Archive for SuSTain

workshop a Padua

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , on October 5, 2012 by xi'an

I am invited to a (closed) workshop in Padua/Padova next March, “Recent advances in statistical inference: theory and case studies”, which is an exciting opportunity to discuss about recent advances in Bayesian methodology and likelihood inference, to meet with friends and to be back in this beautiful city where I met George Casella for the last time. (Keeping this vivid image of watching George running around the Prato della Valle as my bus was leaving the city towards Venezia airport.)

The workshop is organised in my favourite way, which is “to have a moderate number of invited talks at the workshop, to allow good time for presentation and discussion”. With discussants, which seems a vanishing structure in conferences where the length of the talks is getting shorter and shorter. When in Bristol last week, I realised how much I gained from a slower conference pace with fewer and longer talks, more time for discussion in between, and a well-scheduled poster session. Maybe old age speaking! Furthermore, part of the workshop takes place in the fabulous Caffè Pedrocchi, where we had dinner two years ago… Terrific (and exclusive, as the workshop is by invitation only!)

structure and uncertainty, Bristol, Sept. 27

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on September 28, 2012 by xi'an

The last sessions at the SuSTain workshop. were equally riveting but I alas had to leave early to get a noon flight—as it happens, while I expected to get home early enough to work, run, cook, and do maths with my daughter, my taxi got stuck in an endless traffic jam and I only had time for the maths!—, hence missing the talks by Chris Holmes—second time after Kyoto!—, Sofia Massa, and Arnoldo Frigessi… I am glad I managed to get Michael Newton’s and Forrest Crawford’s talks, though, as Michael presented a highly pedagogical entry to computational concepts related to system biology (a potential candidate for an MCMSki IV talk?) and Forrest discussed some birth-and-death processes, including the Yule process, that allowed for closed form expressions of their Laplace transform via continued fractions. (Continued fractions, one of my favourite mathematical objects!!! Rarely appearing in statistics, though…) I have to check on Forrest’s recent papers to understand how widely this approach applies to philogenetic trees, but this opens a fairly interesting alternative to ABC!

This was a highly enjoyable meeting, first and foremost due to the quality of the talks and of their scheduling, but also by the pleasure of seeing again many friends of many years—notice how I carefully avoided using “old friends”!—, by the relaxed and open atmosphere of the workshop—in the terrific location of Goldney Hall—and of course of unofficially celebrating Peter Green’s deeds and contributions to the field, the profession, and the statistics group in Bristol! Deeds and contributions so far, as I am sure he will keep contributing in many ways in the coming years and decades, as already shown by his committed involvement in the very recent creation of BayesComp. I thus most gladly join the other participants of this workshop both to thank him most sincerely for those many and multifaceted contributions and to wish him all the best for those coming decades!

As an aside, I also enjoyed being “back” in Bristol once again, as I do like the city, the surrounding Somerset countryside, the nearby South Wales, and the wide running possibilities (from the Downs to the Mendip Hills!). While I sampled many great hotels in Bristol and Clifton over the years, I now rank the Avon Gorges Hotel where I stayed this time quite high in the list, both for its convenient (running!) location and its top-quality facilities (incl. high-speed WiFi!)

structure and uncertainty, Bristol, Sept. 26

Posted in Books, pictures, R, Running, Statistics, Travel, University life, Wines with tags , , , , , , , , , , , , , , on September 27, 2012 by xi'an

Another day full of interesting and challenging—in the sense they generated new questions for me—talks at the SuSTain workshop. After another (dry and fast) run around the Downs; Leo Held started the talks with one of my favourite topics, namely the theory of g-priors in generalized linear models. He did bring a new perspective on the subject, introducing the notion of a testing Bayes factor based on the residual statistic produced by a classical (maximum likelihood) analysis, connected with earlier works of Vale Johnson. While I did not truly get the motivation for switching from the original data to this less informative quantity, I find this perspective opening new questions for dealing with settings where the true data is replaced with one or several classical statistics. With possible strong connections to ABC, of course. Incidentally, Leo managed to produce a napkin with Peter Green’s intro to MCMC dating back from their first meeting in 1994: a feat I certainly could not reproduce (as I also met both Peter and Leo for the first time in 1994, at CIRM)… Then Richard Everit presented his recent JCGS paper on Bayesian inference on latent Markov random fields, centred on the issue that simulating the latent MRF involves an MCMC step that is not exact (as in our earlier ABC paper for Ising models with Aude Grelaud). I already discussed this paper in an earlier blog and the only additional question that comes to my mind is whether or not a comparison with the auxiliary variable approach of Møller et al. (2006) would make sense.

In the intermission, I had a great conversation with Oliver Ratman on his talk of yesterday on the surprising feature that some models produce as “data” some sample from a pseudo-posterior.. Opening once again new vistas! The following talks were more on the mathematical side, with James Cussens focussing on the use of integer programming for Bayesian variable selections, then Éric Moulines presenting a recent work with a PhD student of his on PAC-Bayesian bounds and the superiority of combining experts. Including a CRAN package. Éric concluded his talk with the funny occurence of Peter’s photograph on Éric’s Microsoft Research Profile own page, due to Éric posting our joint photograph at the top of Pic du Midi d’Ossau in 2005… (He concluded with a picture of the mountain that was the exact symmetry of mine yesterday!)

The afternoon was equally superb with Gareth Roberts covering fifteen years of scaling MCMC algorithms, from the mythical 0.234 figure to the optimal temperature decrease in simulated annealing, John Kent playing the outlier with an EM algorithm—however including a formal prior distribution and raising the challenge as to why Bayesians never had to constrain the posterior expectation, which prompted me to infer that (a) the prior distribution should include all constraints and (b) the posterior expectation was not the “right” tool in non-convex parameters spaces—. Natalia Bochkina presented a recent work, joint with Peter Green, on connecting image analysis with Bayesian asymptotics, reminding me of my early attempts at reading Ibragimov and Has’minskii in the 1990′s. Then a second work with Vladimir Spoikoini on Bayesian asymptotics with misspecified models, introducing a new notion of effective dimension. The last talk of the day was by Nils Hjort about his coming book on “Credibility, confidence and likelihood“—not yet advertised by CUP—which sounds like an attempt at resuscitating Fisher by deriving distributions in the parameter space from frequentist confidence intervals. I already discussed this notion in an earlier blog, so I am fairly skeptical about it, but the talk was representative of Nils’ highly entertaining and though-provoking style! Esp. as he sprinkled the talk with examples where MLE (and some default Bayes estimators) did not work. And reanalysed one of Chris Sims‘ example presented during his Nobel Prize talk…

Structure and uncertainty, Bristol, Sept. 25

Posted in pictures, Running, Statistics, Travel, Uncategorized, University life with tags , , , , , , , , , on September 26, 2012 by xi'an

This was a fairly full day at the Structure and uncertainty modelling, inference and computation in complex stochastic systems workshop! After a good one hour run around the Clifton Down, the morning was organised around likelihood-free methods, mostly ABC, plus Arnaud Doucet’s study of methods based on unbiased estimators of the likelihood (à la Beaumont, with the novelty of assessing the inefficiency due to the estimation, really fascinating..). The afternoon was dedicated to graphical models. Nicolas Chopin gave an updated version of his Kyoto talk on EP-ABC where he resorted to composite likelihoods for hidden Markov models, (I then wondered about the parameterisation and the tolerance determination for this algorithm.) Oliver Ratman presented some of the work he did on the flu while in Duke, then move to a new approach for ABC tolerance based on various kinds of testing (which I found clearer than in Kyoto, maybe because I was not jet-lagged!) And I gave my talk on ABC-EL.I found the afternoon session harder to follow, mostly because I always have trouble understanding the motivations and the notations used on these models, albeit fascinating. I remained intrigued by the bidirectional dependence arrow in those graphs for the whole afternoon (even though I think I get it now!) After looking at the few posters presented this afternoon, I went for another short run in Leigh Woods, before joining a group of friends for an Indian dinner at the Brunel Raj. A very full day…!

Structure and uncertainty, Bristol, Sept. 24-27

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , on September 25, 2012 by xi'an

I am back in Bristol just a few months after an earlier SuSTain workshop. (During my Spring UK trip to Bristol, Glasgow, and Edinburgh…) The theme of the workshop is Structure and uncertainty modelling, inference and computation in complex stochastic systems. And it enjoys a very rich program over the four days! I am talking about ABC and empirical likelihood, with the following slides I just completed:

Unsurprisingly, those slides borrow both from my earlier talks in Kyoto and Australia, and from Pierre Purdlo’s earlier talk on this paper… (I also added pictures of some of the hikes and climbs Peter Green and I survived together!)

I alas arrived too late for today’s sessions, having to give the opening lecture at my Statistics Master in Paris-Dauphine. (I will also alas miss half of Thursday’s talks!) As I am staying at the Avon Gorge Hotel, just next to the bridge, I took the opportunity of some remaining daylight to go running across Brunel’s bridge and into the nearby park of Leigh Woods. It happened to be very muddy thanks to the torrential rains of the morning, but it was a good way to test my recovering knee (after a minor bike fall last week!) on a long run… And it apparently held, although tomorrow morning run will tell for sure.

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