The special day on Bayesian methods (this was the second edition) organised by Miguel Gómez Villegas at Universidad Complutense de Madrid was quite intense (ending up after 8pm!) but definitely worth the trip. First, I was not the only one to talk about ABC since Miguel González Velasco presented a work on ABC and MCMC applied to branching processes. Gonzalo García-Donato also argued through a very convincing talk about the desideratas on priors used in model selection: I had of course though about those during Anabel’s thesis last February, but this was very well-defended. Antonio Cano Sánchez and Diego Salmerón gave a two-men show on their current integral prior research, which reminded me of the work we did together a few years ago, opening new vistas for models with covariates. Julián de la Horra Navarro talked about robust losses I had never seen before, Rosario Susi Garcia about prior sensitivity for Bayesian networks [again something I had not seen previously], and Juan José Egozcue introduced us to a more mathematical topic of representing priors and posteriors within a new algebra, linked with compositional data analysis, although its overall impact on Bayesian grounds somehow escaped me. Lizbetz Naranjo Albarrán discussed the MCMC estimation of a misspecified logistic regression model, with the surprising feature that the misspecification was not directly observed. In addition, I met several friends and had the opportunity of discussing with them about our on-going research. In particular, they set me thinking on the extension of our work to more than two competing models. Rekindling earlier thoughts about the choice of statistic, tolerance, and distance one model at the time (but not beyond my earlier reticences on comparing models based on different statistics). And a possible postvalidation of published works on ABC model choice according to our criterion.
The day ended up in typical Spanish time, i.e. with a superb if fairly late dinner, right next to the beautiful Teatro Real. (I still managed to get a few hours sleep, though, unlike the kids I saw walking the streets after a long night out, when taking the metro to the airport in the early morning..)