## Archive for Padova

## snapshop di Padova

Posted in Kids, pictures, Running, Travel with tags canal, Italia, Italy, jatp, Padova, Porta Portello, sunrise, vacations on May 12, 2018 by xi'an## the Hyvärinen score is back

Posted in pictures, Statistics, Travel with tags Bayes factor, Bayesian model comparison, Bayesian model selection, consistency, Harvard University, Hyvärinen score, Lévy diffusion process, logarithmic score, Padova, penalisation, prior predictive, sequential Monte Carlo, SMC, SMC² on November 21, 2017 by xi'an**S**téphane Shao, Pierre Jacob and co-authors from Harvard have just posted on arXiv a new paper on Bayesian model comparison using the Hyvärinen score

which thus uses the Laplacian as a natural and normalisation-free penalisation for the score test. (Score that I first met in Padova, a few weeks before moving from X to IX.) Which brings a decision-theoretic alternative to the Bayes factor and which delivers a coherent answer when using improper priors. Thus a very appealing proposal in my (biased) opinion! The paper is mostly computational in that it proposes SMC and SMC² solutions to handle the estimation of the Hyvärinen score for models with tractable likelihoods and tractable completed likelihoods, respectively. (Reminding me that Pierre worked on SMC² algorithms quite early during his Ph.D. thesis.)

A most interesting remark in the paper is to recall that the Hyvärinen score associated with a generic model on a series must be the prequential (predictive) version

rather than the version on the joint marginal density of the whole series. (Followed by a remark within the remark that the logarithm scoring rule does not make for this distinction. And I had to write down the cascading representation

to convince myself that this unnatural decomposition, where the posterior on θ varies on each terms, is true!) For consistency reasons.

This prequential decomposition is however a plus in terms of computation when resorting to sequential Monte Carlo. Since each time step produces an evaluation of the associated marginal. In the case of state space models, another decomposition of the authors, based on measurement densities and partial conditional expectations of the latent states allows for another (SMC²) approximation. The paper also establishes that for non-nested models, the Hyvärinen score as a model selection tool asymptotically selects the closest model to the data generating process. For the divergence induced by the score. Even for state-space models, under some technical assumptions. From this asymptotic perspective, the paper exhibits an example where the Bayes factor and the Hyvärinen factor disagree, even asymptotically in the number of observations, about which mis-specified model to select. And last but not least the authors propose and assess a discrete alternative relying on finite differences instead of derivatives. Which remains a proper scoring rule.

I am quite excited by this work (call me biased!) and I hope it can induce following works as a viable alternative to Bayes factors, if only for being more robust to the [unspecified] impact of the prior tails. As in the above picture where some realisations of the SMC² output and of the sequential decision process see the wrong model being almost acceptable for quite a long while…

## O-Bayes15 [registration & call for papers]

Posted in Kids, pictures, Statistics, Travel, University life with tags George Casella, O-Bayes 2015, Padova, registration, running, Spain, Susie Bayarri, València on January 5, 2015 by xi'an**B**oth registration and call for papers have now been posted on the webpage of the 11th International Workshop on Objective Bayes Methodology, aka O-Bayes 15, that will take place in Valencia next June 1-5. The spectrum of the conference is quite wide, as reflected by the range of speakers. In addition, this conference is dedicated to our friend Susie Bayarri, to celebrate her life and contributions to Bayesian Statistics. And in continuation of the morning jog in the memory of George Casella organised by Laura Ventura in Padova, there will be a morning jog for Susie. So register for the meeting and bring your running shoes!

## ABC with composite score functions

Posted in Books, pictures, Statistics, University life with tags ABC, composite likelihood, empirical likelihood, exponential families, likelihood-free methods, Padova, PNAS, tolerance on December 12, 2013 by xi'an**M**y friends Erlis Ruli, Nicola Sartori and Laura Ventura from Università degli Studi de Padova have just arXived a new paper entitled Approximate Bayesian Computation with composite score functions. While the paper provides a survey of composite likelihood methods, the core idea of the paper is to use the score function (of the composite likelihood) as the summary statistic,

when evaluated at the maximum composite likelihood at the observed data point. In the specific (but unrealistic) case of an exponential family, an ABC based on the score is asymptotically (i.e., as the tolerance ε goes to zero) exact. The choice of the composite likelihood thus induces a natural summary statistics and, as in our empirical likelihood paper, where we also use the score of a composite likelihood, the composite likelihoods that are available for computation are usually quite a few, thus leading to an automated choice of a summary statistic..

**A**n interesting (common) feature in most examples found in this paper is that comparisons are made between ABC using the (truly) sufficient statistic and ABC based on the pairwise score function, which essentially relies on the very same statistics. So the difference, when there is a difference, pertains to the choice of a different combination of the summary statistics or, somehow equivalently to the choice of a different distance function. One of the examples starts from our MA(2) toy-example in the 2012 survey in Statistics and Computing. The composite likelihood is then based on the consecutive triplet marginal densities. As shown by the picture below, the composite version improves to some extent upon the original ABC solution using three autocorrelations.

**A** suggestion I would have about a refinement of the proposed method deals with the distance utilised in the paper, namely the sum of the absolute differences between the statistics. Indeed, this sum is not scaled at all, neither for regular ABC nor for composite ABC, while the composite likelihood perspective provides in addition to the score a natural metric through the matrix *A(θ)* *[defined on page 12]*. So I would suggest comparing the performances of the methods using instead this rescaling since, in my opinion and in contrast with a remark on page 13, it is relevant in some (many?) settings where the amount of information brought by the composite model widely varies from one parameter to the next.

## ciao, George!

Posted in pictures, Running, Travel, University life with tags George Casella, Padova, Prato della Valle, running, tee-shirt on September 7, 2013 by xi'an## i-like[d the] workshop

Posted in Running, Statistics, Travel, University life with tags ABC, empirical likelihood, i-like, likelihood-free methods, Metropolis-Hastings algorithms, Padova, pseudo-target, simulation, University of Warwick on May 17, 2013 by xi'an**I**ndeed, I liked the i-like workshop very much. Among the many interesting talks of the past two days (incl. Cristiano Varin’s ranking of Series B as the top influential stat. journal!) , Matti Vihola’s and Nicolas Chopin’s had the strongest impact on me (to the point of scribbling in my notebook). In a joint work with Christophe Andrieu, Matti focussed on evaluating the impact of replacing the target with an unbiased estimate in a Metropolis-Hastings algorithm. In particular, they found necessary and sufficient conditions for keeping geometric and uniform ergodicity. My question (asked by Iain Murray) was whether they had derived ways of selecting the number of terms in the unbiased estimator towards maximal efficiency. I also wonder if optimal reparameterisations can be found in this sense (since unbiased estimators remain unbiased after reparameterisation).

**N**icolas’ talk was about particle Gibbs sampling, a joint paper with Sumeet Singh recently arXived. I did not catch the whole detail of their method but/as I got intrigued by a property of Marc Beaumont’s algorithm (the very same algorithm used by Matti & Christophe). Indeed, the notion is that an unbiased estimator of the target distribution can be found in missing variable settings by picking an importance sampling distribution *q* on those variables. This representation leads to a pseudo-target Metropolis-Hastings algorithm. In the stationary regime, there exists a way to derive an “exact” simulation from the joint posterior on *(parameter,latent)*. All the remaining/rejected latents are then distributed from the proposal *q*. What I do not see is how this impacts the next MCMC move since it implies generating a new sample of latent variables. I spoke with Nicolas about this over breakfast: the explanation is that this re-generated set of latent variables can be used in the denominator of the Metropolis-Hastings acceptance probability and is validated as a Gibbs step. (Incidentally, it may be seen as a regeneration event as well.)

**F**urthermore, I had a terrific run in the rising sun (at 5am) all the way to Kenilworth where I saw a deer, pheasants and plenty of rabbits. (As well as this sculpture that now appears to me as being a wee sexist…)

## i-like workshop [talk]

Posted in Statistics, Travel, University life with tags ABC, empirical likelihood, i-like, likelihood-free methods, Padova, simulation, University of Warwick on May 16, 2013 by xi'an**H**ere are the slides of my talk at the i-like workshop in Warwick today:

**I** am really glad I could make it there and meet with many (highly supportive) friends for three days! The slides are quite similar to those I presented in Padova. I just added a few perspective slides…