what a party!

We ended up having a terrific b’day party last Thursday after noon, with about 30 friends listening in Institut Henri Poincaré to Florence, Pierre, and Sylvia giving lectures on my favourite themes, namely ABC, MCMC, and mixture inference. Incl. subtle allusions to my many idiosyncrasies in three different flavours!  And a limited number of anecdotes, incl. the unavoidable Cancún glasses disaster! We later headed to a small Ethiopian restaurant located on the other side of the Panthéon, rue de l’Ecole Polytechnique (rather than on the nearby rue Laplace!), which was going to be too tiny for us, especially in these COVID times, until the sky cleared up and the restaurant set enough tables in the small street to enjoy their injeras and wots till almost midnight. The most exciting episode of the evening came when someone tried to steal some of our bags that had been stored in a back room and when Tony spotted the outlier and chased him till the thief dropped the bags..! Thanks to Tony for saving the evening and our computers!!! To Éric, Jean-Michel and Judith for organising this 9/9 event (after twisting my arm just a wee bit). And to all my friends who joined the party, some from far away…

B’day party!

Rao-Blackwellisation in the MCMC era

A few months ago, as indicated on this blog, I was contacted by ISR editors to write a piece on Rao-Blackwellisation, towards a special issue celebrating Calyampudi Radhakrishna Rao’s 100th birthday. Gareth Roberts and I came up with this survey, now on arXiv, discussing different aspects of Monte Carlo and Markov Chain Monte Carlo that pertained to Rao-Blackwellisation, one way or another. As I discussed the topic with several friends over the Fall, it appeared that the difficulty was more in setting the boundaries. Than in finding connections. In a way anything conditioning or demarginalising or resorting to auxiliary variates is a form of Rao-Blackwellisation. When re-reading the JASA Gelfand and Smith 1990 paper where I first saw the link between the Rao-Blackwell theorem and simulation, I realised my memory of it had drifted from the original, since the authors proposed there an approximation of the marginal based on replicas rather than the original Markov chain. Being much closer to Tanner and Wong (1987) than I thought. It is only later that the true notion took shape. [Since the current version is still a draft, any comment or suggestion would be most welcomed!]

abandoned, one year ago…

Rao-Blackwellisation, a review in the making

Recently, I have been contacted by a mainstream statistics journal to write a review of Rao-Blackwellisation techniques in computational statistics, in connection with an issue celebrating C.R. Rao’s 100th birthday. As many many techniques can be interpreted as weak forms of Rao-Blackwellisation, as e.g. all auxiliary variable approaches, I am clearly facing an abundance of riches and would thus welcome suggestions from Og’s readers on the major advances in Monte Carlo methods that can be connected with the Rao-Blackwell-Kolmogorov theorem. (On the personal and anecdotal side, I only met C.R. Rao once, in 1988, when he came for a seminar at Purdue University where I was spending the year.)