## dans le noir

Posted in Kids, pictures, Travel, Wines with tags , , , , , , , on August 27, 2014 by xi'an

Yesterday night, we went to a very special restaurant in down-town Paris, called “dans le noir” where meals take place in complete darkness (truly “dans le noir”!). Complete in the sense it is impossible to see one’s hand and one’s glass. The waiters are blind and the experiment turns them into our guides, as we are unable to progress or eat in the dark! In addition to this highly informative experiment, it was fun to guess the food (easy!) and even more to fail miserably at guessing the colour of the wine (a white Minervois made from Syrah that tasted very much like a red, either from Languedoc-Roussillon or from Bordeaux…!) The food was fine if not outstanding (the owner told us how cooking too refined a meal led to terrible feedbacks from the customers as they could not guess what they were eating) and the wine very good (no picture for the ‘Og, obviously!). This was my daughter’s long-time choice for her 18th birthday dinner and a definitely outstanding idea! So if you have the opportunity to try one of those restaurants (in Barcelona Paseo Picasso, London Clerkenwell, New York, Paris Les Halles, or Saint-Petersbourg), I strongly suggest you to make the move. Eating will never feel the same!

## Ulam’s grave [STAN post]

Posted in Books, Kids, pictures, Travel, University life with tags , , , , , , , on July 27, 2014 by xi'an

Since Stan Ulam is buried in Cimetière du Montparnasse, next to CREST, Andrew and I paid his grave a visit on a sunny July afternoon. Among elaborate funeral constructions, the Aron family tomb is sober and hidden behind funeral houses. It came as a surprise to me to discover that Ulam had links with France to the point of him and his wife being buried in Ulam’s wife family vault. Since we were there, we took a short stroll to see Henri Poincaré’s tomb in the Poincaré-Boutroux vault (missing Henri’s brother, the French president Raymond Poincaré). It came as a surprise that someone had left a folder with the cover of 17 equations that changed the World on top of the tomb). Even though the book covers Poincaré’s work on the three body problem as part of Newton’s formula. There were other mathematicians in this cemetery, but this was enough necrophiliac tourism for one day.

## impressions, soleil couchant

Posted in pictures, Travel with tags , , , , , , on July 9, 2014 by xi'an

## vector quantile regression

Posted in pictures, Statistics, University life with tags , , , , , , , on July 4, 2014 by xi'an

My Paris-Dauphine colleague Guillaume Carlier recently arXived a statistics paper entitled Vector quantile regression, co-written with Chernozhukov and Galichon. I was most curious to read the paper as Guillaume is primarily a mathematical analyst working on optimisation problems like optimal transport. And also because I find quantile regression difficult to fathom as a statistical problem. (As it happens, both his co-authors are from econometrics.) The results in the paper are (i) to show that a d-dimensional (Lebesgue) absolutely continuous random variable Y can always be represented as the deterministic transform Y=Q(U), where U is a d-dimensional [0,1] uniform (the paper expresses this transform as conditional on a set of regressors Z, but those essentially play no role) and Q is monotonous in the sense of being the gradient of a convex function,

$Q(u) = \nabla q(u)$ and $\{Q(u)-Q(v)\}^\text{T}(u-v)\ge 0;$

(ii) to deduce from this representation a unique notion of multivariate quantile function; and (iii) to consider the special case when the quantile function Q can be written as the linear

$\beta(U)^\text{T}Z$

where β(U) is a matrix. Hence leading to an estimation problem.

While unsurprising from a measure theoretic viewpoint, the representation theorem (i) is most interesting both for statistical and simulation reasons. Provided the function Q can be easily estimated and derived, respectively. The paper however does not provide a constructive tool for this derivation, besides indicating several characterisations as solutions of optimisation problems. From a statistical perspective, a non-parametric estimation of  β(.) would have useful implications in multivariate regression, although the paper only considers the specific linear case above. Which solution is obtained by a discretisation of all variables and  linear programming.

## R/Rmetrics in Paris [alas!]

Posted in Mountains, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , on June 30, 2014 by xi'an

Today I gave a talk on Bayesian model choice in a fabulous 13th Century former monastery in the Latin Quarter of Paris… It is the Collège des Bernardins, close to Jussieu and Collège de France, unbelievably hidden to the point I was not aware of its existence despite having studied and worked in Jussieu since 1982… I mixed my earlier San Antonio survey on importance sampling approximations to Bayes factors with an entry to our most recent work on ABC with random forests. This was the first talk of the 8th R/Rmetrics workshop taking place in Paris this year. (Rmetrics is aiming at aggregating R packages with econometrics and finance applications.) And I had a full hour and a half to deliver my lecture to the workshop audience. Nice place, nice people, new faces and topics (and even andouille de Vire for lunch!): why should I complain with an alas in the title?!What happened is that the R/Rmetrics meetings have been till this year organised in Meielisalp, Switzerland. Which stands on top of Thuner See and… just next to the most famous peaks of the Bernese Alps! And that I had been invited last year but could not make it… Meaning I lost a genuine opportunity to climb one of my five dream routes, the Mittelegi ridge of the Eiger. As the future R/Rmetrics meetings will not take place there.

A lunch discussion at the workshop led me to experiment the compiler library in R, library that I was unaware of. The impact on the running time is obvious: recycling the fowler function from the last Le Monde puzzle,

> bowler=cmpfun(fowler)
> N=20;n=10;system.time(fowler(pred=N))
user  system elapsed
52.647   0.076  56.332
> N=20;n=10;system.time(bowler(pred=N))
user  system elapsed
51.631   0.004  51.768
> N=20;n=15;system.time(bowler(pred=N))
user  system elapsed
51.924   0.024  52.429
> N=20;n=15;system.time(fowler(pred=N))
user  system elapsed
52.919   0.200  61.960


shows a ten- to twenty-fold gain in system time, if not in elapsed time (re-alas!).

## …et sinon Mr Cardoso réussit là où les ont échoué!

Posted in Kids, pictures with tags , , , , on June 29, 2014 by xi'an

A similar flier, a few days later. With very precise (if incoherent) guarantees! And a fantastic use of capitals. Too bad Monsieur Cardoso could not predict the (occurrence of a) missing noun in the last sentence…

## “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!)