Blog Archives

Ensemble Methods are Doomed to Fail in High Dimensions

March 15, 2017
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Ensemble Methods are Doomed to Fail in High Dimensions

Ensemble methods By ensemble methods, I (Bob, not Andrew) mean approaches that scatter points in parameter space and then make moves by inteprolating or extrapolating among subsets of them. Two prominent examples are: Ter Braak’s differential evolution   Goodman and Weare’s walkers There are extensions and computer implementations of these algorithms. For example, the Python […] The post Ensemble Methods are Doomed to Fail in High Dimensions appeared first on…

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A fistful of Stan case studies: divergences and bias, identifying mixtures, and weakly informative priors

March 7, 2017
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Following on from his talk at StanCon, Michael Betancourt just wrote three Stan case studies, all of which are must reads: Diagnosing Biased Inference with Divergences: This case study discusses the subtleties of accurate Markov chain Monte Carlo estimation and how divergences can be used to identify biased estimation in practice.   Identifying Bayesian Mixture […] The post A fistful of Stan case studies: divergences and bias, identifying mixtures, and…

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Stan Language Design History

February 28, 2017
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Stan Language Design History

Andrew’s proposal At our last Stan meeting, Andrew proposed allowing priors to be defined for parameters near where they are declared, as in: parameters { real mu; mu ~ normal(0, 1); real sigma; sigma ~ lognormal(0, 1); ... I can see the pros and cons. The pro is that it’s easier to line things up […] The post Stan Language Design History appeared first on Statistical Modeling, Causal Inference, and…

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HMMs in Stan? Absolutely!

February 7, 2017
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HMMs in Stan?  Absolutely!

I was having a conversation with Andrew that went like this yesterday: Andrew: Hey, someone’s giving a talk today on HMMs (that someone was Yang Chen, who was giving a talk based on her JASA paper Analyzing single-molecule protein transportation experiments via hierarchical hidden Markov models). Maybe we should add some specialized discrete modules to […] The post HMMs in Stan? Absolutely! appeared first on Statistical Modeling, Causal Inference, and…

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Stan JSS paper out: “Stan: A probabilistic programming language”

January 13, 2017
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Stan JSS paper out:  “Stan: A probabilistic programming language”

As a surprise welcome to 2017, our paper on how the Stan language works along with an overview of how the MCMC and optimization algorithms work hit the stands this week. Bob Carpenter, Andrew Gelman, Matthew D. Hoffman, Daniel Lee, Ben Goodrich, Michael Betancourt, Marcus Brubaker, Jiqiang Guo, Peter Li, and Allen Riddell. 2017. Stan: […] The post Stan JSS paper out: “Stan: A probabilistic programming language” appeared first on…

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Stan 2.14 released for R and Python; fixes bug with sampler

January 2, 2017
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Stan 2.14 released for R and Python; fixes bug with sampler

Stan 2.14 is out and it fixes the sampler bug in Stan versions 2.10 through 2.13. Critical update It’s critical to update to Stan 2.14. See: RStan 2.14.1 PyStan 2.14.0.0 CmdStan 2.14.0 The other interfaces will update when you udpate CmdStan. The process After Michael Betancourt diagnosed the bug, it didn’t take long for him […] The post Stan 2.14 released for R and Python; fixes bug with sampler appeared…

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How to include formulas (LaTeX) and code blocks in WordPress posts and replies

December 24, 2016
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How to include formulas (LaTeX) and code blocks in WordPress posts and replies

It’s possible to include LaTeX formulas like . I entered it as $latex \int e^x \, \mathrm{d}x$. You can also generate code blocks like this for (n in 1:N) y[n] ~ normal(0, 1); The way to format them is to use <pre> to open the code block and </pre> to close it. You can create […] The post How to include formulas (LaTeX) and code blocks in WordPress posts and…

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Michael found the bug in Stan’s new sampler

December 22, 2016
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Michael found the bug in Stan’s new sampler

Gotcha! Michael found the bug! That was a lot of effort, during which time he produced ten pages of dense LaTeX to help Daniel and me understand the algorithm enough to help debug (we’re trying to write a bunch of these algorithmic details up for a more general audience, so stay tuned). So what was […] The post Michael found the bug in Stan’s new sampler appeared first on Statistical…

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Stan 2.10 through Stan 2.13 produce biased samples

December 20, 2016
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Stan 2.10 through Stan 2.13 produce biased samples

[Update: bug found! See the follow-up post, Michael found the bug in Stan’s new sampler] [Update: rolled in info from comments.] After all of our nagging of people to use samplers that produce unbiased samples, we are mortified to have to announce that Stan versions 2.10 through 2.13 produce biased samples. The issue Thanks to […] The post Stan 2.10 through Stan 2.13 produce biased samples appeared first on Statistical…

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Mathematica, now with Stan

October 19, 2016
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Mathematica, now with Stan

Vincent Picaud developed a Mathematica interface to Stan: MathematicaStan You can find everything you need to get started by following the link above. If you have questions, comments, or suggestions, please let us know through the Stan user’s group or the GitHub issue tracker. MathematicaStan interfaces to Stan through a CmdStan process. Stan programs are […] The post Mathematica, now with Stan appeared first on Statistical Modeling, Causal Inference, and…

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