Archive for Bayesian econometrics

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.

R/Rmetrics in Paris [alas!]

Posted in Mountains, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , on June 30, 2014 by xi'an

Bernard1Today I gave a talk on Bayesian model choice in a fabulous 13th Century former monastery in the Latin Quarter of Paris… It is the Collège des Bernardins, close to Jussieu and Collège de France, unbelievably hidden to the point I was not aware of its existence despite having studied and worked in Jussieu since 1982… I mixed my earlier San Antonio survey on importance sampling approximations to Bayes factors with an entry to our most recent work on ABC with random forests. This was the first talk of the 8th R/Rmetrics workshop taking place in Paris this year. (Rmetrics is aiming at aggregating R packages with econometrics and finance applications.) And I had a full hour and a half to deliver my lecture to the workshop audience. Nice place, nice people, new faces and topics (and even andouille de Vire for lunch!): why should I complain with an alas in the title?!Bernard2What happened is that the R/Rmetrics meetings have been till this year organised in Meielisalp, Switzerland. Which stands on top of Thuner See and… just next to the most famous peaks of the Bernese Alps! And that I had been invited last year but could not make it… Meaning I lost a genuine opportunity to climb one of my five dream routes, the Mittelegi ridge of the Eiger. As the future R/Rmetrics meetings will not take place there.

A lunch discussion at the workshop led me to experiment the compiler library in R, library that I was unaware of. The impact on the running time is obvious: recycling the fowler function from the last Le Monde puzzle,

> bowler=cmpfun(fowler)
> N=20;n=10;system.time(fowler(pred=N))
   user  system elapsed 
 52.647   0.076  56.332 
> N=20;n=10;system.time(bowler(pred=N))
   user  system elapsed 
 51.631   0.004  51.768 
> N=20;n=15;system.time(bowler(pred=N))
   user  system elapsed 
 51.924   0.024  52.429 
> N=20;n=15;system.time(fowler(pred=N))
   user  system elapsed 
 52.919   0.200  61.960 

shows a ten- to twenty-fold gain in system time, if not in elapsed time (re-alas!).