Archive for March, 2011

Do we need… apparently not!

Posted in Books, Statistics, University life with tags , , , , , , , , on March 31, 2011 by xi'an

We had sent our discussion paper of Murray Aitkin’s Statistical Inference, with Andrew Gelman and Judith Rousseau, to the review section of JASA, but were again unsuccessful as the paper was sent back with the comments that “this paper is not a good fit for JASA Reviews. You may wish to consider broadening your discussion so that the paper reads less as an attack on Aitkin’s book“. While I understand that journals cannot publish all critical accounts of all statistics books, I feel a bit depressed by my overall lack of success in publishing extended book reviews. Electronic journals could easily include book discussions and I do not think this would negatively impact the readership as book reviews are generally appreciated by the community.

Jaynes’ back on track!

Posted in Books, Statistics, University life with tags , , on March 30, 2011 by xi'an

Following the cancellation of my reading seminar on Jaynes’ Probability Theory, and requests from several would-be-attendees, I am giving a one-day [crash] course on the book on April 11. It will be at ENSAE, salle 11, from 9:30 till 4:00pm [or earlier if I exhaust the slides, the material or the audience], with a break at noon. Once again, it is open to everyone, but attendants must register with Nadine Guedj [at]. Several copies of Probability Theory are available  in the library. The slides are available as earlier as

Obviously, this is a last call!

Le Monde puzzle [#8]

Posted in R, Statistics with tags , , on March 30, 2011 by xi'an

Another mathematical puzzle from Le Monde that relates to a broken calculator (skipping the useless tale):

Given a pair of arbitrary positive integers (x,y) a calculator can either substract the same integer [lesser than min(x,y)] from both x and y or multiply either x or y by 2. Is it always possible to obtain equal entries by iterating calls to this calculator?

While the solution provided in this weekend edition of Le Monde is to keep multiplying x=min(x,y) by 2 until it is larger than or equal to y=max(x,y)/2,  at which stage subtracting 2x-y leads to (y-x,2y-2x) which is one multiplication away from equality, I wrote a simple R code that blindly searches for a path to equality, using as a target function exp{x²+y²+(x-y)²}. I did not even include a simulated annealing schedule as the optimal solution is known. Here is the R code:

Continue reading

Time series

Posted in Books, R, Statistics with tags , , , , , , on March 29, 2011 by xi'an

(This post got published on The Statistics Forum yesterday.)

The short book review section of the International Statistical Review sent me Raquel Prado’s and Mike West’s book, Time Series (Modeling, Computation, and Inference) to review. The current post is not about this specific book, but rather on why I am unsatisfied with the textbooks in this area (and correlatively why I am always reluctant to teach a graduate course on the topic). Again, I stress that the following is not specifically about the book by Raquel Prado and Mike West!

With the noticeable exception of Brockwell and Davis’ Time Series: Theory and Methods, most time-series books seem to suffer (in my opinion) from the same difficulty, which sums up as being unable to provide the reader with a coherent and logical description of/introduction to the field. (This echoes a complaint made by Håvard Rue a few weeks ago in Zurich.) Instead, time-series books appear to haphazardly pile up notions and techniques, theory and methods, without paying much attention to the coherency of the presentation. That’s how I was introduced to the field (even though it was by a fantastic teacher!) and the feeling has not left me since then. It may be due to the fact that the field stemmed partly from signal processing in engineering and partly from econometrics, but such presentations never achieve a Unitarian front on how to handle time-series. In particular, the opposition between the time domain and the frequency domain always escapes me. This is presumably due to my inability to see the relevance of the spectral approach, as harmonic regression simply appears (to me) as a special type of non-linear regression with sinusoidal regressors and with a well-defined likelihood that does not require Fourier frequencies nor periodogram (nor either spectral density estimation). Even within the time domain, I find the handling of stationarity  by time-series book to be mostly cavalier. Why stationarity is important is never addressed, which leads to the reader being left with the hard choice between imposing stationarity and not imposing stationarity. (My original feeling was to let the issue being decided by the data, but this is not possible!) Similarly, causality is often invoked as a reason to set constraints on MA coefficients, even though this resorts to a non-mathematical justification, namely preventing dependence on the future. I thus wonder if being an Unitarian (i.e. following a single logical process for analysing time-series data) is at all possible in the time-series world! E.g., in Bayesian Core, we processed AR, MA, ARMA models in a single perspective, conditioning on the initial values of the series and imposing all the usual constraints on the roots of the lag polynomials but this choice was far from perfectly justified…

R [re-]exam

Posted in Books, R, Statistics, University life with tags , , , , on March 28, 2011 by xi'an

In what seems like an endless cuRse, I found this week I had to re-grade a dozen R exams a TA’s did not grade properly! The grades I (X) got are plotted below against those of my TA (Y). There is little connection between both gradings… As if this was not enough trouble, I also found exactly duplicated R codes in another R project around Introducing Monte Carlo methods with R that was returned a few weeks ago. Meaning I will have to draft a second round exam… (As Tom commented on an earlier post, team resolution of a given problem may be a positive attitude, but in the current case one student provided an A⁺⁺ answer, while two others clearly drafted an hasty resolution from the original.) Nonetheless, do not worry, I still love [teaching] R!


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