SPA 2015 Oxford [my day #2]

Today I [barely made it on a delayed train from Leaminton Spa to Oxford as I] chaired my invited session at SPA 2015 on advanced MCMC methodology. The three speakers, Randal Douc, Mike Pitt and Matti Vihola, all gave talks related to the pseudo-marginal technique. For instance, Randal gave examples of guaranteed variance improvements by adding randomisation steps in the generation of the rv’s behind the unbiased estimation of the likelihood function. Mike Pitt presented the paper I discussed a little while ago about evaluating the computing performances of pseudo-marginal approximations, with a fairly compelling perspective [I may have missed from the paper] on approximating the distribution on the approximation to the log-likelihood as a normal. Which led me to ponder at the ultimate version where the log-likelihood itself would get directly simulated in an MCMC algorithm bypassing the preliminary simulation of the parameters. Sounds a bit too fantasy-like to be of any use… Matti Vihola also presented recent results with Christophe Andrieu on comparing pseudo-marginal approximations, based on convex ordering properties. They included a domination result on ABC-MCM algorithms, as noted in a recent post. Which made me musing about the overall importance of unbiasedness in the global picture, where all we need are converging approximations, in fine.