## no ISBA 2016 in Banff…

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on July 13, 2014 by xi'an

Alas, thrice alas, the bid we made right after the Banff workshop with Scott Schmidler, and Steve Scott for holding the next World ISBA Conference in 2016 in Banff, Canada was unsuccessful. This is a sad and unforeseen item of news as we thought Banff had a heap of enticing features as a dream location for the next meeting… Although I cannot reveal the location of the winner, I can mention it is much more traditional (in the sense of the Valencia meetings), i.e. much more mare than monti… Since it is in addition organised by friends and in a country I love, I do not feel particularly aggravated. Especially when considering we will not have to organise anything then!

## revenge of the pigeons

Posted in Books, Kids, pictures, R, Statistics, Travel, University life with tags , , , , , , on June 24, 2014 by xi'an

While I had not had kamikaze pigeons hitting my windows for quite a while…, it may be that one of them decided to move to biological warfare: when I came back from Edinburgh, my office at the University was in a terrible state as a bird had entered through a tiny window opening and wrecked havoc on the room, dropping folders and rocks from my shelves and… leaving a most specific proof of its visit. This bird was particularly attracted by and aggressive against the above book, Implementing Reproducible Research, standing on top of my books to review for CHANCE. Obvious disclaimer: this reflects neither my opinion nor the University opinion about the book contents, but only the bird’s, which is solely responsible for its action!

## “those” coincidences

Posted in pictures, Travel, University life with tags , , , , , , , , , , , , , , on June 21, 2014 by xi'an

Last Thursday night, after a friendly dinner closing the ICMS workshop, I was rushing back to Pollock Halls to catch some sleep before a very early flight. When crossing North Bridge, on top of Waverley station, I then spotted in the crowd a well-known face of a fellow statistician from Cambridge University, on an academic visit to the University of Edinburgh that was completely unrelated with the workshop. Then, today, on my way back from submitting a visa request at the Indian embassy in Paris, I took the RER train for one stop between Gare du Nord and Chatelet. When I stood up from my seat and looked behind me, a senior (and most famous) mathematician was sitting right there, in deep conversation with a colleague about algorithms… Just two of “those” coincidences. (Edinburgh may be propitious to coincidences: at the last ICMS workshop I attended, I ended up in the same Indian restaurant as Marc Suchard, who also was on an academic visit to the University of Edinburgh that was completely unrelated with the workshop!)

## Saints of the Shadow Bible [book review]

Posted in Books, Travel with tags , , , , , on June 14, 2014 by xi'an

The saints of the shadow Bible following me
From bar to bar to eternity’
Jackie Leven

For once, I read my Rankin in Edinburgh, the very place where it takes place! (Somewhere in the book, Rebus acknowledge he never left Scotland. Which does not sound coherent with trips to London in earlier books… Like Tooth and Nails.) It makes the lecture much more complete, as I could picture some of the places and partly follow Rebus whereabouts within the town… The title of the book is taken from a song of Jackie Leven, a reminder that music is always an essential element in Rankin’s book, as Rebus’ tastes seem to mimic Rankin’s (or vice-versa). A definitely great title… And great cover.

Saints of the Shadow (Bible) is as usual always in tune with the current events in Scotland, from the campaigns for and against independence, to the roadwork for the new tram (which opened two days prior to my arrival in the city). Reminding me of Set in Darkness, set around the building of the then new Scottish parliament. This book is a good serving of Rebus, albeit in a sort of schadenfreunde way, as the (DI demoted to DS) Rebus is irresistibly getting close to retirement, cannot fight or drink so much or even impose his views upon his colleagues, even the most inclined towards him… So (spoiler!) the fight between Rebus and Fox, forced to work together, that I was expecting does not really take place. On the opposite, the earlier attempts of Fox to frame Rebus for his “bad-cop” attitude have vanished and (re-spoiler!) Rebus is central to framing some of his earliest colleagues from Summerhall, even though the book maintains the ambiguity for a long while. As often in detective stories, too many coincidences mar the credibility of the story, which is centred around a few characters and with much less of a societal or political framework than in earlier volumes. Maybe the most interesting character in Saints of the Shadow (Bible) is Siobhan Clarke, as she is growing in stature and authority, breaking the close partnership with Rebus while preserving the deep friendship. (As mentioned in the previous review, I do think Rankin should “finish” Rebus’ cycle and move to another theme and style, but, provisional on this, an enjoyable read completing “the” Scottish experience!))

## delayed acceptance with prefetching

Posted in Books, Kids, Statistics, Travel, University life with tags , , , , , , , on June 12, 2014 by xi'an

In a somewhat desperate rush (started upon my return from Iceland and terminated on my return from Edinburgh), Marco Banterle, Clara Grazian and I managed to complete and submit our paper by last Friday evening… It is now arXived as well. The full title of the paper is Accelerating Metropolis-Hastings algorithms: Delayed acceptance with prefetching and the idea behind the generic acceleration is (a) to divide the acceptance step into parts, towards a major reduction in computing time that outranks the corresponding reduction in acceptance probability and (b) to exploit this division to build a dynamic prefetching algorithm. The division is to break the prior x likelihood target into a product such that some terms are much cheaper than others. Or equivalently to represent the acceptance-rejection ratio in the Metropolis-Hastings algorithm as

$\dfrac{\pi(\theta)\,q(\theta,\eta)}{\pi(\eta)q(\eta,\theta)} = \prod_{k=1}^d \rho_k(\eta,\theta)$

again with significant differences in the computing cost of those terms. Indeed, this division can be exploited by checking for each term sequentially, in the sense that the overall acceptance probability

$\prod_{k=1}^d \min\left\{\rho_k(\eta,\theta),1\right\}$

is associated with the right (posterior) target! This lemma can be directly checked via the detailed balance condition, but it is also a consequence of a 2005 paper by Andrès Christen and Colin Fox on using approximate transition densities (with the same idea of gaining time: in case of an early rejection, the exact target needs not be computed). While the purpose of the recent [commented] paper by Doucet et al. is fundamentally orthogonal to ours, a special case of this decomposition of the acceptance step in the Metropolis–Hastings algorithm can be found therein. The division of the likelihood into parts also allows for a precomputation of the target solely based on a subsample, hence gaining time and allowing for a natural prefetching version, following recent developments in this direction. (Discussed on the ‘Og.) We study the novel method within two realistic environments, the fi rst one made of logistic regression targets using benchmarks found in the earlier prefetching literature and a second one handling an original analysis of a parametric mixture model via genuine Jeffreys priors. [As I made preliminary notes along those weeks using the 'Og as a notebook, several posts on the coming days will elaborate on the above.]

## checking for finite variance of importance samplers

Posted in R, Statistics, Travel, University life with tags , , , , , , , , on June 11, 2014 by xi'an

Over a welcomed curry yesterday night in Edinburgh I read this 2008 paper by Koopman, Shephard and Creal, testing the assumptions behind importance sampling, which purpose is to check on-line for (in)finite variance in an importance sampler, based on the empirical distribution of the importance weights. To this goal, the authors use the upper tail  of the weights and a limit theorem that provides the limiting distribution as a type of Pareto distribution

$\dfrac{1}{\beta}\left(1+\xi z/\beta \right)^{-1-1/\xi}$

over (0,∞). And then implement a series of asymptotic tests like the likelihood ratio, Wald and score tests to assess whether or not the power ξ of the Pareto distribution is below ½. While there is nothing wrong with this approach, which produces a statistically validated diagnosis, I still wonder at the added value from a practical perspective, as raw graphs of the estimation sequence itself should exhibit similar jumps and a similar lack of stabilisation as the ones seen in the various figures of the paper. Alternatively, a few repeated calls to the importance sampler should disclose the poor convergence properties of the sampler, as in the above graph. Where the blue line indicates the true value of the integral.

## Edinburgh snapshot (#6)

Posted in pictures, Travel with tags , , , , on June 10, 2014 by xi'an