Archive for conference

on Dutch book arguments

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , on May 1, 2017 by xi'an

“Reality is not always probable, or likely.”― Jorge Luis Borges

As I am supposed to discuss Teddy Seidenfeld‘s talk at the Bayes, Fiducial and Frequentist conference in Harvard today [the snow happened last time!], I started last week [while driving to Wales] reading some related papers of his. Which is great as I had never managed to get through the Dutch book arguments, including those in Jim’s book.

The paper by Mark Schervish, Teddy Seidenfeld, and Jay Kadane is defining coherence as the inability to bet against the predictive statements based on the procedure. A definition that sounds like a self-fulfilling prophecy to me as it involves a probability measure over the parameter space. Furthermore, the notion of turning inference, which aims at scientific validation, into a leisure, no-added-value, and somewhat ethically dodgy like gambling, does not agree with my notion of a validation for a theory. That is, not as a compelling reason for adopting a Bayesian approach. Not that I have suddenly switched to the other [darker] side, but I do not feel those arguments helping in any way, because of this dodgy image associated with gambling. (Pardon my French, but each time I read about escrows, I think of escrocs, or crooks, which reinforces this image! Actually, this name derives from the Old French escroue, but the modern meaning of écroué is sent to jail, which brings us back to the same feeling…)

Furthermore, it sounds like both a weak notion, since it implies an almost sure loss for the bookmaker, plus coherency holds for any prior distribution, including Dirac masses!, and a frequentist one, in that it looks at all possible values of the parameter (in a statistical framework). It also turns errors into monetary losses, taking them at face value. Which sounds also very formal to me.

But the most fundamental problem I have with this approach is that, from a Bayesian perspective, it does not bring any evaluation or ranking of priors, and in particular does not help in selecting or eliminating some. By behaving like a minimax principle, it does not condition on the data and hence does not evaluate the predictive properties of the model in terms of the data, e.g. by comparing pseudo-data with real data.

 While I see no reason to argue in favour of p-values or minimax decision rules, I am at a loss in understanding the examples in How to not gamble if you must. In the first case, i.e., when dismissing the α-level most powerful test in the simple vs. simple hypothesis testing case, the argument (in Example 4) starts from the classical (Neyman-Pearsonist) statistician favouring the 0.05-level test over others. Which sounds absurd, as this level corresponds to a given loss function, which cannot be compared with another loss function. Even though the authors chose to rephrase the dilemma in terms of a single 0-1 loss function and then turn the classical solution into the choice of an implicit variance-dependent prior. Plus force the poor Pearsonist to make a wager represented by the risk difference. The whole sequence of choices sounds both very convoluted and far away from the usual practice of a classical statistician… Similarly, when attacking [in Section 5.2] the minimax estimator in the Bernoulli case (for the corresponding proper prior depending on the sample size n), this minimax estimator is admissible under quadratic loss and still a Dutch book argument applies, which in my opinion definitely argues against the Dutch book reasoning. The way to produce such a domination result is to mix two Bernoulli estimation problems for two different sample sizes but the same parameter value, in which case there exist [other] choices of Beta priors and a convex combination of the risks functions that lead to this domination. But this example [Example 6] mostly exposes the artificial nature of the argument: when estimating the very same probability θ, what is the relevance of adding the risks or errors resulting from using two estimators for two different sample sizes. Of the very same probability θ. I insist on the very same because when instead estimating two [independent] values of θ, there cannot be a Stein effect for the Bernoulli probability estimation problem, that is, any aggregation of admissible estimators remains admissible. (And yes it definitely sounds like an exercise in frequentist decision theory!)

Statlearn17, Lyon

Posted in Kids, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , on April 6, 2017 by xi'an

Today and tomorrow, I am attending the Statlearn17 conference in Lyon, France. Which is a workshop with one-hour talks on statistics and machine learning. And which makes for the second workshop on machine learning in two weeks! Yesterday there were two tutorials in R, but I only took the train to Lyon this morning: it will be a pleasant opportunity to run tomorrow through a city I have not truly ever visited, if X’ed so many times driving to the Alps. Interestingly, the trip started in Paris with me sitting in the train next to another speaker at the conference, despite having switched seat and carriage with another passenger! Speaker whom I did not know beforehand and could only identify him by his running R codes at 300km/h.

GG Day in Rouen

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on March 26, 2017 by xi'an

[Notice: This post is fairly “local” in that it is about a long-time friend being celebrated by his university. Nice poster though and an opportunity to stress his essential contributions to the maths department there!]

Next June, I will spend the day in Rouen for a conference celebrating the career and dedication of Gérard Grancher to mathematics and the maths department there. (When I got invited I had not realised I was to give the research talk of the day!) Gérard Granger is a CNRS engineer and a statistician who is indissociable from the maths department in Rouen, where he spent his whole career, now getting quite close to [mandatory] retirement! I am very happy to take part in this celebration as Gérard has always been an essential component of the department there, driving the computer structure, reorganising the library, disseminating the fun of doing maths to high schools around and to the general public, and always a major presence in the department,  whom I met when I started my PhD there (!) Working on the local computers in Pascal and typing my thesis with scientific word (!!)

RSS 2017 in Glasgow

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

3rd conference on geometric science[s] of information

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , on January 31, 2017 by xi'an

A call for contribution to the 3rd Conference on Geometric Science of Information that I was asked to advertise. (I would have used Sciences instead of Science.) With a nice background picture related to Adelard de Bath, who among other things in natural philosophy introduced the Hindu-Arabic numerals in Europe [and later to America, even though the use of Arabic numerals there may soon come to an end]. And which Latin translation of Euclid’s Elements includes the above picture. The conference is on November 7-9, 2017, in the centre of Paris (Écoles de Mines, next to Luxembourg). (As I cannot spot the registration rates of that conference on the website, I cannot at this stage bring full support to the conference!)

je reviendrai à Montréal [MCM 2017]

Posted in pictures, R, Running, Statistics, Travel with tags , , , , , , , , , , , , on November 3, 2016 by xi'an

Next summer of 2017, the biennial International Conference on Monte Carlo Methods and Applications (MCM) will take place in Montréal, Québec, Canada, on July 3-7. This is a mathematically-oriented meeting that works in alternance with MCqMC and that is “devoted to the study of stochastic simulation and Monte Carlo methods in general, from the theoretical viewpoint and in terms of their effective applications in different areas such as finance, statistics, machine learning, computer graphics, computational physics, biology, chemistry, and scientific computing in general. It is one of the most prominent conference series devoted to research on the mathematical aspects of stochastic simulation and Monte Carlo methods.” I attended one edition in Annecy three years ago and enjoyed very much the range of topics and backgrounds. The program is under construction and everyone is warmly invited to contribute talks or special sessions, with a deadline on January 20, 2017. In addition, Montréal is a Monte Carlo Mecca of sorts with leading researchers in the field like Luc Devroye and Pierre Lécuyer working there. (And a great place to visit in the summer!)

MCqMC 2016 [#4]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 21, 2016 by xi'an

In his plenary talk this morning, Arnaud Doucet discussed the application of pseudo-marginal techniques to the latent variable models he has been investigating for many years. And its limiting behaviour towards efficiency, with the idea of introducing correlation in the estimation of the likelihood ratio. Reducing complexity from O(T²) to O(T√T). With the very surprising conclusion that the correlation must go to 1 at a precise rate to get this reduction, since perfect correlation would induce a bias. A massive piece of work, indeed!

The next session of the morning was another instance of conflicting talks and I hoped from one room to the next to listen to Hani Doss’s empirical Bayes estimation with intractable constants (where maybe SAME could be of interest), Youssef Marzouk’s transport maps for MCMC, which sounds like an attractive idea provided the construction of the map remains manageable, and Paul Russel’s adaptive importance sampling that somehow sounded connected with our population Monte Carlo approach. (With the additional step of considering transform maps.)

An interesting item of information I got from the final announcements at MCqMC 2016 just before heading to Monash, Melbourne, is that MCqMC 2018 will take place in the city of Rennes, Brittany, on July 2-6. Not only it is a nice location on its own, but it is most conveniently located in space and time to attend ISBA 2018 in Edinburgh the week after! Just moving from one Celtic city to another Celtic city. Along with other planned satellite workshops, this occurrence should make ISBA 2018 more attractive [if need be!] for participants from oversea.