Archive for dawn

a problem that did not need ABC in the end

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , on August 8, 2019 by xi'an

While in Denver, at JSM, I came across [across validated!] this primarily challenging problem of finding the posterior of the 10³ long probability vector of a Multinomial M(10⁶,p) when only observing the range of a realisation of M(10⁶,p). This sounded challenging because the distribution of the pair (min,max) is not available in closed form. (Although this allowed me to find a paper on the topic by the late Shanti Gupta, who was chair at Purdue University when I visited 32 years ago…) This seemed to call for ABC (especially since I was about to give an introductory lecture on the topic!, law of the hammer…), but the simulation of datasets compatible with the extreme values of both minimum and maximum, m=80 and M=12000, proved difficult when using a uniform Dirichlet prior on the probability vector, since these extremes called for both small and large values of the probabilities. However, I later realised that the problem could be brought down to a Multinomial with only three categories and the observation (m,M,n-m-M), leading to an obvious Dirichlet posterior and a predictive for the remaining 10³-2 realisations.

bonjour Marseille [jatp]

Posted in Mountains, pictures, Running, Travel with tags , , , , , , , , , on November 29, 2018 by xi'an

on the trail [jatp]

Posted in Mountains, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , on November 27, 2018 by xi'an

smoke on the water [jatp]

Posted in Statistics with tags , , , , , , , , , , , on November 25, 2018 by xi'an

glorious dawn [jatp]

Posted in Mountains, pictures, Running, Travel, University life with tags , , , , , , , , , , , , , , , on October 25, 2018 by xi'an

IMS workshop [day 2]

Posted in pictures, Statistics, Travel with tags , , , , , , , , , , , , on August 29, 2018 by xi'an

Here are the slides of my talk today on using Wasserstein distances as an intrinsic distance measure in ABC, as developed in our papers with Espen Bernton, Pierre Jacob, and Mathieu Gerber:

This morning, Gael Martin discussed the surprising aspects of ABC prediction, expanding upon her talk at ISBA, with several threads very much worth weaving in the ABC tapestry, one being that summary statistics need be used to increase the efficiency of the prediction, as well as more adapted measures of distance. Her talk also led me ponder about the myriad of possibilities available or not in the most generic of ABC predictions (which is not the framework of Gael’s talk). If we imagine a highly intractable setting, it may be that the marginal generation of a predicted value at time t+1 requires the generation of the entire past from time 1 till time t. Possibly because of a massive dependence on latent variables. And the absence of particle filters. if this makes any sense. Therefore, based on a generated parameter value θ it may be that the entire series needs be simulated to reach the last value in the series. Even when unnecessary this may be an alternative to conditioning upon the actual series. In this later case, comparing both predictions may act as a natural measure of distance since one prediction is a function or statistic of the actual data while the other is a function of the simulated data. Another direction I mused about is the use of (handy) auxiliary models, each producing a prediction as a new statistic, which could then be merged and weighted (or even selected) by a random forest procedure. Again, if the auxiliary models are relatively well-behaved, timewise, this would be quite straightforward to implement.

Britain, please stay!

Posted in Books, Kids, pictures, Running, University life with tags , , , , , , , , , on June 7, 2016 by xi'an

A love letter from some Europeans against Brexit that appeared in the Times Literary Supplement a few days ago, and which message I definitely support:

All of us in Europe respect the right of the British people to decide whether they wish to remain with us in the European Union. It is your decision, and we will all accept it. Nevertheless, if it will help the undecided to make up their minds, we would like to express how very much we value having the United Kingdom in the European Union. It is not just treaties that join us to your country, but bonds of admiration and affection. All of us hope that you will vote to renew them. Britain, please stay.