## seminar at CREST on predictive estimation

Posted in pictures, Statistics, University life with tags , , , , , , , , on March 6, 2012 by xi'an

On Thursday, March 08, Éric Marchand (from Université de Sherbrooke, Québec, where I first heard of MCMC!, and currently visiting Université de Montpellier 2) will give a seminar at CREST. It is scheduled at 2pm in ENSAE (ask the front desk for the room!) and is related to a recent EJS paper with Dominique Fourdrinier, Ali Righi, and Bill Strawderman: here is the abstract from the paper (sorry, the pictures from Roma are completely unrelated, but I could not resist!):

We consider the problem of predictive density estimation for normal models under Kullback-Leibler loss (KL loss) when the parameter space is constrained to a convex set. More particularly, we assume that

$X \sim \mathcal{N}_p(\mu,v_x\mathbf{I})$

is observed and that we wish to estimate the density of

$Y \sim \mathcal{N}_p(\mu,v_y\mathbf{I})$

under KL loss when μ is restricted to the convex set C⊂ℝp. We show that the best unrestricted invariant predictive density estimator p̂U is dominated by the Bayes estimator p̂πC associated to the uniform prior πC on C. We also study so called plug-in estimators, giving conditions under which domination of one estimator of the mean vector μ over another under the usual quadratic loss, translates into a domination result for certain corresponding plug-in density estimators under KL loss. Risk comparisons and domination results are also made for comparisons of plug-in estimators and Bayes predictive density estimators. Additionally, minimaxity and domination results are given for the cases where: (i) C is a cone, and (ii) C is a ball.

## ABC and Monte Carlo seminar in CREST

Posted in Statistics, University life with tags , , , , , , , on January 13, 2012 by xi'an

On Monday (Jan. 16, 3pm, CREST-ENSAE, Room S08), Nicolas Chopin will present a talk on:

Dealing with intractability: recent advances in Bayesian Monte-Carlo methods for intractable likelihoods
(joint works with P. Jacob, O. Papaspiliopoulos and S. Barthelmé)

This talk will start with a review of recent advancements in Monte Carlo methodology for intractable problems; that is problems involving intractable quantities, typically intractable likelihoods. I will discuss in turn ABC type methods (a.k.a. likelihood-free), auxiliary variable methods for dealing with intractable normalising constants (e.g. the exchange algorithm), and MC² type of algorithms, a recent extension of which being the PMCMC algorithm (Andrieu et al., 2010). Then, I will present two recent pieces of work in these direction. First, and more briefly briefly, I’ll present the ABC-EP algorithm (Chopin and Barthelmé, 2011). I’ll also discuss some possible future research in ABC theory. Second, I’ll discuss the SMC² algorithm (Chopin, Jacob and Papaspiliopoulos, 2011), a new type of MC² algorithm that makes it possible to perform sequential analysis for virtually any state-space models, including models with an intractable Markov transition.

## 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 ensae.fr]. Several copies of Probability Theory are available  in the library. The slides are available as earlier as

Obviously, this is a last call!

Posted in Statistics, University life with tags , , , , on March 1, 2011 by xi'an

My (PhD level) reading seminar at CREST this year will be about some chapters of Jaynes’ Probability Theory. As announced earlier. The dates of the course are set as March 21 (11am), 24, 28, 31 and April 04 (2pm) at ENSAE (Malakoff, Salle 19). Attendance is free and everyone’s more than welcome, but registration is compulsory. The seminar is most effective when the audience has read the book chapters prior to the lecture, as it can engage into a higher debate! Several copies [10] of the book are available in the school library. (There was a version on-line at some point but it apparently got removed.) Here is the text of the announcement for the course next month:

Jeffreys and Jaynes share a lot in common as physicists who both significantly contributed to Bayesian statistical theory and as writers of books with almost identical titles and with very ambitious and similar scopes. It is thus no surprise that Jaynes dedicates his book to Jeffreys. There are also differences, the most obvious one being that Jeffreys published his foundational book before his 50th birthday, while Jaynes’ book came out more than ten years after his death (under the scholarly supervision of Larry Brethorst).
We plan to cover in the lectures what we consider to be the most significant aspects of Jaynes’s work. The corpus of work corresponding to the logical foundations of probability theory and the opposition of Jaynes to (Feller’s) measure theory, Bourbakism, Kolmogorov’s axioms, (Feller’s) countable additivity, de Finetti’s principles, and other probabilistic paradoxes will not be adressed, even though a second course by a probabilist colleague of mine at Dauphine may follow this one. The lectures will focus on

1. the definition and motivation of prior distributions (Chapter 6), culminating in the definition of the entropy principle (Chapter 11);
2. the rules of hypothesis testing (Chapter 4) and the central role of evidence (Chapters 9 and 18);
3. the special case of transformation groups (Chapter 12) and the debate about marginalisation paradoxes (Chapter 15)
4. Bayesian estimation (Chapter 6) and the criticisms on decision theory (Chapters 13 and 14)
5. Model comparison (Chapter 20) and the pathologies of orthodox methods (Chapters 16 and 17)

## Professor position at ENSAE/CREST

Posted in Statistics, University life with tags , , , , , on February 1, 2011 by xi'an

My graduate school of Statistics, ENSAE (which is associated with my research lab CREST) calls for applications for the position of Assistant or Associate Professor in Statistics/Mathematics, starting in September 2011. The complete description of the position is there and the deadline is February 20. The school is currently located in Paris but should move to the Polytechnique campus within three years.