For the final day of the meeting, after a good one hour run to the end of the Benidorm bay (for me at least!), we got treated to great talks, culminating with the fitting conclusion given by the conference originator, José Bernardo. The first talk of the day was Guido Consonni’s, who introduced a new class of non-local priors to deal with variable selection. From my understanding, those priors avoid a neighbourhood of zero by placing a polynomial prior on the regression coefficients in order to discriminate better between the null and the alternative,
but the influence of the power h seems to be drastic, judging from the example showed by Guido where a move from h=0 to h=1, modified the posterior probability from 0.091 to 0.99 for the same dataset. The discussion by Jim Smith was a perfect finale to the Valencia meetings, Jim being much more abrasive than the usual discussant (while always giving the impression of being near a heart attack//!) The talk from Sylvia Früwirth-Schnatter purposely borrowed Nick Polson’ s title Shrink globally, act locally, and was also dealing with the Bayesian (re)interpretation of Lasso. (I was again left with the impression of hyperparameters that needed to be calibrated but this impression may change after I read the paper!) The talk by Xiao-Li Meng was as efficient as ever with Xiao-Li! Despite the penalising fact of being based on a discussion he wrote for Statistical Science, he managed to convey a global and convincing picture of likelihood inference in latent variable models, while having the audience laugh most of the talk, a feat repeated by his discussant, Ed George. The basic issue of treating latent variables as parameters offers no particular difficulty in Bayesian inference but this is not true for likelihood models, as shown by both Xiao-Li and Ed. The last talk of the València series managed to make a unifying theory out of the major achievements of José Bernardo and, while I have some criticisms about the outcome, this journey back to decision theory, intrinsic losses and reference priors was nonetheless a very appropriate supplementary contribution of José to this wonderful series of meetings…. Luis Perricchi discussed the paper in a very opinionated manner, defending the role of the Bayes factor, and the debate could have gone forever…Hopefully, I will find time to post my comments on José’s paper.
I am quite sorry I had to leave before the Savage prize session where the four finalists to the prize gave a lecture. Those finalists are of the highest quality as the prize is not given in years when the quality of the theses is not deemed high enough. I will also miss the final evening during which the DeGroot Prize is attributed. (When I received the prize for Bayesian Core. in 2004, I had also left in the morning Valparaiso, just before the banquet!)