Posts Tagged ‘ University life ’

new version of abcrf

February 12, 2016
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new version of abcrf

Version 1.1 of our R library abcrf version 1.1  is now available on CRAN.  Improvements against the earlier version are numerous and substantial. In particular,  calculations of the random forests have been parallelised and, for machines with multiple cores, the computing gain can be enormous. (The package does along with the random forest model choice […]

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R typos

January 26, 2016
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R typos

At MCMskv, Alexander Ly (from Amsterdam) pointed out to me some R programming mistakes I made in the introduction to Metropolis-Hastings algorithms I wrote a few months ago for the Wiley on-line encyclopedia! While the outcome (Monte Carlo posterior) of the corrected version is moderately changed this is nonetheless embarrassing! The example (if not the […]

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MCqMC 2016

January 18, 2016
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MCqMC 2016

After the MCqMC 2014 conference in Leuven I enjoyed very much, the MCqMC 2016 instalment takes place in Stanford this (late) summer. I cannot alas attend it, as I will be in Australia all summer winter, but the program looks terrific! As Art’s tutorial so brilliantly showed at MCMskv last week, the connections between the […]

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precision in MCMC

January 13, 2016
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precision in MCMC

While browsing Images des Mathématiques, I came across this article [in French] that studies the impact of round-off errors on number representations in a dynamical system and checked how much this was the case for MCMC algorithms like the slice sampler (recycling some R code from Monte Carlo Statistical Methods). By simply adding a few […]

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MCMskv #5 [future with a view]

January 11, 2016
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MCMskv #5 [future with a view]

As I am flying back to Paris (with an afternoon committee meeting in München in-between), I am reminiscing on the superlative scientific quality of this MCMski meeting, on the novel directions in computational Bayesian statistics exhibited therein, and on the potential settings for the next meeting. If any. First, as hopefully obvious from my previous […]

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MCMskv #2 [ridge with a view]

January 6, 2016
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MCMskv #2 [ridge with a view]

Tuesday at MCMSkv was a rather tense day for me, from having to plan the whole day “away from home” [8km away] to the mundane worry of renting ski equipment and getting to the ski runs over the noon break, to giving a poster over our new mixture paper with Kaniav Kamary and Kate Lee, […]

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a programming bug with weird consequences

November 24, 2015
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a programming bug with weird consequences

One student of mine coded by mistake an independent Metropolis-Hastings algorithm with too small a variance in the proposal when compared with the target variance. Here is the R code of this implementation: It produces outputs of the following shape which is quite amazing because of the small variance. The reason for the lengthy freezes […]

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Paret’oothed importance sampling and infinite variance [guest post]

November 16, 2015
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Paret’oothed importance sampling and infinite variance [guest post]

[Here are some comments sent to me by Aki Vehtari in the sequel of the previous posts.] The following is mostly based on our arXived paper with Andrew Gelman and the references mentioned  there. Koopman, Shephard, and Creal (2009) proposed to make a sample based estimate of the existence of the moments using generalized Pareto […]

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importance sampling with infinite variance

November 12, 2015
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importance sampling with infinite variance

“In this article it is shown that in a fairly general setting, a sample of size approximately exp(D(μ|ν)) is necessary and sufficient for accurate estimation by importance sampling.” Sourav Chatterjee and Persi Diaconis arXived yesterday an exciting paper where they study the proper sample size in an importance sampling setting with no variance. That’s right, […]

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Think Bayes: Bayesian Statistics Made Simple

October 26, 2015
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Think Bayes: Bayesian Statistics Made Simple

By some piece of luck, I came upon the book Think Bayes: Bayesian Statistics Made Simple, written by Allen B. Downey and published by Green Tea Press [which I could relate to No Starch Press, focussing on coffee!, which published Statistics Done Wrong that I reviewed a while ago] which usually publishes programming books with […]

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