Archive for Linz

Approximate Maximum Likelihood Estimation

Posted in Books, Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , on September 21, 2015 by xi'an

linz3Bertl et al. arXived last July a paper on a maximum likelihood estimator based on an alternative to ABC techniques. And to indirect inference. (One of the authors in et al. is Andreas Futschik whom I visited last year in Linz.) Paper that I only spotted when gathering references for a reading list on ABC… The method is related to the “original ABC paper” of Diggle and Gratton (1984) which, parallel to Rubin (1984), contains in retrospect the idea of ABC methods. The starting point is stochastic approximation, namely the optimisation of a function of a parameter θ when written as an expectation of a random variable Y, E[Y|θ], as in the Kiefer-Wolfowitz algorithm. However, in the case of the likelihood function, there is rarely an unbiased estimator and the authors propose instead to use a kernel density estimator of the density of the summary statistic. This means that, at each iteration of the Kiefer-Wolfowitz algorithm, two sets of observations and hence of summary statistics are simulated and two kernel density estimates derived, both to be applied to the observed summary. The sequences underlying the Kiefer-Wolfowitz algorithm are taken from (the excellent optimisation book of) Spall (2003). Along with on-the-go adaptation and convergence test.

The theoretical difficulty in this extension is however that the kernel density estimator is not unbiased and thus that, rigorously speaking, the validation of the Kiefer-Wolfowitz algorithm does not apply here. On the practical side, the need for multiple starting points and multiple simulations of pseudo-samples may induce considerable time overload. Especially if  bootstrap is used to evaluate the precision of the MLE approximation. Besides normal and M/G/1 queue examples, the authors illustrate the approach on a population genetic dataset of Borneo and Sumatra orang-utans. With 5 parameters and 28 summary statistics. Which thus means using a kernel density estimator in dimension 28, a rather perilous adventure..!

up [and down] Pöstlingberg

Posted in Mountains, pictures, Running, Travel, University life with tags , , , , , , , , , on September 18, 2014 by xi'an

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Early morning today, following my Linz guests’ advice, I went running towards the top of Pöstlingberg, a hill 250m over Linz and the Danube river. A perfect beacon thus avoiding wrong turns and extra-mileage, but still a wee climb on a steep path for the last part. The reward of the view from the top was definitely worth the [mild] effort and I even had enough time to enjoy a good Austrian breakfast before my ABC talk

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talk in Linz [first slide]

Posted in Mountains, pictures, Running, University life with tags , , , , , , , , , on September 17, 2014 by xi'an

arriving in Linz

Posted in pictures, Travel, University life with tags , , , , on September 17, 2014 by xi'an

my life as a mixture [BAYSM 2014, Wien]

Posted in Books, Kids, Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , on September 12, 2014 by xi'an

Next week I am giving a talk at BAYSM in Vienna. BAYSM is the Bayesian Young Statisticians meeting so one may wonder why, but with Chris Holmes and Mike West, we got invited as more… erm… senior speakers! So I decided to give a definitely senior talk on a thread pursued throughout my career so far, namely mixtures. Plus it also relates to works of the other senior speakers. Here is the abstract for the talk:

Mixtures of distributions are fascinating objects for statisticians in that they both constitute a straightforward extension of standard distributions and offer a complex benchmark for evaluating statistical procedures, with a likelihood both computable in a linear time and enjoying an exponential number of local models (and sometimes infinite modes). This fruitful playground appeals in particular to Bayesians as it constitutes an easily understood challenge to the use of improper priors and of objective Bayes solutions. This talk will review some ancient and some more recent works of mine on mixtures of distributions, from the 1990 Gibbs sampler to the 2000 label switching and to later studies of Bayes factor approximations, nested sampling performances, improper priors, improved importance samplers, ABC, and a inverse perspective on the Bayesian approach to testing of hypotheses.

I am very grateful to the scientific committee for this invitation, as it will give me the opportunity to meet the new generation, learn from them and in addition discover Vienna where I have never been, despite several visits to Austria. Including its top, the Großglockner. I will also give a seminar in Linz the day before. In the Institut für Angewandte Statistik.

BAYSM ’14 im Wien, Sep. 18-19

Posted in Kids, Mountains, pictures, Statistics, Travel, University life, Wines with tags , , , , , , , , , , on April 6, 2014 by xi'an

It all started in Jim Berger’s basement, drinking with the uttermost reverence an otherworldly Turley Zinfandel during the great party Ann and Jim Berger hosted for the O’Bayes’13 workshop in Duke. I then mentioned to Angela Bitto and Alexandra Posekany, from WU Wien, that I was going to be in Austria next September for a seminar in Linz, at the Johannes Kepler Universität, and, as it happened to take place the day before BAYSM ’14, the second conference of the young Bayesian statisticians, in connection with the j-ISBA section, they most kindly invited me to the meeting! As a senior Bayesian, most obviously! This is quite exciting, all the more because I never visited Vienna before. (Contrary to other parts of Austria, like the Großglockner, where I briefly met Peter Habeler. Trivia: the cover picture of the ‘Og is actually taken from the Großglockner.)