Bayes 250 in London

The two-day Bayes 250 Conference at the Royal Statistical Society is now officially announced with the complete programme on the RSS website. With the registration form available as well. A mix of eighteen junior and senior speakers covering the thematic and geographical spectra of UK Bayesian statistics. (It would be difficult not to acknowledge the top position of the United Kingdom in the list of contributions to Bayesian statistics!) Plus an interview of Dennis Lindley (pictured above in one of the rare pictures of Dennis available on the Web) by Tony O’Hagan! Thanks to Chris Holmes for organising this exciting meeting celebrating the 1763 publication of the Essay (with me “tagging along” as a co-organiser).

Here is a blurb I wrote as a presentation (pardon my French!):

2013 marks the 250th anniversary of the publication in Dec. 1763 of “An Essay towards solving a Problem in the Doctrine of Chances” in the Philosophical Transactions of the Royal Society of London, based on notes by Thomas Bayes and edited by Richard Price who submitted the Essay posthumously to Bayes’ death.

This publication is acknowledged as the birth certificate of what is now called Bayesian statistics and the Royal Statistical Society decided to celebrate this important milestone in the story of statistics (and not only UK statistics) by organising a conference on Bayesian statistics. The conference will take place at the RSS Headquarters in Errol Street and will run from June 19, late morning, to June 20, early afternoon. Everyone interested is welcome to present one’s work during the poster session on the afternoon of June 19.

The Royal Statistical Society is looking forward your participation in this event and hopes you will enjoy the variety in the presentations of the programme.

Bayes 2013

Among the many Bayes.250 meetings this year—including one at the Royal Statistical Society on June 19 and 20 I am co-organising with Chris Holmes—I just became aware of another Bayes 2013 meeting organised in Rotterdam by Emmanuel Lesaffre (I was going to write the ISBA Section on Biostatistics and Pharmaceutical Statistics but could not find a link on the webpage to a sponsorship of the section). Nice visual too! This could be an interesting start to a European tour of meetings in May and June, followed with the French statistical meeting in Toulouse, ABC in Rome, the Bayesian young statistician meeting in Milano, the 9th Conference on Bayesian Nonparametrics in Amsterdam, and then Bayes.250 at the RSS on June 19-20!

still confronting intractability in Bristol…

Another definitely interesting and intense day at the Confronting Intractability in Statistical Inference workshop in Bristol: all talks there had a high informational content for me and even those I had heard previously [in no time difference and hence much less chances of my dozing during talks, which, alas!, now gets into an almost certainty for US conferences!) For instance, I am still coming to terms with Gareth’s importance sampling for continuous diffusions. (This was the first time I was hearing Arnaud’s talk on the estimation of the score vector and I definitely to hear it again, given its technicality!) Sumeet Singh gave a talk mixing ABC with maximum likelihood estimation for HMMS, in connection with his earlier paper, and I got more convince  by the idea of using a sequence of balls for keeping pseudo-data close to the true data when I realised it could be implemented sequentially. Nial Friel’s talk on the double intractable likelihoods was covering graphical models and social network models, maybe calling for a comparison with ABC, as done in the recent paper by Richard Everitt. I had too many slides and thus presumably failed to deliver an intelligible message about the selection of ABC summary statistics for testing, even though the population genetics new illustration presumably helped. In connection with our ABC paper, Dennis Prangle and Paul Fernhead presented a poster on using the Bayes factor as a summary statistics in this setup, in the spirit of their Read Paper of last December. And Richard Wilkinson concluded the day with a more philosophical talk on the dual nature of ABC inference, in a quite pleasant perspective (that related to the way ABC was received by econometricians during my talk in Princeton last week). The day ended up quite pleasantly in a south-Indian thali restaurant, a good preparation for Glasgow’s Ashoka tomorrow night!

MCMC with control variates

In the latest issue of JRSS Series B (74(1), Jan, 2012), I just noticed that no paper is “from my time” as co-editor, i.e. that all of them have been submitted after I completed my term in Jan. 2010. Given the two year delay, this is not that surprising, but it also means I can make comments on some papers w/o reservation! A paper I had seen earlier (as a reader, not as an editor nor as a referee!) is Petros Dellaportas’ and Ioannis Kontoyiannis’ Control variates for estimation based on  reversible Markov chain Monte Carlo samplers. The idea is one of post-processing MCMC output, by stabilising the empirical average via control variates. There are two difficulties, one in finding control variates, i.e. functions $\Psi(\cdot)$ with zero expectation under the target distribution, and another one in estimating the optimal coefficient in a consistent way. The paper solves the first difficulty by using the Poisson equation, namely that G(x)-KG(x) has zero expectation under the stationary distribution associated with the Markov kernel K. Therefore, if KG can be computed in closed form, this is a generic control variate taking advantage of the MCMC algorithm. Of course, the above if is a big if: it seems difficult to find closed form solutions when using a Metropolis-Hastings algorithm for instance and the paper only contains illustrations within the conjugate prior/Gibbs sampling framework. The second difficulty is also met by Dellaportas and Kontoyiannis, who show that the asymptotic variance of the resulting central limit can be equal to zero in some cases.

Discussions on semi-automatic ABC [arXived]

I have now collated eight discussions of the Read Paper by Paul Fearnhead and Dennis Prangle from various contributors and places (even though there is a strong French component). It has been compiled into an arXiv document as on earlier occasions. What took me the better part of one late hour was to remember to put \pdfoutput=1 at the top of the file for arXiv to compile directly with pdflatex! To quote from the experts,

A common mistake made by authors as well as many macro packages is incorrect testing for \pdfoutput to decide whether pdflatex is run in dvi mode or pdf mode, or whether the processing is done in regular latex mode. The underlying engines used to be different and a simple test for \ifx\pdfoutput\undefined was sufficient to distinguish between all options. This is no longer the case, because the underlying engine is the same for all 3 cases and therefore the value of the \pdfoutput parameter has to be tested, too.