Archive for i-like

i-like[d the] workshop

Posted in Running, Statistics, Travel, University life with tags , , , , , , , , on May 17, 2013 by xi'an

Indeed, I liked the i-like workshop very much. Among the many interesting talks of the past two days (incl. Cristiano Varin’s ranking of Series B as the top influential stat. journal!) , Matti Vihola’s and Nicolas Chopin’s had the strongest impact on me (to the point of scribbling in my notebook). In a joint work with Christophe Andrieu, Matti focussed on evaluating the impact of replacing the target with an unbiased estimate in a Metropolis-Hastings algorithm. In particular, they found necessary and sufficient conditions for keeping geometric and uniform ergodicity. My question (asked by Iain Murray) was whether they had derived ways of selecting the number of terms in the unbiased estimator towards maximal efficiency. I also wonder if optimal reparameterisations can be found in this sense (since unbiased estimators remain unbiased after reparameterisation).

Nicolas’ talk was about particle Gibbs sampling, a joint paper with Sumeet Singh recently arXived. I did not catch the whole detail of their method but/as I got intrigued by a property of Marc Beaumont’s algorithm (the very same algorithm used by Matti & Christophe). Indeed, the notion is that an unbiased estimator of the target distribution can be found in missing variable settings by picking an importance sampling distribution q on those variables. This representation leads to a pseudo-target Metropolis-Hastings algorithm. In the stationary regime, there exists a way to derive an “exact” simulation from the joint posterior on (parameter,latent). All the remaining/rejected latents are then distributed from the proposal q. What I do not see is how this impacts the next MCMC move since it implies generating a new sample of latent variables. I spoke with Nicolas about this over breakfast: the explanation is that this re-generated set of latent variables can be used in the denominator of the Metropolis-Hastings acceptance probability and is validated as a Gibbs step. (Incidentally, it may be seen as a regeneration event as well.)

bike trail from Kenilworth to the University of WarwickFurthermore, I had a terrific run in the rising sun (at 5am) all the way to Kenilworth where I saw a deer, pheasants and plenty of rabbits. (As well as this sculpture that now appears to me as being a wee sexist…)

Warwickshire snapshot

Posted in pictures, Running, Travel with tags , , on May 17, 2013 by xi'an

Westwood church

i-like workshop [talk]

Posted in Statistics, Travel, University life with tags , , , , , , on May 16, 2013 by xi'an

Here are the slides of my talk at the i-like workshop in Warwick today:

I am really glad I could make it there and meet with many (highly supportive) friends for three days! The slides are quite similar to those I presented in Padova. I just added a few perspective slides…

thumbleweed [local] news

Posted in Books, Kids, Mountains, Running with tags , , , , , , , , on May 12, 2013 by xi'an

It has been about a week since I left the hospital and went back home, trying to get back in shape by resting, eating (to gain back some of the lost kg’s), sharing with my family and exercising… I foolishly tried to get back to the university once and ended the day as a wreck (esp. as I had to walk the two k’s of avenue Foch, the Line 2 métro being out of order!). Anyway, I read a lot, went back to my favourite bakery in Sceaux, had chats with neighbours, got reunited with the stray cat, and enjoyed the May sunshine while it lasted. I want to take this opportunity to give my warmest thanks to all of you who sent me greetings and good wishes, who visited me at the hospital or sent me goodies—read all the books, ate most of the macaroons and chocolates! A very special thanks to my friends in the Statistics department at BYU, for their unbelievable support! And to my mom, who came every single day… As reported in the earlier post, the thumb is gone and the wound is slowly healing, although it will require several weeks before the dressings are off for good. (Which gives me a good reason to skip washing dishes!) I dearly hope I will get the green light from the surgeon (tomorrow) for attending the i-like workshop next Wednesday!

I like…intractable likelihoods (openings)

Posted in Statistics with tags , , , , , , , , , on December 22, 2012 by xi'an

A new EPSRC programme grant, called i-like, has been awarded to researchers in Bristol, Lancaster, Oxford, and Warwick, to conduct research on intractable likelihoods. (I am also associated to this program as a [grateful] collaborator.) This covers several areas of statistics, like big data and inference on stochastic process, but my own primary interest in the programme is of course the possibilities to conduct collaboration on ABC and composite likelihood methods. (Great website design, by the way!)

A first announcement is that there will be a half-day launch in Oxford on January 31, 2013, which program is now available. Followed by a workshop in mid-May in Warwick (to which I will participate). This event is particularly aimed at PhD students and early-career researchers. The second announcement is that the EPSRC programme grant provides funding for five postdoctoral positions over a duration of four years, which is of course stupendous! So if you like i-like as much as I like it, and are a new researcher looking for opportunities in exciting areas, you should definitely consider applying!

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