Archive for April, 2009

“ABC in Paris”: Program now available

Posted in Statistics, University life with tags , , , , , on April 30, 2009 by xi'an

The program of the “ABC in Paris” meeting of June 26 is now posted on the meeting webpage. It is fairly intense, with only three short breaks over the day, but this allows for 14 speakers to give a broad overview of the activity in this are of ABC methods. Most of the abstracts are available on the webpage and they are also related to papers available on arXiv.

Grandiose Gran Torino

Posted in Books, Kids with tags , on April 30, 2009 by xi'an

This weekend, I saw Clint Eastwood’s latest movie, Gran Torino. This is an immense movie that clearly shows how Eastwood’s vision is continuously sharpening with time and not getting duller with age. The representation given by this movie of the mechanisms at work within the American society is flawless and the issues of immigration, racism, violence, and adolescence are treated with an intensity I rarely saw. The most unlikely Christic figure of Eastwood himself and his raw catholicism are central to the plot and they sound to me like an American rendering of Graham Greene’s atmosphere. The two young Hmongs are equally impressive in their acting, addressing the complex messages of cultural barriers and universal adolescent angst. The way the young girl very progressively thaws both the ice wall Eastwood has built over the years and his connected racism is completely convincing. Again, this is for me an immense movie, confirming the art of Eastwood.

The R Companion to MCSM (9)

Posted in Books, Linux, Statistics with tags , , , , on April 29, 2009 by xi'an

The mcsm package has been validated by CRAN since I got the following emails

the right version on CRAN now ...

and even (recovered from my spam box because of the W word!)

this notification has been generated automatically.
Your package mcsm_1.0.tar.gz has been built for Windows and
will be published within 24 hours in the corresponding CRAN directory
(CRAN/bin/windows/contrib/2.9/).
R version 2.9.0 Patched (2009-04-27 r48414)

(something I obviously could not test!). So, with the package validated and made publicly available, we sent the Enter Monte Carlo Statistical Methods yesterday to John Kimmel from Springer Verlag New York for assessment and (eventually) publication. This is certainly the fastest book writing I have done so far since the previous books took between one year (The Bayesian Choice, Monte Carlo Statistical Methods) and two (Bayesian Core). Of course, using the background provided by Monte Carlo Statistical Methods helped a lot, including using some of the R programs we add already written for this book. The final sequence of chapters is

  1. Introduction to R programming
  2. Random variable generation
  3. Monte Carlo methods
  4. Controlling and accelerating convergence
  5. Monte Carlo optimization
  6. Metropolis-Hastings algorithms
  7. Gibbs samplers
  8. Convergence monitoring for MCMC algorithms

since we eventually decided against including a solution chapter for space (the book is long enough with 270 pages without adding the 50 pages of condensed solutions) and marketing reasons (we can upgrade the solutions in continuous time as well as make [some of] them only available to instructors), even though this may attract criticisms. (The mcsm package can [and need] also be upgraded at will, given the rapidity with which the CRAN maintainers include new packages.) Now, my forecast for the publication of the book is March 2010 at best, given that we need to go through a review process at first and that the production usually takes about six months (or more as in the case of the paperback The Bayesian Choice whose very first printing was lost by the delivery carrier except for a very few collectors!).

Ritorno da Venezia (2)

Posted in Linux, University life with tags on April 28, 2009 by xi'an

pict6273One frustrating problem took me two days to properly settle when coming back from Venezia: when visiting Ca’ Foscari, my computer needed a hard IP number and I thus used NetworkManager (associated with my gutsy 7.10 release of Kubuntu) to do this, moving to the manual configuration option. When I came back, I tried to switch back to the automatic configuration but, while my computer was indeed connecting to the network, it was (a) unable to move to an Ethernet connection while on a wireless connection and (b) not showing the networks under NetworkManager… I eventually had to play with the entries in /etc/network/interfaces until things worked properly, commenting most entries into

# This file describes the network interfaces available on your system
# and how to activate them. For more information, see interfaces(5).

# The loopback network interface
auto lo
iface lo inet loopback
address 127.0.0.1
netmask 255.0.0.0

# The primary network interface
#iface eth0 inet dhcp
auto eth0

I actually remember having similar problems each time I had to use a fixed port, but this happens so rarely that I simply forget between two occurrences…

An incomplete history of Markov Chain Monte Carlo

Posted in Statistics, University life with tags , , , on April 28, 2009 by xi'an

Last August, George Casella and I posted on arXiv a paper entitled “A History of Markov Chain Monte Carlo — Subjective Recollections from Incomplete Data —” that contained some recollections (of ours and of others) on the emergence of MCMC methods. The paper still is under review but Brad Carlin just sent me the following comments:

I learned a ton by reading your paper, and I thought I knew a little MC history! I have a few comments which I obnoxiously organize by page number (at least in the version I got):

p.2: I actually was in a hotel room at Valencia 4 (1991) and saw Andrew Thomas sitting cross-legged on a hotel bed with a primitive version of BUGS running on a primitive “portable” computer. I think they were doing the rat data problem from G&S (1990). Even then it was easy to see they were on to something.

p.5: I love that Metropolis et al had a data analysis where they used 16 burn-in and 64 “production” makes me feel better about my past applied work.

p.15: Thanks for the nice ref to Carlin and Chib — and you are going to send me scrambling to Brooks et al to re-read that “completion scheme”. But then at the end of this para I was a little disappointed you didn’t mention Spiegelhalter et al (2002), since the ready availability of DIC within BUGS is another reason why nobody ever uses RJMCMC for model choice, as was originally envisioned. I actually had a PhD student go insane trying to successfully program an RJMCMC algorithm, and since then I’ve tried to avoid asking anyone else to do it.

p.17: you sure you want to say “plod on”? Sounds like you’re tired, and I know this is not true!

p.18, etc: Thanks so much for this reminder of the 1991 OSU conference. I remember giving that talk in the second session on the first day with Mockus (who like me was visiting CMU at that time) and Cliff Litton. The LCG paper wound up being my interview talk for the Minnesota job, and later a discussion paper in JASA. but then so many of these talks became important papers: Tierney (94), Gelman and Rubin (92) and its ‘evil twin’ Geyer (92), Gilks (92), Albert and Chib (93), and on and on. It really was a who’s who and a heady time for a kid like me, less than 2 years out of grad school. Fortunately I had a big ego.

If you can stand one more anecdote, the most memorable aspect of the conference was this apparently older, bald guy standing in the back of the room shouting that the guys on stage didn’t know what they were talking about. It didn’t matter who the guys were (Gelman, Smith, Gelfand, etc), he was not shy about expressing his opinions. Many involved the notion that many parallel chains would be worse than one long chain. Of course this guy turned out to be Charlie Geyer, and the whole episode (esp with Gelman) presaged the train wreck their papers hit at Stat Sci a few months later.

We’ll make sure to incorporate those helpful recollections into the revision when (if) the paper comes back! (Maybe leaving out the health warning that RJMCMC may cause insanity…)

Done!!! [or The R companion to MCSM (8)]

Posted in Books, Statistics with tags , , , on April 27, 2009 by xi'an

After fighting a little bit with the complexities of writing an R package, and overcoming the boredom of documenting every function and writing down the demo codes, I have eventually finished the mcsm package (version 1.0) and sent it to CRAN for public access… Since this is mostly brainless (cut-and-paste, then tidy up documentation created by prompt), I was able to make progress in the small time-slots I found last week in Venezia. I got the various checking steps working with no error not warning message, but this may not be the case on other machines and I am waiting for the green light from the CRAN maintainers. As posted earlier, this is the very last step of writing the draft of Enter Monte Carlo Statistical Methods and therefore it is done, D.O.N.E…!!! I now stand ready to send the document to Springer! Although I would have wished for an earlier completion, writing the solution manual and the package took an extra month.

Done!!! [or The R companion to MCSM (8)]

Posted in Books, R, Statistics, Travel, University life with tags , , , , on April 27, 2009 by xi'an

After fighting a little bit with the complexities of writing an R package, and overcoming the boredom of documenting every function and writing down the demo codes, I have eventually finished the mcsm package (version 1.0) and sent it to CRAN for public access… Since this is mostly brainless (cut-and-paste, then tidy up documentation created by prompt), I was able to make progress in the small time-slots I found last week in Venezia. I got the various checking steps working with no error not warning message, but this may not be the case on other machines and I am waiting for the green light from the CRAN maintainers. In the meanwhile, the package can be downloaded with no warranty. As posted earlier, this was the very last step of writing the draft of Enter Monte Carlo Statistical Methods and therefore it is done, D.O.N.E…!!! I now stand ready to send the document to Springer for evaluation and comments! Although I would have wished for an earlier completion, writing the solution manual and the package took an extra month.

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