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

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

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.