Archive for Banff

O Canada! [Happy 150th birthday!]

Posted in Statistics with tags , , , , , , , , on July 1, 2017 by xi'an

I am just taking off from Paris to Montréal today for MCM 2017, on Canada Day which happens to be the 150th National Day. I have already spent three instances of a Canada Day, in both Ottawa and Banff, but this is the first in Québec and I am curious to see the atmosphere in Montréal for this occasion. If there is anything to see, since the Montréal Jazz Festival is already started…

efficient acquisition rules for ABC

Posted in pictures, Statistics, University life with tags , , , , , , , , on June 5, 2017 by xi'an

A few weeks ago, Marko Järvenpää, Michael Gutmann, Aki Vehtari and Pekka Marttinen arXived a paper on sampling design for ABC that reminded me of presentations Michael gave at NIPS 2014 and in Banff last February. The main notion is that, when the simulation from the model is hugely expensive, random sampling does not make sense.

“While probabilistic modelling has been used to accelerate ABC inference, and strategies have been proposed for selecting which parameter to simulate next, little work has focused on trying to quantify the amount of uncertainty in the estimator of the ABC posterior density itself.”

The above question  is obviously interesting, if already considered in the literature for it seems to focus on the Monte Carlo error in ABC, addressed for instance in Fearnhead and Prangle (2012), Li and Fearnhead (2016) and our paper with David Frazier, Gael Martin, and Judith Rousseau. With corresponding conditions on the tolerance and the number of simulations to relegate Monte Carlo error to a secondary level. And the additional remark that the (error free) ABC distribution itself is not the ultimate quantity of interest. Or the equivalent (?) one that ABC is actually an exact Bayesian method on a completed space.

The paper initially confused me for a section on the very general formulation of ABC posterior approximation and error in this approximation. And simulation design for minimising this error. It confused me as it sounded too vague but only for a while as the remaining sections appear to be independent. The operational concept of the paper is to assume that the discrepancy between observed and simulated data, when perceived as a random function of the parameter θ, is a Gaussian process [over the parameter space]. This modelling allows for a prediction of the discrepancy at a new value of θ, which can be chosen as maximising the variance of the likelihood approximation. Or more precisely of the acceptance probability. While the authors report improved estimation of the exact posterior, I find no intuition as to why this should be the case when focussing on the discrepancy, especially because small discrepancies are associated with parameters approximately generated from the posterior.

Rundlestone Session

Posted in Mountains, pictures, Travel, Wines with tags , , , , , , , , , on May 20, 2017 by xi'an

Pu’erh stuffed tangerine

Posted in Statistics with tags , , , , on April 29, 2017 by xi'an

The Hanging Tree

Posted in Books, Kids, Travel with tags , , , , , , , on March 25, 2017 by xi'an

This is the fifth sixth volume of Ben Aaronovitch’s Rivers of London series. Which features PC Peter Grant from the London’s Metropolitan Police specialising in paranormal crime. Joining a line of magicians that was started by Isaac Newton. And with the help of water deities. Although this English magic sleuthing series does not compare with the superlative Jonathan Strange & Mr. Norrell single book, The Hanging Tree remains highly enjoyable, maybe more for its style and vocabulary than for the detective story itself, which does not sound completely coherent (unless I read it too quickly during the wee hours in Banff last week). And does not bring much about this part of London. Still a pleasure to read as the long term pattern of Aaronovitch’s universe slowly unravels and some characters get more substance and depth.

Jonathan Strange & Mr Norrell [BBC One]

Posted in Books, pictures, Travel with tags , , , , , , , on March 18, 2017 by xi'an

After discussing Jonathan Strange & Mr Norrell with David Frazier in Banff, where I spotted him reading this fabulous book, I went for a look at the series BBC One made out of this great novel. And got so hooked to it that I binge-watched the whole series of 7 episodes over three days..! I am utterly impressed at the BBC investing so much into this show, rendering most of the spirit of the book and not only the magical theatrics. The complex [and nasty] personality of Mr Norrell and his petit-bourgeois quest of respectability is beautifully exposed, leading him to lie and steal and come close to murder [directly or by proxy], in a pre-Victorian and anti-Romantic urge to get away from magical things from the past, “more than 300 years ago”. While Jonathan Strange’s own Romantic inclinations are obvious, including the compulsory  travel to Venezia [even though the BBC could only afford Croatia, it seems!] The series actually made clear some points I had missed in the novel, presumably by rushing through it, like the substitution of Strange’s wife by the moss-oak doppelganger created by the fairy king. The enslavement of Stephen,  servant of Lord Pole and once and future king by the same fairy is also superbly rendered.

While not everything in the series is perfect, with in particular the large scale outdoor scenes being too close to a video-game rendering (as in the battle of Waterloo that boils down to a backyard brawl!), the overall quality of the show [the Frenchmen there parlent vraiment français, with no accent!] and adhesion to the spirit of Susanna Clarke’s novel make it an example of the tradition of excellence of the BBC. (I just wonder at the perspective of a newcomer who would watch the series with no prior exposure to the book!)

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: