## inferring the number of components [remotely]

Posted in Statistics with tags , , , , , , , , , , , , , , , , , on October 14, 2022 by xi'an

## approximative Laplace

Posted in Books, R, Statistics with tags , , , , on August 18, 2018 by xi'an

I came across this question on X validated that wondered about one of our examples in Monte Carlo Statistical Methods. We have included a section on Laplace approximations in the Monte Carlo integration chapter, with a bit of reluctance on my side as this type of integral approximation does not directly connect to Monte Carlo methods. Even less in the case of the example as we aimed at replacing a coverage probability for a Gamma distribution with a formal Laplace approximation. Formal due to the lack of asymptotics, besides the length of the interval (a,b) which probability is approximated. Hence, on top of the typos, the point of the example is not crystal clear, in that it does not show much more than the step-function approximation to the function converges as the interval length gets to zero. For instance, using instead a flat approximation produces an almost as good approximation:

```>  xact(5,2,7,9)
[1] 0.1933414
> laplace(5,2,7,9)
[1] 0.1933507
> flat(5,2,7,9)
[1] 0.1953668
```

What may be more surprising is the resilience of the approximation as the width of the interval increases:

```> xact(5,2,5,11)
[1] 0.53366
> lapl(5,2,5,11)
[1] 0.5354954
> plain(5,2,5,11)
[1] 0.5861004
[1] 0.434131
```

## g-and-k [or -h] distributions

Posted in Statistics with tags , , , , , , , , , on July 17, 2017 by xi'an

Dennis Prangle released last week an R package called gk and an associated arXived paper for running inference on the g-and-k and g-and-h quantile distributions. As should be clear from an earlier review on Karian’s and Dudewicz’s book quantile distributions, I am not particularly fond of those distributions which construction seems very artificial to me, as mostly based on the production of a closed-form quantile function. But I agree they provide a neat benchmark for ABC methods, if nothing else. However, as recently pointed out in our Wasserstein paper with Espen Bernton, Pierre Jacob and Mathieu Gerber, and explained in a post of Pierre’s on Statisfaction, the pdf can be easily constructed by numerical means, hence allows for an MCMC resolution, which is also a point made by Dennis in his paper. Using the closed-form derivation of the Normal form of the distribution [i.e., applied to Φ(x)] so that numerical derivation is not necessary.

## puzzled by harmony [not!]

Posted in Books, Kids, Mountains, pictures, R, Running, Statistics, Travel with tags , , , , , on December 13, 2016 by xi'an

In answering yet another question on X validated about the numerical approximation of the marginal likelihood, I suggested using an harmonic mean estimate as a simple but worthless solution based on an MCMC posterior sample. This was on a toy example with a uniform prior on (0,π) and a “likelihood” equal to sin(θ) [really a toy problem!]. Simulating an MCMC chain by a random walk Metropolis-Hastings algorithm is straightforward, as is returning the harmonic mean of the sin(θ)’s.

``````f <- function(x){
if ((0<x)&(x<pi)){
return(sin(x))}else{
return(0)}}

n = 2000 #number of iterations
sigma = 0.5
x = runif(1,0,pi) #initial x value
chain = fx = f(x)
#generates an array of random x values from norm distribution
rands = rnorm(n,0, sigma)
#Metropolis - Hastings algorithm
for (i in 2:n){
can = x + rands[i]  #candidate for jump
fcan=f(can)
aprob = fcan/fx #acceptance probability
if (runif(1) < aprob){
x = can
fx = fcan}
chain=c(chain,fx)}
I = pi*length(chain)/sum(1/chain) #integral harmonic approximation``````

However, the outcome looks remarkably stable and close to the expected value 2/π, despite 1/sin(θ) having an infinite integral on (0,π). Meaning that the average of the 1/sin(θ)’s has no variance. Hence I wonder why this specific example does not lead to an unreliable output… But re-running the chain with a smaller scale σ starts producing values of sin(θ) regularly closer to zero, which leads to an estimate of I both farther away from 2 and much more variable. No miracle, in the end!

## probabilistic numerics

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , on April 27, 2015 by xi'an

I attended an highly unusual workshop while in Warwick last week. Unusual for me, obviously. It was about probabilistic numerics, i.e., the use of probabilistic or stochastic arguments in the numerical resolution of (possibly) deterministic problems. The notion in this approach is fairly Bayesian in that it makes use to prior information or belief about the quantity of interest, e.g., a function, to construct an usually Gaussian process prior and derive both an estimator that is identical to a numerical method (e.g., Runge-Kutta or trapezoidal integration) and uncertainty or variability around this estimator. While I did not grasp much more than the classy introduction talk by Philipp Hennig, this concept sounds fairly interesting, if only because of the Bayesian connection, and I wonder if we will soon see a probability numerics section at ISBA! More seriously, placing priors on functions or functionals is a highly formal perspective (as in Bayesian non-parametrics) and it makes me wonder how much of the data (evaluation of a function at a given set of points) and how much of the prior is reflected in the output [variability]. (Obviously, one could also ask a similar question for statistical analyses!)  For instance, issues of singularity arise among those stochastic process priors.

Another question that stemmed from this talk is whether or not more efficient numerical methods can derived that way, in addition to recovering the most classical ones. Somewhat, somehow, given the idealised nature of the prior, it feels like priors could be more easily compared or ranked than in classical statistical problems. Since the aim is to figure out the value of an integral or the solution to an ODE. (Or maybe not, since again almost the same could be said about estimating a normal mean.)