Archive for John Geweke

R package truncnorm

Posted in Statistics with tags , , , , , on November 8, 2017 by xi'an

This week in Warwick, thanks to a (rather incomprehensible) X validated question, I came across the CRAN R package truncnorm, which provides the “density, distribution function, quantile function, random generation and expected value function for the truncated normal distribution”. The short description of the sampler states that the method follows the accept-reject solution of John Geweke (1991), which I reproduced [independently!] a few years later. I may have missed the right code, but checking on the Github depository associated with this package, I did not find in the C code a trace of our optimal solution via a translated exponential proposal, since the exponential proosal, when used, relies on a scale equal to the left truncation point, a in the above picture. Obviously, this does not make a major difference in the execution time (and the algorithm is still correct!).

commentaries in financial econometrics

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on April 27, 2016 by xi'an

My comment(arie)s on the moment approach to Bayesian inference by Ron Gallant have appeared, along with other comment(arie)s:

Invited Article
Reflections on the Probability Space Induced by Moment Conditions with
Implications for Bayesian Inference
A. Ronald Gallant . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Commentaries
Dante Amengual and Enrique Sentana .. . . . . . . . . . 248
John Geweke . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253
Jae-Young Kim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
Oliver Linton and Ruochen Wu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .261
Christian P. Robert . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
Christopher A. Sims . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Wei Wei and Asger Lunde . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . .278
Author Response
A. Ronald Gallant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .284

formula (4) in Gallant's paperWhile commenting on commentaries is formally bound to induce an infinite loop [or l∞p], I remain puzzled by the main point of the paper, which is that setting a structural distribution on a moment function Z(x,θ) plus a prior p(θ) induces a distribution on the pair (x,θ) in a possibly weaker σ-algebra. (The two distributions may actually be incompatible.) Handling this framework requires checking that a posterior exists, which sounds rather unnatural (even though we also have to check properness of the posterior). And the meaning of such a posterior remains unclear, as for instance in this assertion that (4) above is a likelihood, when it does not define a density in x but on the object inside the exponential.

“…it is typically difficult to determine whether there exists a p(x|θ) such that the implied distribution of m(x,θ) is the one stated, and if not, what damage is done thereby” J. Geweke (p.254)

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testing MCMC code

Posted in Books, Statistics, University life with tags , , , , , , , , on December 26, 2014 by xi'an

Harvard2A title that caught my attention on arXiv: testing MCMC code by Roger Grosse and David Duvenaud. The paper is in fact a tutorial adapted from blog posts written by Grosse and Duvenaud, on the blog of the Harvard Intelligent Probabilistic Systems group. The purpose is to write code in such a modular way that (some) conditional probability computations can be tested. Using my favourite Gibbs sampler for the mixture model, they advocate computing the ratios

\dfrac{p(x'|z)}{p(x|z)}\quad\text{and}\quad \dfrac{p(x',z)}{p(x,z)}

to make sure they are exactly identical. (Where x denotes the part of the parameter being simulated and z anything else.) The paper also mentions an older paper by John Geweke—of which I was curiously unaware!—leading to another test: consider iterating the following two steps:

  1. update the parameter θ given the current data x by an MCMC step that preserves the posterior p(θ|x);
  2. update the data x given the current parameter value θ from the sampling distribution p(x|θ).

Since both steps preserve the joint distribution p(x,θ), values simulated from those steps should exhibit the same properties as a forward production of (x,θ), i.e., simulating from p(θ) and then from p(x|θ). So with enough simulations, comparison tests can be run. (Andrew has a very similar proposal at about the same time.) There are potential limitations to the first approach, obviously, from being unable to write the full conditionals [an ABC version anyone?!] to making a programming mistake that keep both ratios equal [as it would occur if a Metropolis-within-Gibbs was run by using the ratio of the joints in the acceptance probability]. Further, as noted by the authors it only addresses the mathematical correctness of the code, rather than the issue of whether the MCMC algorithm mixes well enough to provide a pseudo-iid-sample from p(θ|x). (Lack of mixing that could be spotted by Geweke’s test.) But it is so immediately available that it can indeed be added to every and all simulations involving a conditional step. While Geweke’s test requires re-running the MCMC algorithm altogether. Although clear divergence between an iid sampling from p(x,θ) and the Gibbs version above could appear fast enough for a stopping rule to be used. In fine, a worthwhile addition to the collection of checkings and tests built across the years for MCMC algorithms! (Of which the trick proposed by my friend Tobias Rydén to run first the MCMC code with n=0 observations in order to recover the prior p(θ) remains my favourite!)

The winds of Winter [Bayesian prediction]

Posted in Books, Kids, R, Statistics, University life with tags , , , , , , , , , , on October 7, 2014 by xi'an

A surprising entry on arXiv this morning: Richard Vale (from Christchurch, NZ) has posted a paper about the characters appearing in the yet hypothetical next volume of George R.R. Martin’s Song of ice and fire series, The winds of Winter [not even put for pre-sale on amazon!]. Using the previous five books in the series and the frequency of occurrence of characters’ point of view [each chapter being told as from the point of view of one single character], Vale proceeds to model the number of occurrences in a given book by a truncated Poisson model,

x_{it} \sim \mathcal{P}(\lambda_i)\text{ if }|t-\beta_i|<\tau_i

in order to account for [most] characters dying at some point in the series. All parameters are endowed with prior distributions, including the terrible “large” hyperpriors familiar to BUGS users… Despite the code being written in R by the author. The modelling does not use anything but the frequencies of the previous books, so knowledge that characters like Eddard Stark had died is not exploited. (Nonetheless, the prediction gives zero chapter to this character in the coming volumes.) Interestingly, a character who seemingly died at the end of the last book is still given a 60% probability of having at least one chapter in  The winds of Winter [no spoiler here, but many in the paper itself!]. As pointed out by the author, the model as such does not allow for prediction of new-character chapters, which remains likely given Martin’s storytelling style! Vale still predicts 11 new-character chapters, which seems high if considering the series should be over in two more books [and an unpredictable number of years!].

As an aside, this paper makes use of the truncnorm R package, which I did not know and which is based on John Geweke’s accept-reject algorithm for truncated normals that I (independently) proposed a few years later.