In the sequel of earlier nested sampling packages, like MultiNest, Joshua Speagle has written a new package called dynesty that manages dynamic nested sampling, primarily intended for astronomical applications. Which is the field where nested sampling is the most popular. One of the first remarks in the paper is that nested sampling can be more […]

# Category: cross validated

## Gibbs clashes with importance sampling

In an X validated question, an interesting proposal was made: at each (component-wise) step of a Gibbs sampler, replace simulation from the exact full conditional with simulation from an alternate density and weight the resulting simulation with a term made of a product of (a) the previous weight (b) the ratio of the true conditional […]

## Metropolis gets off the ground

An X validated discussion that toed-and-froed about an incomprehension of the Metropolis-Hastings algorithm. Which started with a blame of George Casella‘s and Roger Berger’s Statistical Inference (p.254), when the real issue was the inquisitor having difficulties with the notation V ~ f(v), or the notion of random variable [generation], mistaking identically distributed with identical. Even […]

## (x=scan())%in%(2*4^(n=0:x)-2^n-1)

One challenge on code golf is to find the shortest possible code to identify whether or not an integer belongs to the binary cyclops numbers which binary expansion is 0, 101, 11011, 1110111, 111101111, &tc. The n-th such number being this leads to the above solution in R (26 bits). The same length as the […]

## dominating measure

Yet another question on X validated reminded me of a discussion I had once with Jay Kadane when visiting Carnegie Mellon in Pittsburgh. Namely the fundamentally ill-posed nature of conjugate priors. Indeed, when considering the definition of a conjugate family as being a parameterised family Þ of distributions over the parameter space Θ stable under […]

## simulation fodder for future exams

Here are two nice exercises for a future simulation exam, seen and solved on X validated.The first one is about simulating a Gibbs sampler associated with the joint target exp{-|x|-|y|-a(y-x|} defined over IR² for a≥0 (or possibly a>-1). The conditionals are identical and non-standard, but a simple bound on the conditional density is the corresponding […]

## leave Bayes factors where they once belonged

In the past weeks I have received and read several papers (and X validated entries)where the Bayes factor is used to compare priors. Which does not look right to me, not on the basis of my general dislike of Bayes factors!, but simply because this seems to clash with the (my?) concept of Bayesian model […]

## I’m getting the point

A long-winded X validated discussion on the [textbook] mean-variance conjugate posterior for the Normal model left me [mildly] depressed at the point and use of answering questions on this forum. Especially as it came at the same time as a catastrophic outcome for my mathematical statistics exam. Possibly an incentive to quit X validated as […]

## I’m getting the point

A long-winded X validated discussion on the [textbook] mean-variance conjugate posterior for the Normal model left me [mildly] depressed at the point and use of answering questions on this forum. Especially as it came at the same time as a catastrophic outcome for my mathematical statistics exam. Possibly an incentive to quit X validated as […]

## efficiency and the Fréchet-Darmois-Cramèr-Rao bound

Following some entries on X validated, and after grading a mathematical statistics exam involving Cramèr-Rao, I came to wonder at the relevance of the concept of efficiency outside [and even inside] the restricted case of unbiased estimators. The general (frequentist) version is that the variance of an estimator δ of [any transform of] θ […]

## more concentration, everywhere

Although it may sound like an excessive notion of optimality, one can hope at obtaining an estimator δ of a unidimensional parameter θ that is always closer to θ that any other parameter. In distribution if not almost surely, meaning the cdf of (δ-θ) is steeper than for other estimators enjoying the same cdf at […]

## unbiased estimators that do not exist

When looking at questions on X validated, I came across this seemingly obvious request for an unbiased estimator of P(X=k), when X~B(n,p). Except that X is not observed but only Y~B(s,p) with s<n. Since P(X=k) is a polynomial in p, I was expecting s…

## a question from McGill about The Bayesian Choice

I received an email from a group of McGill students working on Bayesian statistics and using The Bayesian Choice (although the exercise pictured below is not in the book, the closest being exercise 1.53 inspired from Raiffa and Shlaiffer, 1961, and exercise 5.10 as mentioned in the email): There was a question that some of […]

## Binomial vs Bernoulli

An interesting confusion on X validated where someone was convinced that using the Bernoulli representation of a sequence of Bernoulli experiments led to different posterior probabilities of two possible models than when using their Binomial representation. The confusion actually stemmed from using different conditionals, namely N¹=4,N²=1 in the first case (for a model M¹ with […]

## a glaringly long explanation

It is funny that, when I am teaching the rudiments of Bayesian statistics to my undergraduate students in Paris-Dauphine, including ABC via Rasmus’ socks, specific questions about the book (The Bayesian Choice) start popping up on X validated! Last week was about the proof that ABC is exact when the tolerance is zero. And the […]