Archive for Havard Rue

dynamic mixtures [at NBBC15]

Posted in R, Statistics with tags , , , , , , , , , , , , on June 18, 2015 by xi'an

KleifarvatnA funny coincidence: as I was sitting next to Arnoldo Frigessi at the NBBC15 conference, I came upon a new question on Cross Validated about a dynamic mixture model he had developed in 2002 with Olga Haug and Håvård Rue [whom I also saw last week in Valencià]. The dynamic mixture model they proposed replaces the standard weights in the mixture with cumulative distribution functions, hence the term dynamic. Here is the version used in their paper (x>0)


where f is a Weibull density, g a generalised Pareto density, and w is the cdf of a Cauchy distribution [all distributions being endowed with standard parameters]. While the above object is not a mixture of a generalised Pareto and of a Weibull distributions (instead, it is a mixture of two non-standard distributions with unknown weights), it is close to the Weibull when x is near zero and ends up with the Pareto tail (when x is large). The question was about simulating from this distribution and, while an answer was in the paper, I replied on Cross Validated with an alternative accept-reject proposal and with a somewhat (if mildly) non-standard MCMC implementation enjoying a much higher acceptance rate and the same fit.

ISBA on INLA [webinar]

Posted in R, Statistics, University life with tags , , , , , , on April 3, 2013 by xi'an

If you have missed the item of information, Håvard Rue is giving an ISBA webinar tomorrow on INLA:

the ISBA Webinar on INLA is scheduled for April 4th, 2013
from 8:30 - 12:30 EDT.

To join the online meeting (Now from mobile devices using the Cisco WebEx
Meeting App)

1. Go to
2. Enter the meeting number  730 293 070 and click Join Now
3. Enter your name and email address, the meeting password and
click "Join Now"

A recording of the webinar will be provided shortly after the event.

Please verify that your computer is capable of connecting using WebEx at

or see  if you are having
trouble connecting.

LGM 2012, Trondheim

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , on May 31, 2012 by xi'an

A break from the “snapshots from Guérande” that will be a relief for all ‘ Og readers, I am sure: I am now in Trondheim, Norway, for the second Latent Gaussian model meeting, organised by Håvard Rue and his collaborators. As in the earlier edition in Zürich, the main approach to those models (that is adopted in the talks) is the INLA methodology of Rue, Martino and Chopin. I nonetheless (given the theme) gave a presentation on Rao-Blackwellisation techniques for MCMC algorithms. As I had not printed the program of the meeting prior to my departure (blame Guérande!), I had not realised I had only 20 minutes for my talk and kept adding remarks and slides during the flight from Amsterdam to Trondheim [where the clouds prevented me from seeing Jotunheimen]. (So I had to cut the second half of the talk below on parallelisation. Even with this cut, the 20 minutes went awfully fast!) Apart from my talk, I am afraid I was not in a sufficient state of awareness [due to a really early start] to give a comprehensive of the afternoon talks….

Trondheim is a nice city that sometimes feels like a village despite its size. Walking up to the university along typical wooden houses, then going around the town and along the river tonight while running a 10k loop left me with the impression of a very pleasant place (at least in the summer months).

Latent Gaussian Models im Zürich [day 1]

Posted in R, Statistics with tags , , , , , on February 5, 2011 by xi'an

An interesting first day (for me) at the Latent Gaussian Models workshop in Zürich. The workshop is obviously centred at the INLA approach, with Havard Rue giving a short course on Wednesday then a wide ranging tour of the applications and extensions of INLA this afternoon. Thanks to his efforts in making the method completely accessible for many models through an R package, using mode description commands like

inla(formula, family="weibull", data=Kidney, control.inla=list(h=0.001))

there is now a growing community of INLA users. As exemplified by the attendees to this workshop. Chris Holmes gave another of his inspirational talks this afternoon when defending the use of quasi-Monte Carlo methods in Bayes factor approximations. The model choice session this morning showed interesting directions, including a calibration of the Hellinger distance by Bernoulli distributions, while the application session this afternoon covered owls, bulls, and woolly mammoths. I even managed to speak about ABC model choice, Gaussian approximations of Ising models, stochastic volatility modelling, and grey codes for variable selection, before calling it a (full and fruitful) day!


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