Archive for Bayesian econometrics

X entropy

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , on November 16, 2018 by xi'an

Another discussion on X validated related to the maximum entropy priors and their dependence on the dominating measure μ chosen to define the  score. With the same electrical engineering student as previously. In the wee hours at Casa Matematicà Oaxaca. As I took the [counter-]example of a Lebesgue dominating measure versus a Normal density times the Lebesgue measure producing the same maximum entropy distribution [with obviously the same density wrt to the Lebesgue measure] when the constraints involve the second moment, this confused the student and I spent some time constructing another example with different outcomes, when the Lebesgue measure versus the [artificial] dx/√|x| measure.

I am actually surprised at how limited the discussion of that point occurs in the literature (or at least in my googling attempt). Just a mention made in Bayesian Analysis in Statistics and Econometrics.

an endless summer of Bayesian conferences

Posted in Statistics with tags , , , , on April 17, 2018 by xi'an

Another Bayesian conference that could fit the schedule of a few remaining readers of this blog, despite the constant flow of proposals! The 2018 Rimini Bayesian Econometrics Workshop will take place in Rimini, on the Italian Adriatic Sea, on 14-15 June, 2018. With Mike West as the plenary speaker. I attended this conference a few years ago and quite enjoyed its relaxed atmosphere.

le soleil de Massilia [jatp]

Posted in Statistics, University life, Travel, pictures with tags , , , , , , , , , on December 10, 2017 by xi'an

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: