ISBA Regional Meeting in Varanasi (day 2)

A second full day at the ISBA meeting in Varanasi: I attended a non-parametric session with Sonia Petrone talking about mixtures of regressions (more precisely, piecewise linear functions) and Ramses Mena defining stationary processes via a Gibbs-like construction (which I would have liked to have more time to fully understand). Then Jamie Robbins gave a talk related to the paradox raised by Robbins and Ritov and discussed recently by Chris Sims. (Jamie asked for my opinion at the end of the talk, but I had none, considering the problem to be more of an epiphenomenon than a genuine statistical difficulty… I may comment more on this question later, almost feel compelled to by Jamie’s interpelation, but I had not much to say at this stage! It sounds like another of those infinite dimensional problems where the Bayesian solution can get stranded.) I then attended Murray Aitkin’s talk, where he reanalysed the Berkof et al. (2003) dataset using his integrated likelihood. The afternoon was a succession of plenary talks by Susie Bayarri, Fabrizio Ruggeri and Peter Muller. (It could have been called the afternoon of the ISBA past-presidents, as I also talked in this series!) Susie introduced a new notion of effective sample size, call TESS, not in the importance sampling sense of independent-sample-equivalent used in simulation, but in the model comparison sense of information criterion penalising and prior scaling factor. This was the first time I heard about this notion and I found it definitely worth pursuing, in particular in search of a connection with the g-prior. (Nice name too!, connecting to a great book with a quote from Hardy about Tess being the victim of her beauty…) The day ended with a group excursion on boats up the Ganges for attending the sunset (Ganga Aarti, आरती) ceremony at Dasaswamedh Ghat, a ceremony that remained rather esoteric [for me] without the proper explanation.