Cancún, ISBA 2014 [day #3]

…already Thursday, our [early] departure day!, with an nth (!) non-parametric session that saw [the newly elected ISBA Fellow!] Judith Rousseau present an ongoing work with Chris Holmes on the convergence or non-convergence conditions for a Bayes factor of a non-parametric hypothesis against another non-parametric. I wondered at the applicability of this test as the selection criterion in ABC settings, even though having an iid sample to start with is a rather strong requirement.

Switching between a scalable computation session with Alex Beskos, who talked about adaptive Langevin algorithms for differential equations, and a non-local prior session, with David Rossell presenting a smoother way to handle point masses in order to accommodate frequentist coverage. Something we definitely need to discuss the next time I am in Warwick! Although this made me alas miss both the first talk of the non-local session by Shane Jensen  the final talk of the scalable session by Doug Vandewrken where I happened to be quoted (!) for my warning about discretising Markov chains into non-Markov processes. In the 1998 JASA paper with Chantal Guihenneuc.

After a farewell meal of ceviche with friends in the sweltering humidity of a local restaurant, I attended [the newly elected ISBA Fellow!] Maria Vanucci’s talk on her deeply involved modelling of fMRI. The last talk before the airport shuttle was François Caron’s description of a joint work with Emily Fox on a sparser modelling of networks, along with an auxiliary variable approach that allowed for parallelisation of a Gibbs sampler. François mentioned an earlier alternative found in machine learning where all components of a vector are updated simultaneously conditional on the previous avatar of the other components, e.g. simulating (x’,y’) from π(x’|y) π(y’|x) which does not produce a convergent Markov chain. At least not convergent to the right stationary. However, running a quick [in-flight] check on a 2-d normal target did not show any divergent feature, when compared with the regular Gibbs sampler. I thus wonder at what can be said about the resulting target or which conditions are need for divergence. A few scribbles later, I realised that the 2-d case was the exception, namely that the stationary distribution of the chain is the product of the marginal. However, running a 3-d example with an auto-exponential distribution in the taxi back home, I still could not spot a difference in the outcome.