Archive for econometrics

focused Bayesian prediction

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , on June 3, 2020 by xi'an

In this fourth session of our One World ABC Seminar, my friend and coauthor Gael Martin, gave an after-dinner talk on focused Bayesian prediction, more in the spirit of Bissiri et al. than following a traditional ABC approach.  because along with Ruben Loaiza-Maya and [my friend and coauthor] David Frazier, they consider the possibility of a (mild?) misspecification of the model. Using thus scoring rules à la Gneiting and Raftery. Gael had in fact presented an earlier version at our workshop in Oaxaca, in November 2018. As in other solutions of that kind, difficulty in weighting the score into a distribution. Although asymptotic irrelevance, direct impact on the current predictions, at least for the early dates in the time series… Further calibration of the set of interest A. Or the focus of the prediction. As a side note the talk perfectly fits the One World likelihood-free seminar as it does not use the likelihood function!

“The very premise of this paper is that, in reality, any choice of predictive class is such that the truth is not contained therein, at which point there is no reason to presume that the expectation of any particular scoring rule will be maximized at the truth or, indeed, maximized by the same predictive distribution that maximizes a different (expected) score.”

This approach requires the proxy class to be close enough to the true data generating model. Or in the word of the authors to be plausible predictive models. And to produce the true distribution via the score as it is proper. Or the closest to the true model in the misspecified family. I thus wonder at a possible extension with a non-parametric version, the prior being thus on functionals rather than parameters, if I understand properly the meaning of Π(Pθ). (Could the score function be misspecified itself?!) Since the score is replaced with its empirical version, the implementation is  resorting to off-the-shelf MCMC. (I wonder for a few seconds if the approach could be seen as a pseudo-marginal MCMC but the estimation is always based on the same observed sample, hence does not directly fit the pseudo-marginal MCMC framework.)

[Notice: Next talk in the series is tomorrow, 11:30am GMT+1.]

Deirdre McCloskey dans Le Monde

Posted in Statistics with tags , , , , , , , , on January 13, 2020 by xi'an


Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on June 26, 2019 by xi'an

I found my (short) trip to Abdijan for the CISEA 2019 conference quite fantastic as it allowed me to meet with old friends, from the earliest days at CREST and even before, and to meet new ones. Including local students of ENSEA who had taken a Bayesian course out of my Bayesian Choice book. And who had questions about the nature of priors and the difficulty they had in accepting that several replies were possible with the same data! I wish I had had more time to discuss the relativity of Bayesian statements with them but this was a great and rare opportunity to find avid readers of my books! I also had a long chat with another student worried about the use or mis-use of reversible jump algorithms to draw inference  on time-series models in Bayesian Essentials, chat that actually demonstrated his perfect understanding of the matter. And it was fabulous to meet so many statisticians and econometricians from West Africa, most of them French-speaking. My only regret is not having any free time to visit Abidjan or the neighbourhood as the schedule of the conference did not allow for it [or even for a timely posting of a post!], especially as it regularly ran overtime. (But it did provide for a wide range of new local dishes that I definitely enjoyed tasting!) We are now discussing further opportunities to visit there, e.g. by teaching a short course at the Master or PhD levels.

French Econometrics [discussion]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , on November 30, 2018 by xi'an

This Friday, I am briefly taking part in the 10th French Econometrics Conference as a discussant of Anna Simoni’s (CREST) talk, based on a paper co-written with Sid Chib and Minchul Shin. The conference is located at the Paris School of Economics (PSE), on Paris South End, in an impressive new building. The topic of the paper is a Bayesian empirical likelihood approach to the econometrics notion of moments model. Which I discussed here during ISBA last summer since Sid spoke (twice!) there.

drivers are not interested in maths formulas

Posted in Kids, pictures, Statistics, Travel, Wines with tags , , , , , , , on January 1, 2018 by xi'an

An appalling discussion on the French public radio (France Inter) this morning about reducing the average speed on bidirectional roads from 90 km/h to 80 km/h, when the representative of “40 millions d’automobilistes”, a driver lobby with a few hundred thousands members, called the chain to protest against this potential move by the Macron government. With arguments ranging from being unjust for the rural parts of the country [the reduction in speed adds seven minutes per hour!], to predicting the regulation to be ignored by most drivers, to a lack of democracy [as if driving a car was a fundamental right! What’s next?! The right to bear arms?!], and finally to denying arguments based on econometric models [dismissed as “maths formulas”], like Nilsson’s.