métro static

“…tiens, je croyais qu’il y avait plus de morts cette année mais en fait c’est la même chose…

..d’habitude, il y en a trente et cette année c’est vingt-deux…”

making a random walk geometrically ergodic

While a random walk Metropolis-Hastings algorithm cannot be uniformly ergodic in a general setting (Mengersen and Tweedie, AoS, 1996), because it needs more energy to leave far away starting points, it can be geometrically ergodic depending on the target (and the proposal). In a recent Annals of Statistics paper, Leif Johnson and Charlie Geyer designed a trick to turn a random walk Metropolis-Hastings algorithm into a geometrically ergodic random walk Metropolis-Hastings algorithm by virtue of an isotropic transform (under the provision that the original target density has a moment generating function). This theoretical result is complemented by an R package called mcmc. (I have not tested it so far, having read the paper in the métro.) The examples included in the paper are however fairly academic and I wonder how the method performs in practice, on truly complex models, in particular because the change of variables relies on (a) an origin and (b) changing the curvature of space uniformly in all dimensions. Nonetheless, the idea is attractive and reminds me of a project of ours with Randal Douc,  started thanks to the ‘Og and still under completion.

scary…

(Announcement heard in my métro station this morning…)

Un petit garçon de 4 ans est tout seul dans la gare. Si vous l’apercevez, merci de l’accompagner jusqu’au guichet.

(The little boy must have been found right away as there was no mention later of a missing child in the news. This reminded me of the only time and of the terribly long seconds when we thought our four year old son had vanished, when he was simply playing a terribly long hide-and-seek…)

métro static

(One of those countless phone conversations imposed upon the whole carriage in the morning métro…)

…je récupère mon sac et je m’arrache direct à la Rochelle…

..j’en ai pas dormi de la nuit, les gens c’est des batards, t’es réglo avec eux,et puis…

…j’arrive à Victor Hugo..

…je suis sous contrôle judiciaire, tu vois ce que je veux dire, j’avais une facture et tout, c’est dingue..

..oui 250 euros, c’est de l’argent, depuis Septembre, Octobre..

…j’vais y réfléchir dans le TGV, grave, pendant tout le voyage, tu vois?!

art brut