Author: xi'an

my [homonym] talk this afternoon at CREST [Paris-Saclay]

Christian ROBERT (Université Lyon 1) « How large is the jump discontinuity in the diffusion coefficient of an Itô diffusion?” Time: 3:30 pm – 4:30 pm Date: 04th of March 2019 Place: Room 3105 Abstract : We consider high frequency observations from a one-dimensional diffusion process Y. We assume that the diffusion coefficient σ is continuously differentiable, […]

automatic adaptation of MCMC algorithms

“A typical adaptive MCMC sampler will approximately optimize performance given the kind of sampler chosen in the first place, but it will not optimize among the variety of samplers that could have been chosen.” Last February (2018), Dao Nguyen and five co-authors arXived a paper that I missed. On a new version of adaptive MCMC […]

error bars [reposted]

A definitely brilliant entry on xkcd that reflects upon the infinite regress of producing error evaluations that are based on estimates. A must for the next class when I introduce error bars and confidence intervals!

auxiliary likelihood ABC in print

Our paper with Gael Martin, Brendan McCabe , David Frazier and Worapree Maneesoonthorn, with full title Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models, has now appeared in JCGS. To think that it started in Rimini in 2009, when I met Gael for the first time at the Rimini Bayesian Econometrics conference, although we […]

Nature tea[dbits]

A very special issue of Nature (7 February 2019, vol. 556, no. 7742). With an outlook section on tea, plus a few research papers (and ads) on my principal beverage. News about the REF, Elsevier’s and Huawei’s woes with the University of California, the dangerous weakening of Title IX by the Trump administration, and a […]

distributed posteriors

Another presentation by our OxWaSP students introduced me to the notion of distributed posteriors, following a 2018 paper by Botond Szabó and Harry van Zanten. Which corresponds to the construction of posteriors when conducting a divide & conquer strategy. The authors show that an adaptation of the prior to the division of the sample is […]

how a hiring quota failed [or not]

This week, Nature has a “career news” section dedicated to how hiring quotas [may have] failed for French university hiring. And based solely on a technical report by a Science Po’ Paris researcher. The hiring quota means that every hiring committee for a French public university hiring committee must be made of at least 40% […]

Le Monde puzzle [#1087]

A board-like Le Monde mathematical puzzle in the digit category: Given a (k,m) binary matrix, what is the maximum number S of entries with only one neighbour equal to one? Solve for k=m=2,…,13, and k=6,m=8. For instance, for k=m=2, the matrix is producing the maximal number 4. I first attempted a brute force random filling […]

off to Cambodia

Today, I am off to Cambodia for a small conference on Data Science and Finance, mostly finance, actually!, put together by a group of French and Cambodian colleagues and taking place in Siem Reap near the fabulous temples of Angkor Wat. Expect pictures in the following posts if I manage to stand the heat and […]

call for sessions and labs at Bay2sC0mp²⁰

A call to all potential participants to the incoming BayesComp 2020 conference at the University of Florida in Gainesville, Florida, 7-10 January 2020, to submit proposals [to me] for contributed sessions on everything computational or training labs [to David Rossell] on a specific language or software. The deadline is April 1 and the sessions will […]

particular degeneracy in ABC model choice

In one of the presentations by the last cohort of OxWaSP students, the group decided to implement an ABC model choice strategy based on sequential ABC inspired from Toni et al.  (2008). and this made me reconsider this approach (disclaimer: no criticism of the students implied in the following!). Indeed, the outcome of the simulation […]