ABC with path signatures [One World ABC seminar, 2/2/23]

The next One World ABC seminar is by Joel Dyer (Oxford) at 1:30pm (UK time) on 02 February.

Title: Approximate Bayesian Computation with Path Signatures

Abstract: Simulation models often lack tractable likelihood functions, making likelihood-free inference methods indispensable. Approximate Bayesian computation (ABC) generates likelihood-free posterior samples by comparing simulated and observed data through some distance measure, but existing approaches are often poorly suited to time series simulators, for example due to an independent and identically distributed data assumption. In this talk, we will discuss our work on the use of path signatures in ABC as a means to handling the sequential nature of time series data of different kinds. We will begin by discussing popular approaches to ABC and how they may be extended to time series simulators. We will then introduce path signatures, and discuss how signatures naturally lead to two instances of ABC for time series simulators. Finally, we will demonstrate that the resulting signature-based ABC procedures can produce competitive Bayesian parameter inference for simulators generating univariate, multivariate, irregularly spaced, and even non-Euclidean sequences.

Reference: J. Dyer, P. Cannon, S. M Schmon (2022). Approximate Bayesian Computation with Path Signatures. arXiv preprint 2106.12555

A message to you

As Terry Hall, the singer of the late 1970’s Coventry-based ska/punk group The Specials passed away on Sunday, a song from their early years. In memoriam.

Nature snapshots [10 November]

As I was reading Nature in a [noisy] train from Coventry to London, I came across

• India (federal) government scapping nearly 300 science awards this year
• a re-analysis of a sudden infant death conviction in Australia relying on rare genetic mutations rather than statistics (as in Sally Clark’s case)
• a book review about a story of the Huxley family that made me realise I had confused most of them as a single person
• a DNA analysis of Black Death survivors (in both London and Denmark), showing natural selection occurred very quickly during the pandemic and increased the risk of autoimmune diseases
• a genuine design of experiment that demonstrated that light grazing by sheep increases diversity, while fertilization does not
• an astronomy paper on cooling supernovae using Bayes factors
• an attempt at rationalising the answer to the Covid threat involving a large panel of experts (and my colleague Miquel Olui-Barton as a co-author)
• a pessimistic assessment by graduate students of their career prospects

Warwick stats turns 50

a journal of the plague and pestilence year [continued]

Had a full week in Coventry for the first time in a while, thanks to my CDT masterclass on GANs and other acronyms. Arriving on a Bank Holiday in a Math Science Building only populated by a few graduate students. And stayed in an Airbnb rather than the traditional math house, which afforded me a picture of the local community as warmer and drier weather meant more people on the street in the evenings (and more lawnmowers as well). Including discovering that the traditional UK ice cream van [which I had first seen & heard in a Birmingham suburb in the mid 1970’s summers] had not gone extinct! One was touring the neighbourhood every night with the customary chime. (Also spotted what strongly looked like a home delivery of drugs, without the chimes.)

Read Half-Witch, by John Schoffstal, which I bought for no clear reason quite a while ago and only read in the past fortnight, maybe because I was somewhat put off by the unusual cover. The contents were unusual as well, a sort of modern take on a Grimm’s fairytale, with a complete lack of attention to realism, and a witty sarcastic tone for a coming of age story where a young girl manages goblins, witches, an hopeless Trinity, a similarly hopeless father, and plenty of nasty people, by outwitting them all. Also quickly went through two (Tor gifts) novellas A Psalm for the Wild-Built by Becky Chambers, which I enjoyed tremendously as a Zen tale, following a tea monk!, and Unlocked, by John Scalzi, which is a sort of prequel to Lock In I read eons ago. Where half-a-page viewpoints follows the unraveling of a World pandemic that first looks like a super-flu, follows air routes to reach all countries, had a high fatality and high contamination rates, and is kept under control by the massive investment of governments… Reading this in 2022 is presumably much more exciting than when it appeared, as the setting sounds prescient and follows to some extent what happened with COVID, except for the US President to react much more efficiently than the Agent Orange “in charge” at the time.

Did not cook the first green asparagus I found at the market, as they are great eaten raw in a minimalist salad. Also had a great spaghetti alle vongole in a local Italian restaurant, if far from an Italian pricing!