Archive for course

annual visit to Oxford

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , on February 1, 2018 by xi'an

As in every year since 2014, I am spending a few days in Oxford to teach a module on Bayesian Statistics to our Oxford-Warwick PhD students. This time I was a wee bit under the weather due to a mild case of food poisoning and I can only hope that my more than sedate delivery did not turn definitely the students away from Bayesian pursuits!

The above picture is at St. Hugh’s College, where I was staying. Or should it be Saint Hughes, since this 12th century bishop was a pre-Brexit European worker from Avalon, France… (This college was created in 1886 for young women of poorer background. And only opened to male students a century later. The 1924 rules posted in one corridor show how these women were considered to be so “dangerous” by the institution that they had to be kept segregated from men, except their brothers!, at all times…)

Why is it necessary to sample from the posterior distribution if we already KNOW the posterior distribution?

Posted in Statistics with tags , , , , , , , , on October 27, 2017 by xi'an

I found this question on X validated somewhat hilarious, the more because of the shouted KNOW! And the confused impression that because one can write down π(θ|x) up to a constant, one KNOWS this distribution… It is actually one of the paradoxes of simulation that, from a mathematical perspective, once π(θ|x) is available as a function of (θ,x), all other quantities related with this distribution are mathematically perfectly and uniquely defined. From a numerical perspective, this does not help. Actually, when starting my MCMC course at ENSAE a few days later, I had the same question from a student who thought facing a density function like

f(x) ∞ exp{-||x||²-||x||⁴-||x||⁶}

was enough to immediately produce simulations from this distribution. (I also used this example to show the degeneracy of accept-reject as the dimension d of x increases, using for instance a Gamma proposal on y=||x||. The acceptance probability plunges to zero with d, with 9 acceptances out of 10⁷ for d=20.)

back in Oxford

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on January 30, 2017 by xi'an

As in the previous years, I am back in Oxford (England) for my short Bayesian Statistics course in the joint Oxford-Warwick PhD programme, OxWaSP.  For some unclear reason, presumably related to the Internet connection from Oxford, I have not been able to upload my slides to Slideshare, so here the [99.9% identical] older version:

miXed distributions

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , , on November 3, 2015 by xi'an

A couple of questions on X validated showed the difficulty students have with mixed measures and their density. Actually, my students always react with incredulity to the likelihood of a censored normal sample or to the derivation of a Bayes factor associated with the null (and atomic) hypothesis μ=0…

I attribute this difficulty to a poor understanding of the notion of density and hence to a deficiency in the training in measure theory, since the density f of the distribution F is always relative to a reference measure dμ, i.e.

f(x) = dF/dμ(x)

(Hence Lebesgue’s moustache on the attached poster!) To handle atoms in the distribution requires introducing a dominating measure dμ with atomic components, i.e., usually a sum of the Lebesgue measure and of the counting measure on the appropriate set. Which is not so absolutely obvious: while the first question had {0,1} as atoms, the second question introduced atoms on {-θ,θ}and required a change of variable to consider a counting measure on {-1,1}. I found this second question actually of genuine interest and a great toy example for class and exams.

methods for quantifying conflict casualties in Syria

Posted in Books, Statistics, University life with tags , , , , , , , , , , on November 3, 2014 by xi'an

On Monday November 17, 11am, Amphi 10, Université Paris-Dauphine,  Rebecca Steorts from CMU will give a talk at the GT Statistique et imagerie seminar:

Information about social entities is often spread across multiple large databases, each degraded by noise, and without unique identifiers shared across databases.Entity resolution—reconstructing the actual entities and their attributes—is essential to using big data and is challenging not only for inference but also for computation.

In this talk, I motivate entity resolution by the current conflict in Syria. It has been tremendously well documented, however, we still do not know how many people have been killed from conflict-related violence. We describe a novel approach towards estimating death counts in Syria and challenges that are unique to this database. We first introduce computational speed-ups to avoid all-to-all record comparisons based upon locality-sensitive hashing from the computer science literature. We then introduce a novel approach to entity resolution by discovering a bipartite graph, which links manifest records to a common set of latent entities. Our model quantifies the uncertainty in the inference and propagates this uncertainty into subsequent analyses. Finally, we speak to the success and challenges of solving a problem that is at the forefront of national headlines and news.

This is joint work with Rob Hall (Etsy), Steve Fienberg (CMU), and Anshu Shrivastava (Cornell University).

[Note that Rebecca will visit the maths department in Paris-Dauphine for two weeks and give a short course in our data science Master on data confidentiality, privacy and statistical disclosure (syllabus).]

a weird beamer feature…

Posted in Books, Kids, Linux, R, Statistics, University life with tags , , , , , , , , , , , , on September 24, 2014 by xi'an

As I was preparing my slides for my third year undergraduate stat course, I got a weird error that got a search on the Web to unravel:

! Extra }, or forgotten \endgroup.
\endframe ->\egroup
  \begingroup \def \@currenvir {frame}
l.23 \end{frame}

which was related with a fragile environment

\frametitle{simulation in practice}
\item For a given distribution $F$, call the corresponding 
pseudo-random generator in an arbitrary computer language
> x=rnorm(10)
> x
 [1] -0.021573 -1.134735  1.359812 -0.887579
 [7] -0.749418  0.506298  0.835791  0.472144
\item use the sample as a statistician would
> mean(x)
[1] 0.004892123
> var(x)
[1] 0.8034657
to approximate quantities related with $F$

but not directly the verbatim part: the reason for the bug was that the \end{frame} command did not have a line by itself! Which is one rare occurrence where the carriage return has an impact in LaTeX, as far as I know… (The same bug appears when there is an indentation at the beginning of the line. Weird!) [Another annoying feature is wordpress turning > into > in the sourcecode environment…]

Đôi nét về GS. Xi’an

Posted in Books, Travel, University life with tags , , , , on May 28, 2013 by xi'an

Here is a short bio of me written in Vietnamese in conjunction with the course I will give at CMS (Centre for Mathematical Sciences), Ho Chi Min City, next week:

Christian P. Robert là giáo sư tại Khoa Toán ứng dụng của ĐH Paris Dauphine từ năm 2000. GS Robert đã từng giảng dạy ở các ĐH Perdue, Cornell (Mỹ) và ĐH Canterbury (New-Zealand). Ông đã làm biên tập cho tạp chí Journal of the Royal Statistical Society Series B từ năm 2006 đến năm 2009 và là phó biên tập cho tạp chí Annals of Statistics. Năm 2008, ông làm Chủ tịch của Hiệp hội Thống kê Quốc tế về Thống kê Bayes (ISBA). Lĩnh vực nghiên cứu của GS Robert bao gồm Thống kê Bayes mà tập trung chính vào Lý thuyết quyết định (Decision theory) và Mô hình lựa chọn (Model selection), Lý thuyết về Xích Markov trong mô phỏng và Thống kê tính toán.