Archive for Roma
As if a thumb was not enough, I lost the “new” Canon Ixus 115 H5 I bought in replacement of the (mediocre) Nikon Coolpix I lost on Ben Nevis (the title refer to the miracle mentioned in a post in February 2013, when I almost lost my (Nikon Coolpix L26) camera to the cloaca maxima, in Roma). This happened in the park on Sunday morning when I took it in my raincoat pocket to capture the serene heron standing card at the end of the grand canal… The camera somehow fell from my pocket without me realising it (of course), presumably falling on soft ground and I only discovered it had happened five or six minutes later, when I stood next to the heron. I retraced my steps back but, even at 7:30 a Sunday morning, there was enough traffic for a runner to find it before me. (Maybe he had no gift ready for mother day!) It was not such a great camera and on its trip to Chamonix last X’mas with my daughter it had decided to host a small fungus that lived right on the lens, making zooming close to impossible. (The same thing had happened with the Nikon Coolpix the year before after falling in the snow during my X’mas ski trip.) Just a wee (bit ?) annoying… (Latest picture from the Canon Ixus to come on Sunday!)
Just a few more words written on my return home from Roma (on an uneventful and sunny trip). On a personal side (that readers can skip!), it was a pleasure as always to be two days in Roma, from running in the early morning, beating the rain and the traffic (and with no map nor camera!) and finding new routes, one on the banks of Tevere and another one along the city walls, to meeting old friends over a plate of pasta, to buying fresh bread and market fruits in the early morning, to enjoying the beauty of La Città Eterna… Too short a trip obviously, but this was/is a busy week!
On the academic side, as mentioned yesterday, the program was quite in tune with my lines of research on ABC and I though a (wee) bit harder about the solutions proposed by the various speakers. One clear tendency is the idea of borrowing from pseudo- or simplified models, either to build estimates (as in indirect inference) or to run the simulation and the calibration (as in, e.g., Olli’s work). As remarked by Judith Rousseau after my talk, we may even have to move further when facing complex models, namely when the simulation of pseudo-samples gets too overwhelming. The issue is then on keeping a connection with the “true” model.
Another theme that crossed several talks is the tension between particle methods (incl. pMCMC) and ABC methods in dynamical models since they usually both apply in such cases. Darren Wilkinson’s talk (that I alas missed in order to catch my plane but recovered by email at the airport, soon to be on-line) did address this opposition, concluding in favour of ABC for the Lotka-Volterra system… My vague feeling is that ABC solutions could indeed come above when they do not rely on the hidden (Markov) structure, in the sense that they do not aim at simulating a joint distribution involving this latent structure…
Here are comments by Olli following my post:
I think we found a general means to obtain accurate ABC in the sense of matching the posterior mean or MAP exactly, and then minimising the KL distance between the true posterior and its ABC approximation subject to this condition. The construction works on an auxiliary probability space, much like indirect inference. Now, we construct this probability space empirically, this is where our approach differs first from indirect inference and this is where we need the “summary values” (>1 data points on a summary level; see Figure 1 for clarification). Without replication, we cannot model the distribution of summary values but doing so is essential to construct this space. Now, lets focus on the auxiliary space. We can fiddle with the tolerances (on a population level) and m so that on this space, the ABC approximation has the aforesaid properties. All the heavy technical work is in this part. Intuitively, as m increases, the power increases for sufficiently regular tests (see Figure 2) and consequently, for calibrated tolerances, the ABC approximation on the auxiliary space goes tighter. This offsets the broadening effect of the tolerances, so having non-identical lower and upper tolerances is fine and does not hurt the approximation. Now, we need to transport the close-to-exact ABC approximation on the auxiliary space back to the original space. We need some assumptions here, and given our time series example, it seems these are not unreasonable. We can reconstruct the link between the auxiliary space and the original parameter space as we accept/reject. This helps us understand (with the videos!) the behaviour of the transformation and to judge if its properties satisfy the assumptions of Theorems 2-4. While we offer some tools to understand the behaviour of the link function, yes, we think more work could be done here to improve on our first attempt to accurate ABC.
Now some more specific comments:
“The paper also insists over and over on sufficiency, which I fear is a lost cause.” To clarify, all we say is that on the simple auxiliary space, sufficient summaries are easily found. For example, if the summary values are normally distributed, the sample mean and the sample variance are sufficient statistics. Of course, this is not the original parameter space and we only transform the sufficiency problem into a change of variable problem. This is why we think that inspecting and understanding the link function is important.
“Another worry is that the … test(s) rel(y) on an elaborate calibration”. We provide some code here for everyone to try out. In our examples, this did not slow down ABC considerably. We generally suppose that the distribution of the summary values is simple, like Gaussian, Exponential, Gamma, ChiSquare, Lognormal. In these cases, the ABC approximation takes on an easy-enough-to-calibrate-fast functional form on the auxiliary space.
“This Theorem 3 sounds fantastic but makes me uneasy: unbiasedness is a sparse property that is rarely found in statistical problems. … Witness the use of “essentially unbiased” in Fig. 4.” What Theorem 3 says is that if unbiasedness can be achieved on the simple auxiliary space, then there are regularity conditions under which these properties can be transported back to the original parameter space. We hope to illustrate these conditions with our examples, and to show that they hold in quite general cases such as the time series application. The thing in Figure 4 is that the sample autocorrelation is not an unbiased estimator of the population autocorrelation. So unbiasedness does not quite hold on the auxiliary space and the conditions of Theorem 3 are not satisfied. Nevertheless, we found this bias to be rather negligible in our example and the bigger concern was the effect of the link function.
And here are Olli’s slides:
Back in Roma after my ABC week last year, for the ABC in Rome workshop! The attendance is quite in par with the sizes of the previous audiences and the program is close to my own interests—unsurprisingly since I took part to the scientific committee! Hence talks on papers that have already been discussed on the ‘Og for most of them:
- Dennis Prangle on semi-automatic ABC model choice
- Oliver Ratman on acccurate ABC
- Judith Rousseau on model choice consistency
- Richard Everitt on latent MRFs
- myself (in replacement of Kerrie Mengersen) on (A)BC empirical likelihood
- Gael Martin on unscented Kalman filters for noisy diffusions (on which we worked last summer at Monash)
- Gérard Biau on ABC as knn
- Sarah Filippi on sequential ABC
- Nicolas Chopin on EP-ABC
- Daniel Wegman on speeding up ABC
- Anthony Lee on geometrically ergodic ABC
- Darren Wilkinson on intractable Markov process
(It almost sounds as if I had written the program by myself, but this is not the case, promised!) So from my own personal and egoistic perspective, the poster session was more surprising, with 18 posters ranging from theoretical extensions to applications. I actually wished it had lasted a wee bit longer as I did not have time to listen to all presenters before they vanished to the dinning room upstairs, but I appreciated very much the few exchanges I had. A fully enjoyable meeting then!!! I am definitely looking forward the next edition of ABC in [pick your capital], ABC in Sydney (2014) and ABC in Helsinki (2015) being already in the planning…
Here are my slides, just slightly updated from the previous version:
Just got this email about the incoming first Bayesian Young Statisticians Meeting next June in Milano!
BAYSM 2013 is a fantastic opportunity to present and discuss your work with other young statisticians in a relaxed and friendly atmosphere, with senior discussant giving you suggestions and comments aimed at improving your work. Attendees are encouraged to give a talk and/or submit a poster. The meeting is aimed at early career statisticians, i.e. people carrying out a PhD, post-doc or finishing the Master Degree with outstanding theses/projects dealing with Bayesian statistics. Presentations on current PhD research are therefore welcomed as well as talks on work in progress on applied experience.
The registration and submissions are now open, with the following deadlines:
- *Submission closing*: February 28, 2013
- *Notification of acceptance*: March 15, 2013
*No conference fee is due*, but *registration is mandatory*, using the form available on the website. Electronic submission by email is required by sending both the TeX file (together with enclosed pictures) and the pdf file to baysm2013[@robase]mi.imati.cnr.it. Accepted papers will be published on the meeting website. Moreover, the abstract contributions and plenary lectures will be also included in a Springer book from the series “Springer Proceedings in Mathematics & Statistics”.
Note that the email does not mention any age limit for attending! Also Milano is not that far from Roma, so you should consider attending ABC in Roma on May 30-31, then make your leisurly way up north to Milano for BAYSM 2013!
As mentioned in a previous blog, I only packed four books in my suitcase in early July. Among those, Richard Ford’s A Piece of my Heart, and Niccolo Ammaniti’s La Fête du Siècle (Che la festa cominci). I also bought Dan Simmons’s Hyperion in the (same) nice bookshop near Bondi Junction in Sydney, Berkelouw Books.
“Whoever it was, though, didn’t have no business being here. I’ll tell you that. I’ll tell you that right now.” A Piece of my Heart, R. Ford
A Piece of my Heart is the first novel written by Richard Ford and I did not even know about it. (I happen to have bought it perchance in a closing bookshop in Bristol selling every book there for two pounds!) I feel it is quite different from the other novels of Richard Ford I read so far. A Piece of my Heart is quite harsh and bleak in a Southern (U.S.) way, making one feel all characters (esp. men) are doomed from the start and that there is no use fighting against this… This makes their actions and decisions unpredictable and mostly irrational, but there is a kind of beauty in seeing them succumbing to this doom. I also found there is a sort of Faulknerian feeling in the novel, particularly in the character of Mr. Lamb, an old recluse living on an island that does not even exist on official maps. The tragic and foreseeable ending of the book is actually announced in the very first pages, but this does not make A Piece of my Heart less fascinating to read. Because this is not what matter…
“There’s a legend that Cowboy Gibson did it before the Core seceded.” Hyperion, D. Simmons
I finished reading Hyperion in the plane back home. This again is a (1989) book I had not heard of until I saw it in the Gollancz 50 series (which delivers at a low price the “best” 50 books in science-fiction and fantasy, like Patrick Rothfuss’s The Name of the Wind and Gene Wolfe’s The Book of the New Sun, its only drawback being a vivid and ugly yellow color!) I do not often read space opera sci’fi’, however this book is a masterpiece that completely deserves its inclusion in the Gollancz 50 series… Hyperion offers a complex plot, compelling characters, an interesting universe, a credible political structure, and, above all, relates quite strongly and openly to literary history, from Chauncer’s Canterbury Tales, to H.G. Wells, to William Gibson’s Neuromancer, to Philip K. Dick (and Blade Runner), and to Keats as a central figure. Plus interesting plays on religions and beliefs. The book does not conclude, as there is a sequel, The Fall of Hyperion, that I will most certainly read.
La Fête du Siècle (Che la festa cominci) is an hilarious book by Niccolo Ammaniti that I can only classify as picaresque, given the accumulation of well-drawn characters and of fantastic events that build throughout the book. It is very different from the much more intimate Io non ho paura, however La Fête du Siècle reads very well and offers a very harsh criticism of the Berlusconi era and of the new social class it created. From nouveaux riches to would-be Satanists (all) looking for recognition or at least a few minutes of fame on TV… And meeting their end in a grandiose way. (I do not know if this book has been translated into english.) I read it in a few hours during my vacation week along the Great Ocean Road. And am still laughing at the comedy it exposed.