## off to BayesComp 20, Gainesville

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on January 7, 2020 by xi'an

## estimating the marginal likelihood (or an information criterion)

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , on December 28, 2019 by xi'an

Tory Imai (from Kyoto University) arXived a paper last summer on what first looked like a novel approximation of the marginal likelihood. Based on the variance of thermodynamic integration. The starting argument is that there exists a power 0<t⁰<1 such that the expectation of the logarithm of the product of the prior by the likelihood to the power t⁰ or t⁰-powered likelihood  is equal to the standard log-marginal

$\log m(x) = \mathbb{E}^{t^0}[ \log f(X|\theta) ]$

when the expectation is under the posterior corresponding to the t⁰-powered likelihood (rather than the full likelihood). By an application of the mean value theorem. Watanabe’s (2013) WBIC replaces the optimum t⁰ with 1/log(n), n being the sample size. The issue in terms of computational statistics is of course that the error of WBIC (against the true log m(x)) is only characterised as an order of n.

The second part of the paper is rather obscure to me, as the motivation for the real log canonical threshold is missing, even though the quantity is connected with the power likelihood. And the DIC effective dimension. It then goes on to propose a new approximation of sBIC, where s stands for singular, of Drton and Plummer (2017) which I had missed (and may ask my colleague Martin later today at Warwick!). Quickly reading through the later however brings explanations about the real log canonical threshold being simply the effective dimension in Schwarwz’s BIC approximation to the log marginal,

$\log m(x) \approx= \log f(x|\hat{\theta}_n) - \lambda \log n +(m-1)\log\log n$

(as derived by Watanabe), where m is called the multiplicity of the real log canonical threshold. Both λ and m being unknown, Drton and Plummer (2017) estimate the above approximation in a Bayesian fashion, which leads to a double indexed marginal approximation for a collection of models. Since this thread leads me further and further from a numerical resolution of the marginal estimation, but brings in a different perspective on mixture Bayesian estimation, I will return to this highly  in a later post. The paper of Imai discusses a different numerical approximation to sBIC, With a potential improvement in computing sBIC. (The paper was proposed as a poster to BayesComp 2020, so I am looking forward discussing it with the author.)

## BayesComp 2020 at a glance

Posted in Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , on December 18, 2019 by xi'an

## BayesComp 20 [schedule]

Posted in Books, Kids, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , on November 20, 2019 by xi'an

The schedule for the program is now available on the conference webpage of BayesComp 20, for the days of 7-10 Jan 2020. There are twelve invited sessions, including one j-ISBA session, and a further thirteen contributed sessions were selected by the scientific committee. And two tutorials on the first day. Looking forward seeing you in Florida! (Poster submissions still welcomed!)

## don’t be late for BayesComp’2020

Posted in Statistics with tags , , , , , , , , , , , , , on October 4, 2019 by xi'an

An important reminder that October 14 is the deadline for regular registration to BayesComp 2020 as late fees will apply afterwards!!! The conference looks attractive enough to agree to pay more, but still…

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on August 17, 2019 by xi'an

While I have forgotten to send a reminder that August 15 was the first deadline of BayesComp 2020 for the early registrations, here are further deadlines and dates

1. BayesComp 2020 occurs on January 7-10 2020 in Gainesville, Florida, USA
2. Registration is open with regular rates till October 14, 2019
3. Deadline for submission of poster proposals is December 15, 2019
4. Deadline for travel support applications is September 20, 2019
5. There are four free tutorials on January 7, 2020, related with Stan, NIMBLE, SAS, and AutoStat

## BayesComp 20 [full program]

Posted in pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , on April 15, 2019 by xi'an

The full program is now available on the conference webpage of BayesComp 20, next 7-10 Jan 2020. There are eleven invited sessions, including one j-ISBA session, and a further thirteen contributed sessions were selected by the scientific committee. Calls are still open for tutorials on Tuesday 07 January (with two already planed on Nimble and AutoStat) and for posters. Now is the best time for registering! Note also that travel support should be available for junior researchers.