Archive for random number generation

Foundations of Statistical Algorithms [book review]

Posted in Books, Linux, R, Statistics, University life with tags , , , , , , , , , , , , , on February 28, 2014 by xi'an

There is computational statistics and there is statistical computing. And then there is statistical algorithmic. Not the same thing, by far. This 2014 book by Weihs, Mersman and Ligges, from TU Dortmund, the later being also a member of the R Core team, stands at one end of this wide spectrum of techniques required by modern statistical analysis. In short, it provides the necessary skills to construct statistical algorithms and hence to contribute to statistical computing. And I wish I had the luxury to teach from Foundations of Statistical Algorithms to my graduate students, if only we could afford an extra yearly course…

“Our aim is to enable the reader (…) to quickly understand the main ideas of modern numerical algorithms [rather] than having to memorize the current, and soon to be outdated, set of popular algorithms from computational statistics.”(p.1)

The book is built around the above aim, first presenting the reasons why computers can produce answers different from what we want, using least squares as a mean to check for (in)stability, then second establishing the ground forFishman Monte Carlo methods by discussing (pseudo-)random generation, including MCMC algorithms, before moving in third to bootstrap and resampling techniques, and  concluding with parallelisation and scalability. The text is highly structured, with frequent summaries, a division of chapters all the way down to sub-sub-sub-sections, an R implementation section in each chapter, and a few exercises. Continue reading

Random generators for parallel processing

Posted in R, Statistics with tags , , , , on October 28, 2010 by xi'an

Given the growing interest in parallel processing through GPUs or multiple processors, there is a clear need for a proper use of (uniform) random number generators in this environment. We were discussing the issue yesterday with Jean-Michel Marin and briefly looked at a few solutions: Continue reading

StatProb [wiki]

Posted in R, Statistics with tags , , , , , , , , on August 1, 2010 by xi'an

Via the [financial and technical] support of Springer, probability and statistics societies are launching a specialised wiki called StatProb. It operates as a wiki in that authors can submit short articles on any topic, with further co-authors joining in later to improve those articles, but with the contents guaranteed via the filter of an editorial board. The members of the board and subsequent associate editors are nominated by the statistical societies involved in the project. (For instance, I was nominated by the Royal Statistical Society., Susie Bayarri by ISBA, George Casella by the ASA, etc.) As a starting basis, StatProb will reproduce a few hundred entries from the incoming International Encyclopedia of Statistical Sciences edited by Miodrag Lovric (to which I contributed). Obviously, the wiki will only work if enough contributors submit their piece and make StatProb a reference for statistics. I joined the project because, as opposed to costly encyclopedias, wikis are living things that evolve with the field (if enough activity is maintained by its members) and that can be accessed freely by all. Another good thing about StatProb is that entries are submitted in LaTeX, making the output looking fairly reasonnable. (To start the ball rolling, we submitted this short piece on random number generation with George Casella, exctacted from an older piece that had been sitting around for a while. It does not mean to be the only piece on random number generation, nor on MCMC or Monte Carlo methods. And it can be updated and augmented as in other wikis.) Unless I am confused, I think the site will be officially launched at JSM 2010 in Vancouver this weekend.

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