Category: Statistics

bandits for doubly intractable posteriors

Last Friday, Guanyang Wang arXived a paper on the use of multi-armed bandits (hence the reference to the three bandits) to handle intractable normalising constants. The bandit compares or mixes Møller et al. (2006) auxiliary variable solution with Murray et al. (2006) exchange algorithm. Which are both special cases of pseudo-marginal MCMC algorithms. In both […]

A. Spanos: Jerzy Neyman and his Enduring Legacy

Today is Jerzy Neyman’s birthday. I’ll post various Neyman items this week in recognition of it, starting with a guest post by Aris Spanos. Happy Birthday Neyman! A Statistical Model as a Chance Mechanism Aris Spanos  Jerzy Neyman (April 16, 1894 – August 5, 1981), was a Polish/American statistician[i] who spent most of his professional career […]

Random projection

Last night after dinner, the conversation turned to high-dimensional geometry. (I realize how odd that sentence sounds; I was with some unusual company.) Someone brought up the fact that two randomly chosen vectors in a high-dimensional space are very likely to be nearly orthogonal. This is a surprising but well known fact. Next the conversation […]

Gone…!

Even stronger and farther-reaching a symbol of Paris than the Eiffel Tower, the Notre-Dame-de-Paris cathedral is now burning down. Only Hugo can make for the memory of this monumental loss: “Sur la face de cette vieille reine de noscathédrales, à côté d’une ride on trouve toujours une cicatrice. Tempua edax, homo edacior; ce que je […]

BayesComp 20 [full program]

The full program is now available on the conference webpage of BayesComp 20, next 7-10 Jan 2020. There are eleven invited sessions, including one j-ISBA session, and a further thirteen contributed sessions were selected by the scientific committee. Calls are still open for tutorials on Tuesday 07 January (with two already planed on Nimble and […]

State-space models in Stan

Michael Ziedalski writes: For the past few months I have been delving into Bayesian statistics and have (without hyperbole) finally found statistics intuitive and exciting. Recently I have gone into Bayesian time series methods; however, I have found no libraries to use that can implement those models. Happily, I found Stan because it seemed among […]

A truly horrible random number generator

I needed a bad random number generator for an illustration, and chose RANDU, possibly the worst random number generator that was ever widely deployed. Donald Knuth comments on RANDU in the second volume of his magnum opus. When this chapter was first written in the late 1960’s, a truly horrible random number generator called RANDU […]

p-values, Bayes factors, and sufficiency

Among the many papers published in this special issue of TAS on statistical significance or lack thereof, there is a paper I had already read before (besides ours!), namely the paper by Jonty Rougier (U of Bristol, hence the picture) on connecting p-values, likelihood ratio, and Bayes factors. Jonty starts from the notion that the […]

Piping is Method Chaining

What R users now call piping, popularized by Stefan Milton Bache and Hadley Wickham, is inline function application (this is notationally similar to, but distinct from the powerful interprocess communication and concurrency tool introduced to Unix by Douglas McIlroy in 1973). In object oriented languages this sort of notation for function application has been called … Continue reading Piping is Method Chaining

All statistical conclusions require assumptions.

Mark Palko points us to this 2009 article by Itzhak Gilboa, Andrew Postlewaite, and David Schmeidler, which begins: This note argues that, under some circumstances, it is more rational not to behave in accordance with a Bayesian prior than to do so. The starting point is that in the absence of information, choosing a prior […]

All statistical conclusions require assumptions.

Mark Palko points us to this 2009 article by Itzhak Gilboa, Andrew Postlewaite, and David Schmeidler, which begins: This note argues that, under some circumstances, it is more rational not to behave in accordance with a Bayesian prior than to do so. The starting point is that in the absence of information, choosing a prior […]

Adrian Smith to head British replacement of ERC

Just read in Nature today that Adrian Smith (of MCMC fame!) was to head the search for a replacement to ERC and Marie Curie research funding in the UK. Adrian, whom I first met in Sherbrooke, Québec, in June 1989, when he delivered one of his first talks on MCMC, is currently the director of […]

Works of art that are about themselves

I watched Citizen Kane (for the umpteenth time) the other day and was again struck by how it is a movie about itself. Kane is William Randolph Hearst, but he’s also Orson Welles, boy wonder, and the movie Citizen Kane is self-consciously a masterpiece. Some other examples of movies that are about themselves are La […]