While it took quite a while (!), with several visits by three of us to our respective antipodes, incl. my exciting trip to Melbourne and Monash University two years ago, our paper on ABC for state space models was arXived yesterday! Thanks to my coauthors, Gael Martin, Brendan McCabe, and Worapree Maneesoonthorn, I am very glad of this outcome and of the new perspective on ABC it produces. For one thing, it concentrates on the selection of summary statistics from a more econometrics than usual point of view, defining asymptotic sufficiency in this context and demonstrated that both asymptotic sufficiency and Bayes consistency can be achieved when using maximum likelihood estimators of the parameters of an auxiliary model as summary statistics. In addition, the proximity to (asymptotic) sufficiency yielded by the MLE is replicated by the score vector. Using the score instead of the MLE as a summary statistics allows for huge gains in terms of speed. The method is then applied to a continuous time state space model, using as auxiliary model an augmented unscented Kalman filter. We also found in the various state space models tested therein that the ABC approach based on the marginal [likelihood] score was performing quite well, including wrt Fearnhead’s and Prangle’s (2012) approach… I like the idea of using such a generic object as the unscented Kalman filter for state space models, even when it is not a particularly accurate representation of the true model. Another appealing feature of the paper is in the connections made with indirect inference.
Archive for Monash University
After about ten days in Melbourne, I am (getting) ready to move again. This longer stay in Melbourne and at Monash was quite profitable, both from a professional perspective as I had many discussions with faculty and students, gave several lectures with interesting feedback from the audience, planned MCMski IV on the side, and worked on ABC calibration, and from a personal perspective, as I recharged my batteries, shook off travel fatigue, had long and diverse runs every morning, including one to St Kilda’s beach, ate at diverse and mostly great restaurants (from Ethiopian to Thai, to French, &tc.) and truly terrific Australian wines (incl. a 20 year old Baileys of Glenrowan from Murray Smith‘s collection!).
Because of its compact downtown, I also found Melbourne easier to apprehend than Sydney, with the biases due to staying there longer and being walking distance from the centre. The Victoria market is as thriving as the last time I visited it, offering an impressive range of foods to pick from or sample on the spot. I also visited the National Gallery (Ian Potter permanent collection) enjoying very much the large collection of aboriginal paintings (as well as some of the other paintings).
I am now off for a family vacation along the Great Ocean Road and beyond so will not post (news) for a few days! Enjoy summer in the northern hemisphere/winter in the southern one, and JSM if you are in San Diego!
Yesterday night I gave my AMSI-SSAI public lecture on simulation at the University of Melbourne. Following a seminar in the early afternoon on ABC (essentially the same as in Adelaide and UWS, although I should shorten it). The seminar was well-attended, despite being during the first week of the semester and between classes. I am afraid the lecture did not draw many members of the public, though, which is not a great surprise given my esoteric (?) title, and I am afraid the academics who attended the talk did not really need this basic intro to simulations… I also visited the offices of AMSI on the campus, where I was very warmly welcomed, thank you! This even included an interview with a media officer who happened to be a Physics Honour student at the University of Melbourne, working on a cool radar data analysis. (This Honour program is an interesting entry into research that is missing in the French curriculum, providing students interested in research to spend a year mostly working on a research project right after undergraduate graduation…) In addition, it was an opportunity to look at the great posters made by AMSI to promote math in high schools with the motto “maths make your career count“. Today, I give a seminar at Monash on ABC model choice.
Here are the slides for the second day of my course at Monash University, Melbourne, in the Special Lectures in Econometrics, with a strong strong similarity with the slides of my course in Roma this Spring. (Ah, sunny Roma…) The first day lecture was very well attended and I hope this remains true for the second! (I also think I should spend more time on particle filters in general, the next time I give a similar course…)
The AMSI lecture at UNSW on ABC for model choice last Monday was very well-attended, with additional participants from other universities like Newcastle connected through the grid, and Robert Kohn set a follow-up questions-and-answers session with local faculty and students. Interesting comments on pseudo-models and misspecified models… And new ideas for incoming Master projects. I am quite impressed by the School of Economics in the Australian School of Business and by the UNSW campus as a whole. (Maybe the more because a kind faculty who set me on my way there asked me from which part of England I was from!) This is the second econometrics department I visit this semester and I think we should beef up the interactions between stat and econ… (Maybe starting a Bayesian Econometric section at ISBA would help now that the Bayesian computation section has reached the critical level of support to be created!)
On Tuesday, I then took the train(s) to the University of Western Sydney, which allowed me to see much more of the greater Sydney than the (more privileged) area between downtown and Bondi! There were fewer peoples attending at UWS but video links with other campuses helped in reaching a critical level. Before returning to UNSW, I also managed to get a glimpse of one of Australia’s oldest buildings, a former girl orphanage built in 1813…
I must acknowledge some kind of “travel fatigue” syndrome at this stage of my trip, due both to a poor sleeping pattern and the constraints of staying a few days at a given place, with some difficulties to concentrate on deeper issues than planning the next move and not forgetting anything at the current one! I am thus looking forward the next fortnight in Monash University, Melbourne, where I am teaching a two-day course in addition to working with Gael Martin and giving a few seminars…
Here is my schedule (so far) for my Australian trip this summer/winter… Looking forward meeting loads of interesting people, problems and places!
|12 July||Australian Statistical Conference||Meeting Room 11||9:30 am||Approximate Bayesian Computation for model selection|
|13 July||University of Adelaide||TBC||TBC||TBC|
|16 July||University of NSW||Via AGR||2 pm||ABC methods for Bayesian model choice|
|17 July||University of Western Sydney||TBC||TBC||Rao-Blackwellisation of sampling schemes|
|26 July||University of Melbourne||Russell Love theatre, Richard Berry (Bldg 160)||2 pm||Approximate Bayesian computation (ABC): advances and limitations|
|26 July||AMSI Public Lecture||TBC
||6 pm||Simulation as a universal tool for statistics|
|27 July||Monash University, Econometrics and Business Statistics seminar||TBC
||2 pm||ABC methods for Bayesian model choice|
|14 August||Australian National University||Seminar Room G35, John Dedman (Bldg 27)||2 pm||Approximate Bayesian computation (ABC): advances and limitations|
|15 August||University of Wollongong||CSSM Meeting (Goulburn)||Rao-Blackwellisation of sampling schemes|
|20 August||University of Queensland||Room N201, Building 50||2 pm||Rao-Blackwellisation of sampling schemes|
|21 August||Queensland University of Technology||GP-Z1064 Gibson Room||TBC||ABC methods for Bayesian model choice|
|21 August||Queensland University of Technology||GP-Z1064 Gibson Room||TBC||