MCMSki IV [day 1.5]

ridge2The afternoon sessions I attended were “Computational and Methodological Challenges in evidence synthesis and multi-step” organised by Nicky Best and Sylvia Richardson and “Approximate inference” put together by Dan Simpson. Since both Nicky and Sylvia were alas unable to attend MCMSki, I chaired their session, which I found most interesting as connected to a recurrent questioning of mine about conducting inference with partial likelihoods. Chris Paciorek also introduced a new software, Nimble, that he is currently developing.  There will be a round table on Wednesday on MCMC related software, after the ski race, so will wait till then before commenting on my reticence to engage into new softwares like Stan or Nimble… Dan’s session was also closely related with my interests, esp. Nicolas Chopin talking about quasi-Monte-Carlo versions of SMC and Clare McGrory mixing variational Bayes and sequential Monte-Carlo. In the setting of mixtures, Clare mentioned using variational Bayes as a way of estimating the number of components, which somewhat surprises me in a sequential framework because it is likely to underestimate the true number…

The poster session was successful, I think, even though a growing fever (from a cold caught on a freezing lift on Sunday!) prevented me from appreciating it fully. As usual, I wish I had had more time to discuss with all of the 35 poster presenters. (I still enjoyed very much discussing ABC at length with Jukka Corander and his students. And seeing some of my PhD students giving their first poster ever. While managing to cook a decent scallop risotto in the dinner break.) Any contribution of  a guest post on the poster sessions is most welcome!

Overall, a very full day (which ended up to late to include this part in the summary of my sessions). With very few cancellations due to the bad weather. And a very enjoyable setting in the Majestic (former) palace! Incidentally, it seems like the periphrase “French side of the Italian Alps” Antonietta Mira used for the first announcement of the conference is getting into a recurrent joke, with new variants (“Swiss side of the Italian Alps”, &tc.)

6 Responses to “MCMSki IV [day 1.5]”

  1. […] MCMSki IV, I attended (and chaired) a session where Martyn Plummer presented some developments on cut models. […]

  2. Given that you didn’t bring it up in the computational session, any chance we can get you to comment here on your reticence to engage in new software?

  3. Dan Simpson Says:

    (Prefacing this with the usual caveat that I don’t know anything at all about mixture models.)

    I would have thought that underestimating the number of components was a far lesser sin than overestimating them, which would make VB better rather than worse…

    Perhaps I’m wrong.

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