Author: xi'an

La peste et la vigne [book review]

During my trip to Cambodia, I read the second volume of this fantasy cycle in French. Which I liked almost as much as the first volume since the author continues to explore the mystery of the central character Syffe and its relations with some magical forces at play in his universe. As in most stories […]

ERC panel [step #1]

Although this post was written ages ago, regulations of the European Research Council (ERC) prevented me from posting it until now, for confidentiality reasons. I was indeed nominated as an expert member of the ERC panel on starting grants for mathematics [a denomination including statistics, obviously, but also quantum physics or some aspects of it], […]

pool etiquette [and lane rage]

A funny entry in The Guardian of today about what turns swimmers mad at the pool. A form (foam?) of road-rage in the water… Since I have started a daily swim since mid-December to compensate for my not-running for an indeterminate length of time, I can primarily if irrationally relate to the reactions reported in […]

optimal choice among MCMC kernels

Last week in Siem Reap, Florian Maire [who I discovered originates from a Norman town less than 10km from my hometown!] presented an arXived joint work with Pierre Vandekerkhove at the Data Science & Finance conference in Cambodia that considers the following problem: Given a large collection of MCMC kernels, how to pick the best […]

Roberto Casarin’s talk at CREST tomorrow

My former student and friend Roberto Casarin (University Ca’Foscari, Venice) will talk tomorrow at the CREST Financial Econometrics seminar on “Bayesian Markov Switching Tensor Regression for Time-varying Networks” Time: 10:30 Date: 14 March 2019 Place: Room 3001, ENSAE, Université Paris-Saclay Abstract : We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) […]

revised empirical HMC

Following the informed and helpful comments from Matt Graham and Bob Carpenter on our eHMC paper [arXival] last month, we produced a revised and re-arXived version of the paper based on new experiments ran by Changye Wu and Julien Stoehr. Here are some quick replies to these comments, reproduced for convenience. (Warning: this is a […]

revised empirical HMC

Following the informed and helpful comments from Matt Graham and Bob Carpenter on our eHMC paper [arXival] last month, we produced a revised and re-arXived version of the paper based on new experiments ran by Changye Wu and Julien Stoehr. Here are some quick replies to these comments, reproduced for convenience. (Warning: this is a […]

asymptotics of synthetic likelihood

David Nott, Chris Drovandi and Robert Kohn just arXived a paper on a comparison between ABC and synthetic likelihood, which is both interesting and timely given that synthetic likelihood seems to be lacking behind in terms of theoretical evaluation. I am however as puzzled by the results therein as I was by the earlier paper […]

sorcerer to the Crown [book review]

Sorcerer to the Crown is an historical fantasy book by Zen Cho I got into buying by reading a review linking most positively it to Jonathan Strange & Mr. Norrell. Obviously I should have known better, given that Jonathan Strange & Mr. Norrell was several years in the making, with both a very convincing reconstitution […]

Siem Reap conference

As I returned from the conference in Siem Reap. on a flight avoiding India and Pakistan and their [brittle and bristling!] boundary on the way back, instead flying far far north, near Arkhangelsk (but with nothing to show for it, as the flight back was fully in the dark), I reflected how enjoyable this conference […]

Le Monde puzzle [#1086]

A terse Le Monde mathematical puzzle in the optimisation mode: What is the maximal fraction of the surface of a triangle occupied by an inner triangle ABC where Abigail picks a summit A on a first side, Berenice B on a second side, and then Abigails picks C on the third side, towards Abigail maximising […]

“Macron tend la main par dessus la Manche”

“Never since the second world war has Europe been so essential. Yet never has Europe been in such danger. Brexit stands as the symbol of that. It symbolises the crisis of a Europe that has failed to respond to its peoples’ need for protection from the major shocks of the modern world. It also symbolises […]

statistics with improper posteriors [or not]

Last December, Gunnar Taraldsen, Jarle Tufto, and Bo H. Lindqvist arXived a paper on using priors that lead to improper posteriors and [trying to] getting away with it! The central concept in their approach is Rényi’s generalisation of Kolmogorov’s version to define conditional probability distributions from infinite mass measures by conditioning on finite mass measurable […]