Viva and talk in Lancaster [back]

Both viva and talk went on well (even though I was a bit too tired to give a good talk, I fear!), with interesting outcomes in both cases. The viva lasted over two hours with an exciting exchange over the increase in overall error linked with the increase in dimension and over handling HMMs with four parameters to calibrate in parallel. At some point I got confused with Dennis’ result that

\mathbb{E}[\theta|x] = \mathbb{E}\{\theta|\mathbb{E}[\theta|x]\}

which I though was contradicting my favourite example of the non-central chi-square domination of the regular normal mean, namely that

\mathbb{E}[||\theta||^2|x]\text{ is doing worse than }\mathbb{E}[||\theta||^2|||x||^2]

under squared error loss. (This is Example 3.35 in The Bayesian Choice.) I had completely forgotten that the Jeffreys’ priors associated with both posterior expectations were different! The above equality is thus not invalidated by this example. It is further quite interesting in that it shows the posterior expectation is a sort of weak sufficient statistics for the estimation of the parameter, even though I remain in favour of using more summary statistics in ABC than a posterior expectation or a pseudo-MLE. In any case, the discussion of the corresponding Read Paper at the Royal Statistical Society next December 14 promises to be interesting and well-attended… Overall, the trip was quite pleasant (nice hotel, nice run in the countryside, where I took the attached pictures) and profitable, with discussions with Paul Fearnhead gearing me towards taking advantage of my colleagues’ expertise on indirect inference at CREST.

5 Responses to “Viva and talk in Lancaster [back]”

  1. […] and Dennis Prangle on semi-automatic ABC. I have already commented the paper (as a referee, external examiner and blogger!) and provided my slides for our local pre-ordinary meeting at CREST, so here is my […]

  2. […] 14 by Paul Fearnhead and Dennis Prangle. I have already commented the paper in several posts (here and there), so here are my slides to summarise the paper and to introduce the discussion. I hope we […]

  3. Thanks Julien! It won’t be up for a while as the RSS apparently have a busy schedule of read papers coming up in the next few months, and also we have to finish making some final presentational changes to our paper.

  4. “Semi automatic ABC” made it into a read paper ? Brilliant ! Won’t want to miss that. It doesn’t seem to be announced on RSS website yet:

  5. […] blog. Papers can be submitted until August 31. I wish I could attend, but being in Phoenix and London the previous days, it simply is […]

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