## La Défense, soleil couchant [#3]

Posted in pictures, Travel, University life with tags , , on December 6, 2013 by xi'an

## goodbye Bafana!

Posted in pictures with tags on December 6, 2013 by xi'an

## simulating determinantal processes

Posted in Statistics, Travel with tags , , , , , , , , , , on December 6, 2013 by xi'an

In the plane to Atlanta, I happened to read a paper called Efficient simulation of the Ginibre point process by Laurent Decreusefond, Ian Flint, and Anaïs Vergne (from Telecom Paristech). “Happened to” as it was a conjunction of getting tipped by my new Dauphine colleague (and fellow blogger!) Djalil Chaffaï about the paper, having downloaded it prior to departure, and being stuck in a plane (after watching the only Chinese [somewhat] fantasy movie onboard, Saving General Yang).

This is mostly a mathematics paper. While indeed a large chunk of it is concerned with the rigorous definition of this point process in an abstract space, the last part is about simulating such processes. They are called determinantal (and not detrimental as I was tempted to interpret on my first read!) because the density of an n-set (x1x2,…,xn) is given by a kind of generalised Vandermonde determinant

$p(x_1,\ldots,x_n) = \dfrac{1}{n!} \text{det} \left( T(x_i,x_j) \right)$

where T is defined in terms of an orthonormal family,

$T(x,y) = \sum_{i=1}^n \psi_i(x) \overline{\psi_i(y)}.$

(The number n of points can be simulated via an a.s. finite Bernoulli process.) Because of this representation, the sequence of conditional densities for the xi‘s (i.e. x1, x2 given x1, etc.) can be found in closed form. In the special case of the Ginibre process, the ψi‘s are of the form

$\psi_i(z) =z^m \exp\{-|z|^2/2\}/\sqrt{\pi m!}$

and the process cannot be simulated for it has infinite mass, hence an a.s. infinite number of points. Somehow surprisingly (as I thought this was the point of the paper), the authors then switch to a truncated version of the process that always has a fixed number N of points. And whose density has the closed form

$p(x_1,\ldots,x_n) = \dfrac{1}{\pi^N} \prod_i \frac{1}{i!} \exp\{-|z_i|^2/2\}\prod_{i

It has an interestingly repulsive quality in that points cannot get close to one another. (It reminded me of the pinball sampler proposed by Kerrie Mengersen and myself at one of the Valencia meetings and not pursued since.) The conclusion (of this section) is anticlimactic, though,  in that it is known that this density also corresponds to the distribution of the eigenvalues of an Hermitian matrix with standardized complex Gaussian entries. The authors mentions that the fact that the support is the whole complex space Cn is a difficulty, although I do not see why.

The following sections of the paper move to the Ginibre process restricted to a compact and then to the truncated Ginibre process restricted to a compact, for which the authors develop corresponding simulation algorithms. There is however a drag in that the sequence of conditionals, while available in closed-form, cannot be simulated efficiently but rely on a uniform accept-reject instead. While I am certainly missing most of the points in the paper, I wonder if a Gibbs sampler would not be an interesting alternative given that the full (last) conditional is a Gaussian density…

## La Défense, soleil couchant [#2]

Posted in pictures, Travel, University life with tags , , , on December 5, 2013 by xi'an

## convergence speeds

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , on December 5, 2013 by xi'an

While waiting for Jean-Michel to leave a thesis defence committee he was part of, I read this recently arXived survey by Novak and Rudolf, Computation of expectations by Markov chain Monte Carlo methods. The first part hinted at a sort of Bernoulli factory problem: when computing the expectation of f against the uniform distribution on G,

For x ∈ G we can compute f (x) and G is given by a membership oracle, i.e. we are able to check whether any x is in G or not.

However, the remainder of the paper does not get (in) that direction but recalls instead convergence results for MCMC schemes under various norms. Like spectral gap and Cheeger’s inequalities. So useful for a quick reminder, e.g. to my Monte Carlo Statistical Methods class Master students, but altogether well-known. The paper contains some precise bounds on the mean square error of the Monte Carlo approximation to the integral. For instance, for the hit-and-run algorithm, the uniform bound (for functions f bounded by 1) is

$9.5\cdot 10^{7}\dfrac{dr}{\sqrt{n}}+6.4\cdot 10^{15}\dfrac{d^2r^2}{n}$

where d is the dimension of the space and r a scale of the volume of G. For the Metropolis-Hastings algorithm, with (independent) uniform proposal on G, the bound becomes

$\dfrac{2C\alpha_dr^d}{n}+\dfrac{4C^2\alpha_d^2r^{2d}}{n^2}\,,$

where C is an upper bound on the target density (no longer the uniform). [I rephrased Theorem 2 by replacing vol(G) with the containing hyper-ball to connect both results, αd being the proportionality constant.] The paper also covers the case of the random walk Metropolis-Hastings algorithm, with the deceptively simple bound

$1089\dfrac{(d+1)\max\{\alpha,\sqrt{d+1}\}}{\sqrt{n}}+8.38\cdot 10^5\dfrac{(d+1)\max\{\alpha^2,d+1\}}{n}$

but this is in the special case when G is the ball of radius d. The paper concludes with a list of open problems.

## La Défense, soleil couchant [#1]

Posted in pictures, Travel, University life with tags , , , on December 4, 2013 by xi'an

## “an outstanding paper that covers the Jeffreys-Lindley paradox”…

Posted in Statistics, University life with tags , , , , , , , , on December 4, 2013 by xi'an

“This is, in this revised version, an outstanding paper that covers the Jeffreys-Lindley paradox (JLP) in exceptional depth and that unravels the philosophical differences between different schools of inference with the help of the JLP. From the analysis of this paradox, the author convincingly elaborates the principles of Bayesian and severity-based inferences, and engages in a thorough review of the latter’s account of the JLP in Spanos (2013).” Anonymous

I have now received a second round of reviews of my paper, “On the Jeffreys-Lindleys paradox” (submitted to Philosophy of Science) and the reports are quite positive (or even extremely positive as in the above quote!). The requests for changes are directed to clarify points, improve the background coverage, and simplify my heavy style (e.g., cutting Proustian sentences). These requests were easily addressed (hopefully to the satisfaction of the reviewers) and, thanks to the week in Warwick, I have already sent the paper back to the journal, with high hopes for acceptance. The new version has also been arXived. I must add that some parts of the reviews sounded much better than my original prose and I was almost tempted to include them in the final version. Take for instance

“As a result, the reader obtains not only a better insight into what is at stake in the JLP, going beyond the results of Spanos (2013) and Sprenger (2013), but also a much better understanding of the epistemic function and mechanics of statistical tests. This is a major achievement given the philosophical controversies that have haunted the topic for decades. Recent insights from Bayesian statistics are integrated into the article and make sure that it is mathematically up to date, but the technical and foundational aspects of the paper are well-balanced.” Anonymous