Archive for approximate Bayesian inference

conditioning an algorithm

Posted in Statistics with tags , , , , , , , , , , , on June 25, 2021 by xi'an

A question of interest on X validated: given a (possibly black-box) algorithm simulating from a joint distribution with density [wrt a continuous measure] p(z,y) (how) is it possible to simulate from the conditional p(y|z⁰)? Which reminded me of a recent paper by Lindqvist et al. on conditional Monte Carlo. Which zooms on the simulation of a sample X given the value of a sufficient statistic, T(X)=t, revolving about pivotal quantities and inversions à la fiducial statistics, following an earlier Biometrika paper by Lindqvist & Taraldsen, in 2005. The idea is to write

X=\chi(U,\theta)\qquad T(X)=\tau(U,\theta)

where U has a distribution that depends on θ, to solve τ(u,θ)=t in θ for a given pair (u,t) with solution θ(u,t) and to generate u conditional on this solution. But this requires getting “under the hood” of the algorithm to such an extent as not answering the original question, or being open to other solutions using the expression for the joint density p(z,y)… In a purely black box situation, ABC appears as the natural if approximate solution.

ABC in… everywhere [programme]

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on April 8, 2021 by xi'an

The ABC in Svalbard workshop is taking place on-line next week (and most sadly not in Svalbard). The programme is available on the ABC site. It starts (in Australia) at 4:00GMT (14 AEST) and finishes (in France) at 15:30GMT (17:30 CET). Registration is free but needed to access the Zoom codes!  See you on Zoom next week!!!

congrats, Håvard!!!

Posted in Statistics with tags , , , , , , , , , , , on March 4, 2021 by xi'an

one World ABC seminar [term #2]

Posted in Statistics with tags , , , , , , , , , , on September 29, 2020 by xi'an

The on-line One World ABC seminar continues on-line this semester! With talks every other Thursday at 11:30 UK time (12:30 central European time). Incoming speakers are

with presenters to be confirmed for 29 October. Anyone interested in presenting at this webinar in a near future should not hesitate in contacting Massimiliano Tamborrino in Warwick or any of the other organisers of the seminar!

special issue of Entropy

Posted in Statistics with tags , , , , , on September 11, 2020 by xi'an

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