeling by Tomohiro Ando. I am indeed interested in both the nature of testing hypotheses or ... [Read more...]

Here is a quick-and-dirty solution to Le Monde puzzle posted a few days ago: the R code counts the number of winning tickets between 1 and N, and stops when there is a proportion of 10% of winning tickets. #winning ticket win=function(n){ #decimal digits decomposition x=rep(0,4) x[4]=n%%10 m=(... [Read more...]

In the continuation of my earlier post on computing evidence, I read a very interesting paper by Merlise Clyde, Joyee Ghosh and Michael Littman, to appear in JCGS. It is called  Bayesian adaptive sampling for variable selection and model averaging. The sound idea at the basis of the paper is ... [Read more...]

The solution to puzzle 48 given in Le Monde this weekend is rather direct (which makes me wonder why the solution for 6 colours is still unavailable..) Here is a quick version of the solution: Consider one column, 1 say. Since 326=5×65+1, there exists one value c with at least 66 equal to c. Among [...] [Read more...]

The translation of the book Introducing Monte Carlo Methods with R is close to being completed. The copy-editing and page-setting are done, I have received the cover proposal and am happy with it, so it should now go to production and be ready by early January, (earlier than the tentative ... [Read more...]

This week(end), the Le Monde puzzle can be (re)written as follows (even though it is presented as a graph problem): Given a square 327×327 symmetric matrix A, where each non-diagonal entry is in {1,2,3,4,5} and , does there exist a triplet (i,j,k) such that Solving this problem in R ... [Read more...]

An interesting note was arXived a few days ago by Madeleine Thompson and Radford Neal. Beside the nice touch of mixing crumbs and slices, the neat idea is to have multiple-try proposals for simulating within a slice and to decrease the dimension of the simulation space at each try. This ... [Read more...]

The book Random effects and latent variable model selection, edited by David Dunson in 2008 as a Springer Lecture Note. contains several chapters dealing with evidence approximation in mixed effect models. (Incidentally, I would be interested in the story behind the  Lecture Note as I found no explanation in the backcover ... [Read more...]

In connection with Le Monde puzzle #46, I eventually managed to write an R program that generates graphs with a given number n of nodes and a given number k of edges leaving each of those nodes. (My early attempt was simply too myopic to achieve any level of success when ... [Read more...]