Archive for the Travel Category

ABC for copula estimation

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , on March 23, 2015 by xi'an

Roma from Piazzale Napoleone I, Villa Borghese, Feb. 29, 2012Clara Grazian and Brunero Liseo (di Roma) have just arXived a note on a method merging copulas, ABC, and empirical likelihood. The approach is rather hybrid and thus not completely Bayesian, but this must be seen as a consequence of an ill-posed problem. Indeed, as in many econometric models, the model there is not fully defined: the marginals of iid observations are represented as being from well-known parametric families (and are thus well-estimated by Bayesian tools), while the joint distribution remains uncertain and hence so does the associated copula. The approach in the paper is to proceed stepwise, i.e., to estimate correctly each marginal, well correctly enough to transform the data by an estimated cdf, and then only to estimate the copula or some aspect of it based on this transformed data. Like Spearman’s ρ. For which an empirical likelihood is computed and aggregated to a prior to make a BCel weight. (If this sounds unclear, each BEel evaluation is based on a random draw from the posterior samples, which transfers some uncertainty in the parameter evaluation into the copula domain. Thanks to Brunero and Clara for clarifying this point for me!)

At this stage of the note, there are two illustrations revolving around Spearman’s ρ. One on simulated data, with better performances than a nonparametric frequentist solution. And another one on a Garch (1,1) model for two financial time-series.

I am quite glad to see an application of our BCel approach in another domain although I feel a tiny bit uncertain about the degree of arbitrariness in the approach, from the estimated cdf transforms of the marginals to the choice of the moment equations identifying the parameter of interest like Spearman’s ρ. Especially if one uses a parametric copula which moments are equally well-known. While I see the practical gain in analysing each component separately, the object created by the estimated cdf transforms may have a very different correlation structure from the true cdf transforms. Maybe there exist consistency conditions on the estimated cdfs… Maybe other notions of orthogonality or independence could be brought into the picture to validate further the two-step solution…

a marathon a day for… a year?!

Posted in Kids, Running, Travel with tags , , , , , on March 22, 2015 by xi'an

“I think a lot of people do not push themselves enough.” Rob Young

I found this Guardian article about Rob Young and his goal of running the equivalent of 400 marathons in 365 days. Meaning there are days he runs the equivalent of three marathons. Hard to believe, isn’t it?! But his terrible childhood is as hard to believe. And how cool is running with a kilt, hey?! If you want to support his donation for disadvantaged children, go to his marathon man site. Keep running, Rob!

a mad afternoon!

Posted in pictures, Running, Travel with tags , , , , , , , , , on March 21, 2015 by xi'an

An insanely exciting final day and end to the 2015 Six Nations tournament! on the first game of the afternoon, Wales beat Italy in Rome by a sound 20-61!, turning them into likely champions. But then, right after, Ireland won against Scotland 10-40! In mythical Murrayfield. A feat that made them winners unless England won over France in Twickenham by at least 26 points. Which did not happen, in a completely demented rugby game, a game of antology where England dominated but France was much more inspired (if as messy as usual) than in the past games and fought fair and well, managing to loose 35-55 and hence block English victory of the Six Nations. Which can be considered as a victory of sorts…! Absolutely brilliant ending.

at The X

Posted in pictures, Running, Travel, Wines with tags , , , , , , , on March 15, 2015 by xi'an


Domaine de Mortiès [in the New York Times]

Posted in Mountains, Travel, Wines with tags , , , , , , , , , , , , , on March 7, 2015 by xi'an


“I’m not sure how we found Domaine de Mortiès, an organic winery at the foothills of Pic St. Loup, but it was the kind of unplanned, delightful discovery our previous trips to Montpellier never allowed.”

Last year,  I had the opportunity to visit and sample (!) from Domaine de Mortiès, an organic Pic Saint-Loup vineyard and winemaker. I have not yet opened the bottle of Jamais Content I bought then. Today I spotted in The New York Times a travel article on A visit to the in-laws in Montpellier that takes the author to Domaine de Mortiès, Pic Saint-Loup, Saint-Guilhem-du-Désert and other nice places, away from the overcrowded centre of town and the rather bland beach-town of Carnon, where she usually stays when visiting. And where we almost finished our Bayesian Essentials with R! To quote from the article, “Montpellier, France’s eighth-largest city, is blessed with a Mediterranean sun and a beautiful, walkable historic centre, a tourist destination in its own right, but because it is my husband’s home city, a trip there never felt like a vacation to me.” And when the author mentions the owner of Domaine de Mortiès, she states that “Mme. Moustiés looked about as enthused as a teenager working the checkout at Rite Aid”, which is not how I remember her from last year. Anyway, it is fun to see that visitors from New York City can unexpectedly come upon this excellent vineyard!

snapshot from Gibbet Hill

Posted in pictures, Travel, University life with tags , , , , on March 5, 2015 by xi'an


market static

Posted in Kids, Travel with tags , on March 2, 2015 by xi'an

[Heard in the local market, while queuing for cheese:]

– You took too much!

– Maybe, but remember your sister is staying for two days.

– My sister…, as usual, she will take a big serving and leave half of it!

– Yes, but she will make sure to finish the bottle of wine!


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