this issue of Series B

The September issue of [JRSS] Series B I received a few days ago is of particular interest to me. (And not as an ex-co-editor since I was never involved in any of those papers!) To wit: a paper by Hani Doss and Aixin Tan on evaluating normalising constants based on MCMC output, a preliminary version I had seen at a previous JSM meeting, a paper by Nick Polson, James Scott and Jesse Windle on the Bayesian bridge, connected with Nick’s talk in Boston earlier this month, yet another paper by Ariel Kleiner, Ameet Talwalkar, Purnamrita Sarkar and Michael Jordan on the bag of little bootstraps, which presentation I heard Michael deliver a few times when he was in Paris. (Obviously, this does not imply any negative judgement on the other papers of this issue!)

For instance, Doss and Tan consider the multiple mixture estimator [my wording, the authors do not give the method a name, referring to Vardi (1985) but missing the connection with Owen and Zhou (2000)] of k ratios of normalising constants, namely

\sum_{l=1}^k \frac{1}{n_l} \sum_{t=1}^{n_l} \dfrac{n_l g_j(x_t^l)}{\sum_{s=1}^k n_s g_s(x_t^l) z_1/z_s } \longrightarrow \dfrac{z_j}{z_1}

where the z’s are the normalising constants and with possible different numbers of iterations of each Markov chain. An interesting starting point (that Hans Künsch had mentioned to me a while ago but that I had since then forgotten) is that the problem was reformulated by Charlie Geyer (1994) as a quasi-likelihood estimation where the ratios of all z’s relative to one reference density are the unknowns. This is doubling interesting, actually, because it restates the constant estimation problem into a statistical light and thus somewhat relates to the infamous “paradox” raised by Larry Wasserman a while ago. The novelty in the paper is (a) to derive an optimal estimator of the ratios of normalising constants in the Markov case, essentially accounting for possibly different lengths of the Markov chains, and (b) to estimate the variance matrix of the ratio estimate by regeneration arguments. A favourite tool of mine, at least theoretically as practically useful minorising conditions are hard to come by, if at all available.

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