**T**his is the ~~fifth~~ sixth volume of Ben Aaronovitch’s Rivers of London series. Which features PC Peter Grant from the London’s Metropolitan Police specialising in paranormal crime. Joining a line of magicians that was started by Isaac Newton. And with the help of water deities. Although this English magic sleuthing series does not compare with the superlative Jonathan Strange & Mr. Norrell single book, The Hanging Tree remains highly enjoyable, maybe more for its style and vocabulary than for the detective story itself, which does not sound completely coherent (unless I read it too quickly during the wee hours in Banff last week). And does not bring much about this part of London. Still a pleasure to read as the long term pattern of Aaronovitch’s universe slowly unravels and some characters get more substance and depth.

## Archive for London

## The Hanging Tree

Posted in Books, Kids, Travel with tags Banff, Ben Aaronovitch, England, English magic, Hyde Park, London, Rivers of London, Thames on March 25, 2017 by xi'an## art brut [reposted]

Posted in pictures with tags art brut, Harry Pearce, London, remains of the day, The Guardian on December 14, 2016 by xi'an## a Bayesian criterion for singular models [discussion]

Posted in Books, Statistics, University life with tags ABC in London, Bayesian principles, BIC, discussion paper, effective dimension, information criterion, judicial system, latex2wp, London, non-regular models, Ockham's razor, penalised likelihood, Read paper, Royal Statistical Society, sBIC, Series B, singular models on October 10, 2016 by xi'an*[Here is the discussion Judith Rousseau and I wrote about the paper by Mathias Drton and Martyn Plummer, a Bayesian criterion for singular models, which was discussed last week at the Royal Statistical Society. There is still time to send a written discussion! Note: This post was written using the latex2wp converter.]*

**I**t is a well-known fact that the BIC approximation of the marginal likelihood in a given irregular model fails or may fail. The BIC approximation has the form

where corresponds on the number of parameters to be estimated in model . In irregular models the dimension typically does not provide a good measure of complexity for model , at least in the sense that it does not lead to an approximation of

A way to understand the behaviour of is through the *effective dimension*

when it exists, see for instance the discussions in Chambaz and Rousseau (2008) and Rousseau (2007). Watanabe (2009} provided a more precise formula, which is the starting point of the approach of Drton and Plummer:

where is the true parameter. The authors propose a clever algorithm to approximate of the marginal likelihood. Given the popularity of the BIC criterion for model choice, obtaining a relevant penalized likelihood when the models are singular is an important issue and we congratulate the authors for it. Indeed a major advantage of the BIC formula is that it is an off-the-shelf crierion which is implemented in many softwares, thus can be used easily by non statisticians. In the context of singular models, a more refined approach needs to be considered and although the algorithm proposed by the authors remains quite simple, it requires that the functions and need be known in advance, which so far limitates the number of problems that can be thus processed. In this regard their equation (3.2) is both puzzling and attractive. Attractive because it invokes nonparametric principles to estimate the underlying distribution; puzzling because why should we engage into deriving an approximation like (3.1) and call for Bayesian principles when (3.1) is at best an approximation. In this case why not just use a true marginal likelihood?

**1. Why do we want to use a BIC type formula? **

The BIC formula can be viewed from a purely frequentist perspective, as an example of penalised likelihood. The difficulty then stands into choosing the penalty and a common view on these approaches is to choose the smallest possible penalty that still leads to consistency of the model choice procedure, since it then enjoys better separation rates. In this case a penalty is sufficient, as proved in Gassiat et al. (2013). Now whether or not this is a desirable property is entirely debatable, and one might advocate that for a given sample size, if the data fits the smallest model (almost) equally well, then this model should be chosen. But unless one is specifying what *equally well* means, it does not add much to the debate. This also explains the popularity of the BIC formula (in regular models), since it approximates the marginal likelihood and thus benefits from the Bayesian justification of the measure of fit of a model for a given data set, often qualified of being a Bayesian Ockham’s razor. But then why should we not compute instead the marginal likelihood? Typical answers to this question that are in favour of BIC-type formula include: (1) BIC is supposingly easier to compute and (2) BIC does not call for a specification of the prior on the parameters within each model. Given that the latter is a difficult task and that the prior can be highly influential in non-regular models, this may sound like a good argument. However, it is only apparently so, since the only justification of BIC is purely asymptotic, namely, in such a regime the difficulties linked to the choice of the prior disappear. This is even more the case for the sBIC criterion, since it is only valid if the parameter space is compact. Then the impact of the prior becomes less of an issue as non informative priors can typically be used. With all due respect, the solution proposed by the authors, namely to use the posterior mean or the posterior mode to allow for non compact parameter spaces, does not seem to make sense in this regard since they depend on the prior. The same comments apply to the author’s discussion on *Prior’s matter for sBIC*. Indeed variations of the sBIC could be obtained by penalizing for bigger models via the prior on the weights, for instance as in Mengersen and Rousseau (2011) or by, considering repulsive priors as in Petralia et al. (20120, but then it becomes more meaningful to (again) directly compute the marginal likelihood. Remains (as an argument in its favour) the relative computational ease of use of sBIC, when compared with the marginal likelihood. This simplification is however achieved at the expense of requiring a deeper knowledge on the behaviour of the models and it therefore looses the off-the-shelf appeal of the BIC formula and the range of applications of the method, at least so far. Although the dependence of the approximation of on , $latex {j \leq k} is strange, this does not seem crucial, since marginal likelihoods in themselves bring little information and they are only meaningful when compared to other marginal likelihoods. It becomes much more of an issue in the context of a large number of models.

**2. Should we care so much about penalized or marginal likelihoods ? **

Marginal or penalized likelihoods are exploratory tools in a statistical analysis, as one is trying to define a reasonable model to fit the data. An unpleasant feature of these tools is that they provide numbers which in themselves do not have much meaning and can only be used in comparison with others and without any notion of uncertainty attached to them. A somewhat richer approach of exploratory analysis is to *interrogate* the posterior distributions by either varying the priors or by varying the loss functions. The former has been proposed in van Havre et l. (2016) in mixture models using the prior tempering algorithm. The latter has been used for instance by Yau and Holmes (2013) for segmentation based on Hidden Markov models. Introducing a decision-analytic perspective in the construction of information criteria sounds to us like a reasonable requirement, especially when accounting for the current surge in studies of such aspects.

*[Posted as arXiv:1610.02503]*

## advanced computational methods for complex models in Biology [talk]

Posted in Books, pictures, Statistics, Travel, University life with tags ABC, Bayesian computing, Biology, coalescent, computational biology, England, EPSRC, expectation-propagation, London, random forests, UCL, University College London, Wright-Fisher model on September 29, 2016 by xi'an**H**ere are the slides of the presentation I gave at the EPSRC Advanced Computational methods for complex models in Biology at University College London, last week. Introducing random forests as proper summaries for both model choice and parameter estimation (with considerable overlap with earlier slides, obviously!). The other talks of that highly interesting day on computational Biology were mostly about ancestral graphs, using Wright-Fisher diffusions for coalescents, plus a comparison of expectation-propagation and ABC on a genealogy model by Mark Beaumont and the decision theoretic approach to HMM order estimation by Chris Holmes. In addition, it gave me the opportunity to come back to the Department of Statistics at UCL more than twenty years after my previous visit, at a time when my friend Costas Goutis was still there. And to realise it had moved from its historical premises years ago. (I wonder what happened to the two staircases built to reduce frictions between Fisher and Pearson if I remember correctly…)

## mixtures are slices of an orange

Posted in Kids, R, Statistics with tags CFE 2015, Gaussian mixture, hyperparameter, improper priors, invariance, Lenzerheide, location-scale parameterisation, London, MCMskv, Metropolis-Hastings algorithm, mixtures of distributions, non-informative priors, poster, R, reference priors, Switzerland, Ultimixt on January 11, 2016 by xi'an**A**fter presenting this work in both London and Lenzerheide, Kaniav Kamary, Kate Lee and I arXived and submitted our paper on a new parametrisation of location-scale mixtures. Although it took a long while to finalise the paper, given that we came with the original and central idea about a year ago, I remain quite excited by this new representation of mixtures, because the use of a global location-scale (hyper-)parameter doubling as the mean-standard deviation for the mixture itself implies that all the other parameters of this mixture model [beside the weights] belong to the intersection of a unit hypersphere with an hyperplane. [Hence the title above I regretted not using for the poster at MCMskv!]This realisation that using a (meaningful) hyperparameter (μ,σ) leads to a compact parameter space for the component parameters is important for inference in such mixture models in that the hyperparameter (μ,σ) is easily estimated from the entire sample, while the other parameters can be studied using a non-informative prior like the Uniform prior on the ensuing compact space. This non-informative prior for mixtures is something I have been seeking for many years, hence my on-going excitement! In the mid-1990‘s, we looked at a Russian doll type parametrisation with Kerrie Mengersen that used the “first” component as defining the location-scale reference for the entire mixture. And expressing each new component as a local perturbation of the previous one. While this is a similar idea than the current one, it falls short of leading to a natural non-informative prior, forcing us to devise a proper prior on the variance that was a mixture of a Uniform U(0,1) and of an inverse Uniform 1/U(0,1). Because of the lack of compactness of the parameter space. Here, fixing both mean and variance (or even just the variance) binds the mixture parameter to an ellipse conditional on the weights. A space that can be turned into the unit sphere via a natural reparameterisation. Furthermore, the intersection with the hyperplane leads to a closed form spherical reparameterisation. Yay!

While I do not wish to get into the debate about the [non-]existence of “non-informative” priors at this stage, I think being able to using the invariant reference prior π(μ,σ)=1/σ is quite neat here because the inference on the mixture parameters should be location and scale equivariant. The choice of the prior on the remaining parameters is of lesser importance, the Uniform over the compact being one example, although we did not study in depth this impact, being satisfied with the outputs produced from the default (Uniform) choice.

From a computational perspective, the new parametrisation can be easily turned into the old parametrisation, hence leads to a closed-form likelihood. This implies a Metropolis-within-Gibbs strategy can be easily implemented, as we did in the derived Ultimixt R package. (Which programming I was not involved in, solely suggesting the name *Ultimixt* from ultimate mixture parametrisation, a former title that we eventually dropped off for the paper.)

Discussing the paper at MCMskv was very helpful in that I got very positive feedback about the approach and superior arguments to justify the approach and its appeal. And to think about several extensions outside location scale families, if not in higher dimensions which remain a practical challenge (in the sense of designing a parametrisation of the covariance matrices in terms of the global covariance matrix).

## animal picture of the year

Posted in Kids, pictures with tags England, London, weasel, wildlife photography, woodpecker on December 31, 2015 by xi'an## delayed & robbed in London [CFE-CMStatistics 2015]

Posted in Kids, pictures, Statistics, Travel, University life, Wines with tags ABC, bike, Birbeck College, CFE 2015, CMStatistics 2015, delayed acceptance, econometrics, Elsevier, England, ERCIM, Gower Street, London, stolen bike, UCL, Waterstones on December 26, 2015 by xi'an**L**ast Sunday, I gave a talk on delayed acceptance at the 9th International Conference on Computational and Financial Econometrics (CFE 2015), joint with CMStatistics 2015, in London. This was a worthwhile session, with other talks by Matias Quiroz, on subsampling strategies for large data, David Frazier, on our joint paper about the consistency of ABC algorithms, and James Ridgway not on Pima Indians! And with a good-sized audience especially when considering the number of parallel sessions (36!). Earlier that day, I also attended an equally interesting session on the calibration of misspecified Bayesian models including talks by Peter Green [with a potential answer to the difficulty of parameters on the boundaries by adding orthogonal priors on those boundaries] and Julien Stoehr. calibrating composite likelihoods on Gaussian random fields. In the evening I went to a pub I had last visited when my late friend Costas Goutis was still at UCL and later enjoyed a fiery hot rogan josh.

While I could have attended two more sessions the next morning, I took advantage of the nice café in the Gower Street Waterstones to work a few hours with co-authors (and drink a few litres of tea from real teapots). Despite this quite nice overall experience, the 36 parallel session and the 1600 plus attendants at the conference still make wonder at the appeal of such a large conference and at the pertinence of giving a talk in parallel with so many other talks. And on about all aspects of statistics and econometrics. One JSM (or one NIPS) is more than enough! And given that many people only came for delivering their talk, there is very little networking between research teams or mentoring of younger colleagues, as far as I can tell. And no connection with a statistical society (it would be so nice if the RSS annual conference could only attract 1600 people!). Only a “CMStatistics working group” of which I discovered I was listed as a member [and asked for removal, so far with no answer]. Whose goals and actions are unclear, except to support Elsevier journals with special issues apparently constructed on the same pattern as this conference was organised, i.e., by asking people to take care [for free!] of gathering authors on a theme of their choice. And behind this “working group” an equally nebulous structure called ERCIM…

While the “robbed” in the title could be interpreted as wondering at the reason for paying such high registration fees (£250 for very early birds), I actually got robbed of my bicycle while away at the conference. Second bike stolen within a calendar year, quite an achievement! This was an old 1990 mountain bike I had bought in Cornell and carried back to France, in such a poor state that I could not imagine anyone stealing it. Wrong prior, obviously.