Archive for Amsterdam

more EU, another 50 years! [jatp]

Posted in pictures, Travel with tags , , , , , , , on November 6, 2019 by xi'an

Gibbs clashes with importance sampling

Posted in pictures, Statistics with tags , , , , , on April 11, 2019 by xi'an

In an X validated question, an interesting proposal was made: at each (component-wise) step of a Gibbs sampler, replace simulation from the exact full conditional with simulation from an alternate density and weight the resulting simulation with a term made of a product of (a) the previous weight (b) the ratio of the true conditional over the substitute for the new value and (c) the inverse ratio for the earlier value of the same component. Which does not work for several reasons:

  1. the reweighting is doomed by its very propagation in that it keeps multiplying ratios of expectation one, which means an almost sure chance of degenerating;
  2. the weights are computed for a previous value that has not been generated from the same proposal and is anyway already properly weighted;
  3. due to the change in dimension produced by Gibbs, the actual target is the full conditional, which involves an intractable normalising constant;
  4. there is no guarantee for the weights to have finite variance, esp. when the proposal has thinner tails than the target.

as can be readily checked by a quick simulation experiment. The funny thing is that a proper importance weight can be constructed when envisioning  the sequence of Gibbs steps as a Metropolis proposal (in the dimension of the target). Sad enough, the person asking the question seems to have lost interest in the issue, a rather common occurrence on X validated!

Dutch summer workshops on Bayesian modeling

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , on March 21, 2019 by xi'an

Just received an email about two Bayesian workshops in Amsterdam this summer:

both taking place at the University of Amsterdam. And focussed on Bayesian software.

surprises in probability [book review]

Posted in Books, Statistics, Travel with tags , , , , , , , , , on November 20, 2018 by xi'an

A very short book (128 pages, but with a very high price!) I received from CRC Press is Henk Tijms’ Surprises in Probability (Seventeen Short Stories). Henk Tijms is an emeritus professor of econometrics at the Vrije University in Amsterdam and he wrote these seventeen pieces either for the Dutch Statistical Society magazine or for a blog he ran for the NYt. (The video of A Night in Casablanca above is only connected to this blog through Chico mimicking the word surprise as soup+rice.)

The author mentions that the book can be useful for teachers and indeed this is a collection of surprising probability results, surprising in the sense that the numerical probabilities are not necessarily intuitive. Most illustrations involve betting of one sort or another,  with only basic (combinatorial) probability distributions involved. Readers should not worry about even this basic probability background since most statements are exposed without a proof. Most examples are very classical, from the prisoner’s problem, to the Monty Hall paradox, to the birthday problem, to Benford’s distribution of digits, to gambler’s ruin, gambler’s fallacy, and the St Petersbourg paradox, to the secretary’s problem and stopping rules. The most advanced notion is the one of (finite state) Markov chains. As martingales are only mentionned in connection with pseudo-probabilist schemes for winning the lottery. For which (our very own!) Jeff Rosenthal makes an appearance, thanks to his uncovering of the Ontario Lottery scam!

“In no other branch of mathematics is it so easy for experts to blunder as in probability theory.”  Martin Gardner

A few stories have entries about Bayesian statistics, with mentions made of the O.J. Simpson, Sally Clark and Lucia de Berk miscarriages of justice, although these mentions make the connection most tenuous. Simulation is also mentioned as a manner of achieving approximations to more complex probabilities. But not to the point of discussing surprises about simulation, which could have been the case with the simulation of rare events.

Ten most beautiful probability formulas (Story 10) reminded me of Ian Steward 17 formulas that changed the World. Obviously at another scale and in a much less convincing way. To wit, the Normal (or Gauss) density, Bayes’ formula, the gambler’s ruin formula, the squared-root formula (meaning standard deviation decreases as √n), Kelly’s betting formula (?), the asymptotic law of distribution of prime numbers (??), another squared-root formula for the one-dimensional random walk, the newsboy formula (?), the Pollaczek-Khintchine formula (?), and the waiting-time formula. I am not sure I would have included any of these…

All in all this is a nice if unsurprising database for illustrations and possibly exercises in elementary probability courses, although it will require some work from the instructor to link the statements to their proof. As one would expect from blog entries. But this makes for a nice reading, especially while traveling and I hope some fellow traveler will pick the book from where I left it in Mexico City airport.

would you walk this bridge with Mark?!

Posted in Statistics with tags , , , , , on May 1, 2018 by xi'an

Read this article on Mark Girolami (Warwick), now  Lloyd’s Register Foundation / Royal Academy of Engineering Research Chair in Data Centric Engineering, who is starting a new project on the monitoring of the first 3D-printed bridge, soon to be installed in Amsterdam, by creating a virtual twin, fed by sensors from the real bridge, in order to check for safety and integrity. I like this notion of data-centric engineering! (Which sounds like the revenge of the statistician, at least in the ancient era of French engineering schools, when statistics was not considered a part of engineering.)