Archive for ABC convergence

impressions from EcoSta2017 [guest post]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on July 6, 2017 by xi'an

[This is a guest post on the recent EcoSta2017 (Econometrics and Statistics) conference in Hong Kong, contributed by Chris Drovandi from QUT, Brisbane.]

There were (at least) two sessions on Bayesian Computation at the recent EcoSta (Econometrics and Statistics) 2017 conference in Hong Kong. Below is my review of them. My overall impression of the conference is that there were lots of interesting talks, albeit a lot in financial time series, not my area. Even so I managed to pick up a few ideas/concepts that could be useful in my research. One criticism I had was that there were too many sessions in parallel, which made choosing quite difficult and some sessions very poorly attended. Another criticism of many participants I spoke to was that the location of the conference was relatively far from the city area.

In the first session (chaired by Robert Kohn), Minh-Ngoc Tran spoke about this paper on Bayesian estimation of high-dimensional Copula models with mixed discrete/continuous margins. Copula models with all continuous margins are relatively easy to deal with, but when the margins are discrete or mixed there are issues with computing the likelihood. The main idea of the paper is to re-write the intractable likelihood as an integral over a hypercube of ≤J dimensions (where J is the number of variables), which can then be estimated unbiasedly (with variance reduction by using randomised quasi-MC numbers). The paper develops advanced (correlated) pseudo-marginal and variational Bayes methods for inference.

In the following talk, Chris Carter spoke about different types of pseudo-marginal methods, particle marginal Metropolis-Hastings and particle Gibbs for state space models. Chris suggests that a combination of these methods into a single algorithm can further improve mixing. Continue reading

talk at Trinity College

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on May 7, 2017 by xi'an

Tomorrow noon, I will give a talk at Trinity College Dublin on the asymptotic properties of ABC. (Here are the slides from the talk I gave in Berlin last month.)

CORE talk at Louvain-la-Neuve

Posted in Statistics with tags , , , , , , , on March 16, 2017 by xi'an

Tomorrow, I will give a talk at the seminar for econometrics and finance of CORE, in Louvain-la-Neuve, Belgium. Here are my slides, recycled from several earlier talks and from Judith’s slides in Banff:


ABC’ory in Banff [17w5025]

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , on February 23, 2017 by xi'an

Cascade mountain, Banff, March 18, 2012Another great day of talks and discussions at BIRS! Continuing on the themes of the workshop between delving into the further validation of those approximation techniques and the devising of ever more approximate solutions for ever more complex problems. Among the points that came clearer to me through discussion, a realisation that the synthetic likelihood perspective is not that far away from our assumptions in the consistency paper. And that a logistic version of the approach can be constructed as well. A notion I had not met before (or have forgotten I had met) is the one of early rejection ABC, which should actually be investigated more thoroughly as it should bring considerable improvement in computing time (with the caveats of calibrating the acceptance step before producing the learning sample and of characterising the output).  Both Jukka Corander and Ewan Cameron reminded us of the case of models that take minutes or hours to produce one single dataset. (In his talk on some challenging applications, Jukka Corander chose to move from socks to boots!) And Jean-Michel Marin produced an illuminating if sobering experiment on the lack of proper Bayesian coverage by ABC solutions. (It appears that Ewan’s video includes a long empty moment when we went out for the traditional group photo, missing the end of his talk.)

off to Banff [17w5024]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , on February 18, 2017 by xi'an

Today, I fly from Paris to Amsterdam to Calgary to attend the ABC’ory workshop (15w2214) at the Banff International Research Station (BIRS) that Luke Bornn, Jukka Corander, Gael Martin, Dennis Prangle, Richard Wilkinson and myself built. The meeting is to brainstorm about the foundations of ABC for statistical inference rather than about the computational aspects of ABC, but the schedule is quite flexible for other directions!

ABC in Les Diablerets

Posted in Statistics with tags , , , , , , , , , , on February 14, 2017 by xi'an

Since I could not download the slides of my ABC course in Les Diablerets in one go, I broke them by chapters as follows. (Warning: there is very little novelty in those slides, except for the final part on consistency.)

Although I did not do it on purpose (!), starting with indirect inference and other methods inspired from econometrics induced some discussion in the first hour of the course with econometricians in the room. Including Elvezio Ronchetti.

I also regretted piling too much material in the alphabet soup, as it was too widespread for a new audience. And as I could not keep the coherence of the earlier parts by going thru so many papers at once. Especially since I was a bit knackered after a day of skiing….

I managed to get to the final convergence chapter on the last day, even though I had to skip some of the earlier material. Which should be reorganised anyway as the parts between model choice with random forests and inference with random forests are not fully connected!

off to Australia

Posted in pictures, Statistics, Travel, University life, Wines with tags , , , , , , , , , on August 22, 2016 by xi'an

south bank of the Yarra river, Melbourne, July 21, 2012Taking advantage of being in San Francisco, I flew yesterday to Australia over the Pacific, crossing for the first time the day line. The 15 hour Qantas flight to Sydney was remarkably smooth and quiet, with most passengers sleeping for most of the way, and it gave me a great opportunity to go over several papers I wanted to read and review. Over the next week or so, I will work with my friends and co-authors David Frazier and Gael Martin at Monash University (and undoubtedly enjoy the great food and wine scene!). Before flying back to Paris (alas via San Francisco rather than direct).