Archive for the Travel Category

snapshot from Martinique¹ [jatp]

Posted in Kids, Mountains, pictures, Running, Travel with tags , , , , , , , , , , on January 30, 2023 by xi'an

ABC with path signatures [One World ABC seminar, 2/2/23]

Posted in Books, pictures, Running, Statistics, Travel, University life with tags , , , , , , , on January 29, 2023 by xi'an

The next One World ABC seminar is by Joel Dyer (Oxford) at 1:30pm (UK time) on 02 February.

Title: Approximate Bayesian Computation with Path Signatures

Abstract: Simulation models often lack tractable likelihood functions, making likelihood-free inference methods indispensable. Approximate Bayesian computation (ABC) generates likelihood-free posterior samples by comparing simulated and observed data through some distance measure, but existing approaches are often poorly suited to time series simulators, for example due to an independent and identically distributed data assumption. In this talk, we will discuss our work on the use of path signatures in ABC as a means to handling the sequential nature of time series data of different kinds. We will begin by discussing popular approaches to ABC and how they may be extended to time series simulators. We will then introduce path signatures, and discuss how signatures naturally lead to two instances of ABC for time series simulators. Finally, we will demonstrate that the resulting signature-based ABC procedures can produce competitive Bayesian parameter inference for simulators generating univariate, multivariate, irregularly spaced, and even non-Euclidean sequences.

Reference: J. Dyer, P. Cannon, S. M Schmon (2022). Approximate Bayesian Computation with Path Signatures. arXiv preprint 2106.12555

off to Martinique

Posted in Kids, pictures, Running, Travel with tags , , , , , , , on January 25, 2023 by xi'an

total respect!

Posted in Kids, pictures, Travel with tags , , , , , , on January 21, 2023 by xi'an

sunrise over Julian Alps [jatp]

Posted in Mountains, pictures, Travel with tags , , , , , , , on January 21, 2023 by xi'an

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