Author: xi'an

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 […]

a new rule for adaptive importance sampling

Art Owen and Yi Zhou have arXived a short paper on the combination of importance sampling estimators. Which connects somehow with the talk about multiple estimators I gave at ESM last year in Helsinki. And our earlier AMIS combination. The paper however makes two important assumptions to reach optimal weighting, which is inversely proportional to […]

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!