Archive for Bayesian econometrics

impressions from EcoSta2017 [guest post]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on July 6, 2017 by xi'an

[This is a guest post on the recent EcoSta2017 (Econometrics and Statistics) conference in Hong Kong, contributed by Chris Drovandi from QUT, Brisbane.]

There were (at least) two sessions on Bayesian Computation at the recent EcoSta (Econometrics and Statistics) 2017 conference in Hong Kong. Below is my review of them. My overall impression of the conference is that there were lots of interesting talks, albeit a lot in financial time series, not my area. Even so I managed to pick up a few ideas/concepts that could be useful in my research. One criticism I had was that there were too many sessions in parallel, which made choosing quite difficult and some sessions very poorly attended. Another criticism of many participants I spoke to was that the location of the conference was relatively far from the city area.

In the first session (chaired by Robert Kohn), Minh-Ngoc Tran spoke about this paper on Bayesian estimation of high-dimensional Copula models with mixed discrete/continuous margins. Copula models with all continuous margins are relatively easy to deal with, but when the margins are discrete or mixed there are issues with computing the likelihood. The main idea of the paper is to re-write the intractable likelihood as an integral over a hypercube of ≤J dimensions (where J is the number of variables), which can then be estimated unbiasedly (with variance reduction by using randomised quasi-MC numbers). The paper develops advanced (correlated) pseudo-marginal and variational Bayes methods for inference.

In the following talk, Chris Carter spoke about different types of pseudo-marginal methods, particle marginal Metropolis-Hastings and particle Gibbs for state space models. Chris suggests that a combination of these methods into a single algorithm can further improve mixing. Continue reading

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:


Ponte de Ca’ Marcello [jatp]

Posted in pictures, Running, Travel with tags , , , , , on November 2, 2016 by xi'an

tre archi [jatp]

Posted in pictures, Travel, University life with tags , , , , , , , , , , on October 28, 2016 by xi'an

tramonto a Venezia [jatp]

Posted in pictures, Travel with tags , , , , , , , on October 27, 2016 by xi'an

a Venezia [ESOBE 2016]

Posted in pictures, Running, Statistics, Travel, University life, Wines with tags , , , , , , on October 26, 2016 by xi'an

Piazza Venezia, Roma, March 01, 2012Tomorrow I am off to Venezia for three days, attending the ESOBE 2016 workshop, where ESOBE stands for European Seminar on Bayesian Econometrics. This year it is indeed taking place in Venezia, Università Ca’ Foscari, in this beautiful building on the Gran Canale, and I have been invited to give a talk. Excited to get back to this unique place, hoping the high water will not be too high to prevent getting around (at random as usual).

6th French Econometrics Conference in Dauphine

Posted in Books, Kids, pictures, Statistics, University life with tags , , , , , , , on October 15, 2014 by xi'an

La Défense, from Paris-Dauphine, May 2009

On December 4-5, Université Paris-Dauphine will host the 6th French Econometric Conference, which celebrates Christian Gouriéroux and his contributions to econometrics. (Christian was my statistics professor during my graduate years at ENSAE and then Head of CREST when I joined this research unit, first as a PhD student and later as Head of the statistics group. And he has always been a tremendous support for me.)

Not only is the program quite impressive, with co-authors of Christian Gouriéroux and a few Nobel laureates (if not the latest, Jean Tirole, who taught economics at ENSAE when I was a student there), but registration is free. I will most definitely attend the talks, as I am in Paris-Dauphine at this time of year (the week before NIPS). In particular, looking forward to Gallant’s views on Bayesian statistics.