## Christian Robert is giving a talk in Jussieu tomorrow

Posted in Statistics, University life with tags , , , , , , , on September 26, 2019 by xi'an

My namesake Christian (Yann) Robert (CREST) is giving a seminar tomorrow in Jussieu (Université Pierre & Marie Curie, couloir 16-26, salle 209), between 2 and 3, on composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Here is the abstract:

We consider the family of hierarchical Archimedean copulas obtained from multivariate exponential mixture distributions through compounding, as introduced by Cossette et al. (2017). We investigate ways of determining the structure of these copulas and estimating their parameters. An agglomerative clustering technique based on the matrix of Spearman’s rhos, combined with a bootstrap procedure, is used to identify the tree structure. Parameters are estimated through a top-down composite likelihood. The validity of the approach is illustrated through two simulation studies in which the procedure is explained step by step. The composite likelihood method is also compared to the full likelihood method in a simple case where the latter is computable.

## Bayesian composite likelihood

Posted in Books, Statistics, University life with tags , , , , , , on February 11, 2016 by xi'an

“…the pre-determined weights assigned to the different associations between observed and unobserved values represent strong a priori knowledge regarding the informativeness of clues. A poor choice of weights will inevitably result in a poor approximation to the “true” Bayesian posterior…”

Last Xmas, Alexis Roche arXived a paper on Bayesian inference via composite likelihood. I find the paper quite interesting in that [and only in that] it defends the innovative notion of writing a composite likelihood as a pool of opinions about some features of the data. Recall that each term in the composite likelihood is a marginal likelihood for some projection z=f(y) of the data y. As in ABC settings, although it is rare to derive closed-form expressions for those marginals. The composite likelihood is parameterised by powers of those components. Each component is associated with an expert, whose weight reflects the importance. The sum of the powers is constrained to be equal to one, even though I do not understand why the dimensions of the projections play no role in this constraint. Simplicity is advanced as an argument, which sounds rather weak… Even though this may be infeasible in any realistic problem, it would be more coherent to see the weights as producing the best Kullback approximation to the true posterior. Or to use a prior on the weights and estimate them along the parameter θ. The former could be incorporated into the later following the approach of Holmes & Walker (2013). While the ensuing discussion is most interesting, it remains missing in connecting the different components in terms of the (joint) information brought about the parameters. Especially because the weights are assumed to be given rather than inferred. Especially when they depend on θ. I also wonder why the variational Bayes interpretation is not exploited any further. And see no clear way to exploit this perspective in an ABC environment.

## Bruce Lindsay (March 7, 1947 — May 5, 2015)

Posted in Books, Running, Statistics, Travel, University life with tags , , , , , , , , , , , on May 22, 2015 by xi'an

## ABC with composite score functions

Posted in Books, pictures, Statistics, University life with tags , , , , , , , on December 12, 2013 by xi'an

My friends Erlis Ruli, Nicola Sartori and Laura Ventura from Università degli Studi de Padova have just arXived a new paper entitled Approximate Bayesian Computation with composite score functions. While the paper provides a survey of composite likelihood methods, the core idea of the paper is to use the score function (of the composite likelihood) as the summary statistic,

$\dfrac{\partial\,c\ell(\theta;y)}{\partial\,\theta},$

when evaluated at the maximum composite likelihood at the observed data point. In the specific (but unrealistic) case of an exponential family, an ABC based on the score is asymptotically (i.e., as the tolerance ε goes to zero) exact. The choice of the composite likelihood thus induces a natural summary statistics and, as in our empirical likelihood paper, where we also use the score of a composite likelihood, the composite likelihoods that are available for computation are usually quite a few, thus leading to an automated choice of a summary statistic..

An interesting (common) feature in most examples found in this paper is that comparisons are made between ABC using the (truly) sufficient statistic and ABC based on the pairwise score function, which essentially relies on the very same statistics. So the difference, when there is a difference, pertains to the choice of a different combination of the summary statistics or, somehow equivalently to the choice of a different distance function. One of the examples starts from our MA(2) toy-example in the 2012 survey in Statistics and Computing. The composite likelihood is then based on the consecutive triplet marginal densities. As shown by the picture below, the composite version improves to some extent upon the original ABC solution using three autocorrelations.

A suggestion I would have about a refinement of the proposed method deals with the distance utilised in the paper, namely the sum of the absolute differences between the statistics. Indeed, this sum is not scaled at all, neither for regular ABC nor for composite ABC, while the composite likelihood perspective provides in addition to the score a natural metric through the matrix A(θ) [defined on page 12]. So I would suggest comparing the performances of the methods using instead this rescaling since, in my opinion and in contrast with a remark on page 13, it is relevant in some (many?) settings where the amount of information brought by the composite model widely varies from one parameter to the next.

## Bayesian computation via empirical likelihood on line. Early.

Posted in Statistics, University life with tags , , , , , , , on January 16, 2013 by xi'an

Our paper on using empirical likelihood for Bayesian computation (with Kerrie Mengersen and Pierre Pudlo) has been accepted by PNAS [after we removed the A from ABCel!], which is terrific news! It has already appeared on-line as early edition in the issue of January 7. Which is also terrific! (Unfortunately, it is not open access, contrary to the previous PNAS paper on ABC model choice as the cost was just too high.)