Archive for ABC

machine learning methods are useful for ABC [or my first PCI Evol Biol!]

Posted in Books, Kids, pictures, Statistics, University life with tags , , , , , , on November 23, 2017 by xi'an

While I am still working on setting a PCI [peer community in] Comput Stats, having secure sponsorship of some societies (ASA, KSS, RSS, SFdS, and hopefully ISBA), my coauthors Jean-Michel Marin and Louis Raynal submitted our paper ABC random forests for Bayesian parameter inference to PCI Evol Biol. And after a few months of review, including a revision accounting for the reviewers’ requests, our paper stood the test and the recommendation by Michael Blum and Dennis Prangle got published there. Great news, and hopefully helpful for our submission within the coming days!

lazy ABC…what?!

Posted in Kids, pictures, Statistics with tags , , , , , on November 8, 2017 by xi'an

a Ca’Foscari [first Italian-French statistics seminar]

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , on October 26, 2017 by xi'an

Apart from subjecting my [surprisingly large!] audience to three hours of ABC tutorial today, and after running Ponte della la Libertà to Mestre and back in a deep fog, I attended the second part of the 1st Italian-French statistics seminar at Ca’Foscari, Venetiarum Universitas, with talks by Stéfano Tonellato and Roberto Casarin. Stéfano discussed a most interesting if puzzling notion of clustering via Dirichlet process mixtures. Which indeed puzzles me for its dependence on the Dirichlet measure and on the potential for an unlimited number of clusters as the sample size increases. The method offers similarities with an approach from our 2000 JASA paper on running inference on mixtures without proper label switching, in that looking at pairs of allocated observations to clusters is revealing about the [true or pseudo-true] number of clusters. With divergence in using eigenvalues of Laplacians on similarity matrices. But because of the potential for the number of components to diverge I wonder at the robustness of the approach via non-parametric [Bayesian] modelling. Maybe my difficulty stands with the very notion of cluster, which I find poorly defined and mostly in the eyes of the beholder! And Roberto presented a recent work on SURE and VAR models, with a great graphical representation of the estimated connections between factors in a sparse graphical model.

Astrostatistics school

Posted in Mountains, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , on October 17, 2017 by xi'an

What a wonderful week at the Astrostat [Indian] summer school in Autrans! The setting was superb, on the high Vercors plateau overlooking both Grenoble [north] and Valence [west], with the colours of the Fall at their brightest on the foliage of the forests rising on both sides of the valley and a perfect green on the fields at the centre, with sun all along, sharp mornings and warm afternoons worthy of a late Indian summer, too many running trails [turning into X country ski trails in the Winter] to contemplate for a single week [even with three hours of running over two days], many climbing sites on the numerous chalk cliffs all around [but a single afternoon for that, more later in another post!]. And of course a group of participants eager to learn about Bayesian methodology and computational algorithms, from diverse [astronomy, cosmology and more] backgrounds, trainings and countries. I was surprised at the dedication of the participants travelling all the way from Chile, Péru, and Hong Kong for the sole purpose of attending the school. David van Dyk gave the first part of the school on Bayesian concepts and MCMC methods, Roberto Trotta the second part on Bayesian model choice and hierarchical models, and myself a third part on, surprise, surprise!, approximate Bayesian computation. Plus practicals on R.

As it happens Roberto had to cancel his participation and I turned for a session into Christian Roberto, presenting his slides in the most objective possible fashion!, as a significant part covered nested sampling and Savage-Dickey ratios, not exactly my favourites for estimating constants. David joked that he was considering postponing his flight to see me talk about these, but I hope I refrained from engaging into controversy and criticisms… If anything because this was not of interest for the participants. Indeed when I started presenting ABC through what I thought was a pedestrian example, namely Rasmus Baath’s socks, I found that the main concern was not running an MCMC sampler or a substitute ABC algorithm but rather an healthy questioning of the construction of the informative prior in that artificial setting, which made me quite glad I had planned to cover this example rather than an advanced model [as, e.g., one of those covered in the packages abc, abctools, or abcrf]. Because it generated those questions about the prior [why a Negative Binomial? why these hyperparameters? &tc.] and showed how programming ABC turned into a difficult exercise even in this toy setting. And while I wanted to give my usual warning about ABC model choice and argue for random forests as a summary selection tool, I feel I should have focussed instead on another example, as this exercise brings out so clearly the conceptual difficulties with what is taught. Making me quite sorry I had to leave one day earlier. [As did missing an extra run!] Coming back by train through the sunny and grape-covered slopes of Burgundy hills was an extra reward [and no one in the train commented about the local cheese travelling in my bag!]

 

back to ca’ Foscari, Venezia

Posted in Books, pictures, Statistics, Travel, University life, Wines with tags , , , , , , on October 16, 2017 by xi'an

I am off to Venezia this afternoon for a Franco-Italian workshop organised by my friends Monica Billio, Roberto Casarin, and Matteo Iacopini, from the Department of Economics of Ca’ Foscari, almost exactly a year after my previous trip there for ESOBE 2016. (Except that this was before!) Tomorrow, I will give both a tutorial [for the second time in two weeks!] and a talk on ABC, hopefully with some portion of the audience still there for the second part!

running ABC when the likelihood is available

Posted in Statistics with tags , , , , , on September 19, 2017 by xi'an

Today I refereed a paper where the authors used ABC to bypass convergence (and implementation) difficulties with their MCMC algorithm. And I am still pondering whether or not this strategy makes sense. If only because ABC needs to handle the same complexity and the same amount of parameters as an MCMC algorithm. While shooting “in the dark” by using the prior or a coarse substitute to the posterior. And I wonder at the relevance of simulating new data when the [true] likelihood value [at the observed data] can be computed. This would sound to me like the relevant and unique “statistics” worth considering…

approximate likelihood

Posted in Books, Statistics with tags , , , , , on September 6, 2017 by xi'an

Today, I read a newly arXived paper by Stephen Gratton on a method called GLASS for General Likelihood Approximate Solution Scheme… The starting point is the same as with ABC or synthetic likelihood, namely a collection of summary statistics and an intractable likelihood. The author proposes to use as a substitute a maximum entropy solution based on these summary statistics and their assumed moments under the theoretical model. What is quite unclear in the paper is whether or not these assumed moments are available in closed form or not. Otherwise, it would appear as a variant to the synthetic likelihood [aka simulated moments] approach, meaning that the expectations of the summary statistics under the theoretical model and for a given value of the parameter are obtained through Monte Carlo approximations. (All the examples therein allow for closed form expressions.)