**T**here is an exciting opening for several PhD positions at Warwick, in the departments of Statistics and of Mathematics, as part of the Centre for Doctoral Training in Mathematics and Statistics newly created by the University. CDT studentships are funded for four years and funding is open to students from the European Union without restrictions. (No Brexit!) Funding includes a stipend at UK/RI rates and tuition fees at UK/EU rates. Applications are made via the University of Warwick Online Application Portal and should be made as quickly as possible since the funding will be allocated on a first come first serve basis. For more details, contact the CDT director, Martyn Plummer. I cannot but strongly encourage interested students to apply as this is a great opportunity to start a research career in a fantastic department!

## Archive for CDT

## PhD studenships at Warwick

Posted in Kids, pictures, Statistics, University life with tags Brexit, CDT, Centre for Doctoral Training in Mathematics and Statistics, computational statistics, European Union, mathematical statistics, OxWaSP, PhD fellowship, University of Warwick on May 2, 2019 by xi'an## distributed posteriors

Posted in Books, Statistics, Travel, University life with tags CDT, high dimensions, minimaxity, OxWaSP, parallel MCMC, scalable MCMC, statistical theory, University of Warwick on February 27, 2019 by xi'an**A**nother presentation by our OxWaSP students introduced me to the notion of distributed posteriors, following a 2018 paper by Botond Szabó and Harry van Zanten. Which corresponds to the construction of posteriors when conducting a divide & conquer strategy. The authors show that an adaptation of the prior to the division of the sample is necessary to recover the (minimax) convergence rate obtained in the non-distributed case. This is somewhat annoying, except that the adaptation amounts to take the original prior to the power 1/m, when m is the number of divisions. They further show that when the regularity (parameter) of the model is unknown, the optimal rate cannot be recovered unless stronger assumptions are made on the non-zero parameters of the model.

“First of all, we show that depending on the communication budget, it might be advantageous to group local machines and let different groups work on different aspects of the high-dimensional object of interest. Secondly, we show that it is possible to have adaptation in communication restricted distributed settings, i.e. to have data-driven tuning that automatically achieves the correct bias-variance trade-off.”

I find the paper of considerable interest for scalable MCMC methods, even though the setting may happen to sound too formal, because the study incorporates parallel computing constraints. (Although I did not investigate the more theoretical aspects of the paper.)

## Jeffreys priors for hypothesis testing [Bayesian reads #2]

Posted in Books, Statistics, University life with tags Arnold Zellner, Bayes factor, Bayesian tests of hypotheses, CDT, class, classics, Gaussian mixture, improper priors, Jeffreys prior, JRSSB, Kullback-Leibler divergence, Oxford, PhD course, Saint Giles cemetery, Susie Bayarri, Theory of Probability, University of Oxford on February 9, 2019 by xi'anA second (re)visit to a reference paper I gave to my OxWaSP students for the last round of this CDT joint program. Indeed, this may be my first complete read of Susie Bayarri and Gonzalo Garcia-Donato 2008 Series B paper, inspired by Jeffreys’, Zellner’s and Siow’s proposals in the Normal case. *(Disclaimer: I was not the JRSS B editor for this paper.) *Which I saw as a talk at the O’Bayes 2009 meeting in Phillie.

The paper aims at constructing formal rules for objective proper priors in testing embedded hypotheses, in the spirit of Jeffreys’ Theory of Probability “hidden gem” (Chapter 3). The proposal is based on symmetrised versions of the Kullback-Leibler divergence κ between null and alternative used in a transform like an inverse power of 1+κ. With a power large enough to make the prior proper. Eventually multiplied by a reference measure (i.e., the arbitrary choice of a dominating measure.) Can be generalised to any intrinsic loss (not to be confused with an intrinsic prior à la Berger and Pericchi!). Approximately Cauchy or Student’s t by a Taylor expansion. To be compared with Jeffreys’ original prior equal to the derivative of the atan transform of the root divergence (!). A delicate calibration by an effective sample size, lacking a general definition.

At the start the authors rightly insist on having the nuisance parameter v to differ for each model but… as we all often do they relapse back to having the “same ν” in both models for integrability reasons. Nuisance parameters make the definition of the divergence prior somewhat harder. Or somewhat arbitrary. Indeed, as in reference prior settings, the authors work first conditional on the nuisance then use a prior on ν that may be improper by the “same” argument. (Although *conditioning* is not the proper term if the marginal prior on ν is improper.)

The paper also contains an interesting case of the translated Exponential, where the prior is L¹ Student’s t with 2 degrees of freedom. And another one of mixture models albeit in the simple case of a location parameter on one component only.