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evidence estimation in finite and infinite mixture models

May 20, 2022

Adrien Hairault (PhD student at Dauphine), Judith and I just arXived a new paper on evidence estimation for mixtures. This may sound like a well-trodden path that I have repeatedly explored in the past, but methinks that estimating the model evidence doth remain a notoriously difficult task for large sample or many component finite mixtures […]

accronyms [CDT lectures]

May 16, 2022

This week, I gave a short and introductory course in Warwick for the CDT (PhD) students on my perceived connections between reverse logistic regression à la Geyer and GANS, among other things. The first attempt was cancelled in 2020 due to the pandemic, the second one in 2021 was on-line and thus offered little possibilities […]

[more than] everything you always wanted to know about marginal likelihood

February 10, 2022

Earlier this year, F. Llorente, L. Martino, D. Delgado, and J. Lopez-Santiago have arXived an updated version of their massive survey on marginal likelihood computation. Which I can only warmly recommend to anyone interested in the matter! Or looking for a base camp to initiate a graduate project. They break the methods into four families […]

ABC by classification

December 21, 2021

As a(nother) coincidence, yesterday, we had a reading group discussion at Paris Dauphine a few days after Veronika Rockova presented the paper in person in Oaxaca. The idea in ABC by classification that she co-authored with Yuexi Wang and Tetsuya Kaj is to use the empirical Kullback-Leibler divergence as a substitute to the intractable likelihood […]

21w5107 [½day 3]

December 2, 2021

Day [or half-day] three started without firecrackers and with David Rossell (formerly Warwick) presenting an empirical Bayes approach to generalised linear model choice with a high degree of confounding, using approximate Laplace approximations. With considerable improvements in the experimental RMSE. Making feeling sorry there was no apparent fully (and objective?) Bayesian alternative! (Two more papers […]