Category: MCMC

robust Bayesian synthetic likelihood

David Frazier (Monash University) and Chris Drovandi (QUT) have recently come up with a robustness study of Bayesian synthetic likelihood that somehow mirrors our own work with David. In a sense, Bayesian synthetic likelihood is definitely misspecified from the start in assuming a Normal distribution on the summary statistics. When the data generating process is […]

MCMC importance samplers for intractable likelihoods

Jordan Franks just posted on arXiv his PhD dissertation at the University of Jyväskylä, where he discuses several of his works: M. Vihola, J. Helske, and J. Franks. Importance sampling type estimators based on approximate marginal MCMC. Preprint arXiv:1609.02541v5, 2016. J. Franks and M. Vihola. Importance sampling correction versus standard averages of reversible MCMCs in […]

likelihood free nested sampling

A recent paper by Mikelson and Khammash found on bioRxiv considers the (paradoxical?) mixture of nested sampling and intractable likelihood. They however cover only the case when a particle filter or another unbiased estimator of the likelihood function. Unless I am missing something in the paper, this seems a very costly and convoluted approach when […]

EntropyMCMC [R package]

My colleague from the Université d’Orléans, Didier Chauveau, has just published on CRAN a new R package called EntropyMCMC, which contains convergence assessment tools for MCMC algorithms, based on non-parametric estimates of the Kullback-Leibler divergence between current distribution and target. (A while ago, quite a while ago!, we actually collaborated with a few others on […]

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 […]

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 […]

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 […]

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 […]

Computational Bayesian Statistics [book review]

This Cambridge University Press book by M. Antónia Amaral Turkman, Carlos Daniel Paulino, and Peter Müller is an enlarged translation of a set of lecture notes in Portuguese. (Warning: I have known Peter Müller from his PhD years in Purdue University and cannot pretend to perfect objectivity. For one thing, Peter once brought me frozen-solid […]

revisiting the Gelman-Rubin diagnostic

Just before Xmas, Dootika Vats (Warwick) and Christina Knudson arXived a paper on a re-evaluation of the ultra-popular 1992 Gelman and Rubin MCMC convergence diagnostic. Which compares within-variance and between-variance on parallel chains started from hopefully dispersed initial values. Or equivalently an under-estimating and an over-estimating estimate of the MCMC average. In this paper, the […]

a book and two chapters on mixtures

The Handbook of Mixture Analysis is now out! After a few years of planning, contacts, meetings, discussions about notations, interactions with authors, further interactions with late authors, repeating editing towards homogenisation, and a final professional edit last summer, this collection of nineteen chapters involved thirty-five contributors. I am grateful to all participants to this piece […]