Paulo (from the Instituto de Matemática e Estatística, Universidade de São Paulo, Brazil) has posted an answer to my earlier question both as a comment on the ‘Og and as a solution on StackOverflow (with a much more readable LaTeX output). His solution is based on the observation that the multidimensional log-normal distribution still allows [...]
Wondering about the question I posted on Friday (on StackExchange, no satisfactory answer so far!), I looked further at the special case of the gamma distribution I suggested at the end. Starting from the moment conditions, and the [corrected, thanks to David Epstein!] solution is (hopefully) given by the system The resolution of this system [...]
![simulated annealing for Sudokus [2]](http://xianblog.files.wordpress.com/2012/03/dscn2308-e1331630381779.jpg?w=450&h=252)
On Tuesday, Eric Chi and Kenneth Lange arXived a paper on a comparison of numerical techniques for solving sudokus. (The very Kenneth Lange who wrote this fantastic book on numerical analysis.) One of these techniques is the simulated annealing approach I had played with a long while ago. They seem to use the same penalisation [...]
I was grading my Master projects this morning and came upon this graph: which compares the variability of an importance-sampling estimator versus its self-normalised alternative… This is an interesting case in that self-normalisation does considerably degrade the quality of the approximation in that setting. In other cases, self-normalisation may bring a clear improvement. (This reminded [...]
It has been a wonderful week in Roma, a mix of pleasant work and enjoyable free-time! I gave the ABC advanced course for the second time in a month so it did not require much in terms of preparation and there was a good sized audience with attentive (if too silent!) students and friends as [...]
![ABC in Roma [R lab #2]](http://feeds.wordpress.com/1.0/comments/xianblog.wordpress.com/15060/)
Here are the R codes of the second R lab organised by Serena Arima in supplement of my lectures (now completed!). This morning I covered ABC model choice and the following example is the benchmark used in the course (and in the paper) about the impact of summary statistics. (Warning! It takes a while to [...]
![ABC in Roma [R lab #1]](http://feeds.wordpress.com/1.0/comments/xianblog.wordpress.com/15032/)
Here are the R codes of the first R lab written and ran by Serena Arima in supplement of my lectures. This is quite impressive and helpful to the students, as illustrated by the first example below (using the abc software). I am having a great time teaching this “ABC in Roma” course, in particular [...]
Today, I am going to Rome for a week, teaching my PhD course on ABC I first gave in Paris. The course takes place in La Sapienza Università di Roma, from Monday till Thursday. There will be an R lab in addition to the lectures. (I have no further item of information at the moment.) [...]
Large-scale Inference by Brad Efron is the first IMS Monograph in this new series, coordinated by David Cox and published by Cambridge University Press. Since I read this book immediately after Cox’ and Donnelly’s Principles of Applied Statistics, I was thinking of drawing a parallel between the two books. However, while none of them can [...]
An X’idated reader of Monte Carlo Statistical Methods had trouble with our Example 3.13, the very one our academic book reviewer disliked so much as to “diverse [sic] a 2 star”. The issue is with computing the integral when f is the Student’s t(5) distribution density. In our book, we compare a few importance sampling solutions, [...]
