I remember fondly the early Valencia meetings where we did not have to pick between sessions. Then one year there were two sessions and soon more. And we now have to pick among equally tantalising sessions. [Complaint of the super wealthy, I do realise.] After a morning trip to San’Antioco and the southern coast of Sardinia, I started my ISBA 2016 with an not [that Bayesian] high dimension session with Michael Jordan (who gave a talk related to his MCMski lecture), Isa Verdinelli and Larry Wasserman.
Larry gave a [non-Bayesian, what else?!] talk on the problem of data splitting versus double use of the same data. Or rather using a model index estimated from a given dataset to estimate the properties of the mean of the same data. As in model selection. While splitting the data avoids all sorts of problem, not splitting the data but using a different loss function could avoid the issue. (And the infinite regress that if we keep conducting inference, we may have to split further and further the data.) Namely, if we were looking only at quantities that do not vary across models. So it is surprising that prediction get affected by this.
In a second session around Bayesian tests and model choice, Sarah Filippi presented the Bayesian non-parametric test she devised with Chris Holmes, using Polya trees. And mentioned our testing-by-mixture approach as a valuable alternative! Veronika Rockova talked about her new approach to efficient variable selection by spike-and-slab priors, through a mix of particle MCMC and EM, plus some variational Bayes motivations. (She also mentioned extensions by repulsive sampling through the pinball sampler, of which her recent AISTATS paper reminded me.)
Later in the evening, I figured out that the poster sessions that make the ISBA/Valencia meetings so unique are alas out of reach for me as the level of noise and my reduced hearing capacities (!) make impossible any prolonged discussion on any serious notion. No poster session for ‘Og’s men!, then, even though I can hang out at the fringe and chat with friends!