Archive for the Statistics Category

Kempner Fi

Posted in Books, Kids, R, Statistics with tags , , , , , , , on January 19, 2021 by xi'an

A short code-golf challenge led me to learn about the Kempner series, which is the series made of the inverted integers, excluding all those containing the digit 9. Most surprisingly this exclusion is enough to see the series converging (close to 23). The explanation for this convergence is that, citing Wikipedia,

“The number of n-digit positive integers that have no digit equal to ‘9’ is 8 × 9n−1

and since the inverses of these n-digit positive integers are less than 101−n the series is bounded by 80. In simpler terms, it converges because the fraction of remaining terms in the series is geometrically decreasing as (9/10)1−n. Unsurprisingly (?) the series is also atrociously slow to converge (for instance the first million terms sum up to 11) and there exist recurrence representations that speed up its computation.  Here is the code-golf version

n=scan()+2
while(n<-n-1){
F=F+1/T
while(grepl(9,T<-T+1))0}
F

that led me to learn about the R function grepl. (The explanation for the pun in the title is that Semper Fidelis is the motto of the corsair City of Saint-Malo or Sant-Maloù, Brittany.)

ABC, anytime!

Posted in Books, pictures, Statistics, Travel, University life with tags , , , on January 18, 2021 by xi'an

Last June, Alix Marie d’Avigneau, Sumeet Singh, and Lawrence Murray arXived a paper on anytime ABC I intended to review right away but that sat till now on my virtual desk (and pile of to-cover-arXivals!). The notion of anytime MCMC was already covered in earlier ‘Og entries, but this anytime ABC version bypasses the problem of asynchronicity, namely, “randomly varying local move completion times when parallel tempering is implemented on a multi-processor computing resource”. The different temperatures are replaced by different tolerances in ABC. Since switches between tolerances are natural if a proposal for a given tolerance ε happens to be eligible for a lower tolerance ε’. And accounting for the different durations required to simulate a proposal under different tolerances to avoid the induced bias in the stationary distributions. Or the wait for other processors to complete their task. A drawback with the approach stands in calibrating the tolerance levels in advance (or via preliminary runs that may prove costly).

lost mathematicians of 2020

Posted in Books, Kids, Statistics, University life with tags , , , , , on January 17, 2021 by xi'an

averaged acceptance ratios

Posted in Statistics with tags , , , , , , , , , , , , , on January 15, 2021 by xi'an

In another recent arXival, Christophe Andrieu, Sinan Yıldırım, Arnaud Doucet, and Nicolas Chopin study the impact of averaging estimators of acceptance ratios in Metropolis-Hastings algorithms. (It is connected with the earlier arXival rephrasing Metropolis-Hastings in terms of involutions discussed here.)

“… it is possible to improve performance of this algorithm by using a modification where the acceptance ratio r(ξ) is integrated with respect to a subset of the proposed variables.”

This interpretation of the current proposal makes it a form of Rao-Blackwellisation, explicitly mentioned on p.18, where, using a mixture proposal, with an adapted acceptance probability, it depends on the integrated acceptance ratio only. Somewhat magically using this ratio and its inverse with probability ½. And it increases the average Metropolis-Hastings acceptance probability (albeit with a larger number of simulations). Since the ideal averaging is rarely available, the authors implement a Monte Carlo averaging version. With applications to the exchange algorithm and to reversible jump MCMC. The major application is to pseudo-marginal settings with a high complexity (in the number T of terms) and where the authors’ approach does scale efficiently with T. There is even an ABC side to the story as one illustration is made of the ABC approximation to the posterior of an α-stable sample. As an encompassing proposal for handling Metropolis-Hastings environments with latent variables and several versions of the acceptance ratios, this is quite an interesting paper that I think we will study in further detail with our students.

general perspective on the Metropolis–Hastings kernel

Posted in Books, Statistics with tags , , , , , , , , , , , , , on January 14, 2021 by xi'an

[My Bristol friends and co-authors] Christophe Andrieu, and Anthony Lee, along with Sam Livingstone arXived a massive paper on 01 January on the Metropolis-Hastings kernel.

“Our aim is to develop a framework making establishing correctness of complex Markov chain Monte Carlo kernels a purely mechanical or algebraic exercise, while making communication of ideas simpler and unambiguous by allowing a stronger focus on essential features (…) This framework can also be used to validate kernels that do not satisfy detailed balance, i.e. which are not reversible, but a modified version thereof.”

A central notion in this highly general framework is, extending Tierney (1998), to see an MCMC kernel as a triplet involving a probability measure μ (on an extended space), an involution transform φ generalising the proposal step (i.e. þ²=id), and an associated acceptance probability ð. Then μ-reversibility occurs for

\eth(\xi)\mu(\text{d}\xi)= \eth(\phi(\xi))\mu^{\phi}(\text{d}\xi)

with the rhs involving the push-forward measure induced by μ and φ. And furthermore there is always a choice of an acceptance probability ð ensuring for this equality to happen. Interestingly, the new framework allows for mostly seamless handling of more complex versions of MCMC such as reversible jump and parallel tempering. But also non-reversible kernels, incl. for instance delayed rejection. And HMC, incl. NUTS. And pseudo-marginal, multiple-try, PDMPs, &c., &c. it is remarkable to see such a general theory emerging a this (late?) stage of the evolution of the field (and I will need more time and attention to understand its consequences).