Archive for Paris Dauphine

convergences of MCMC and unbiasedness

Posted in pictures, Statistics, University life with tags , , , , , , , , , on January 16, 2018 by xi'an

During his talk on unbiased MCMC in Dauphine today, Pierre Jacob provided a nice illustration of the convergence modes of MCMC algorithms. With the stationary target achieved after 100 Metropolis iterations, while the mean of the target taking much more iterations to be approximated by the empirical average. Plus a nice connection between coupling time and convergence. Convergence to the target.During Pierre’s talk, some simple questions came to mind, from developing an “impatient user version”, as in perfect sampling, in order  to stop chains that run “forever”,  to optimising parallelisation in order to avoid problems of asynchronicity. While the complexity of coupling increases with dimension and the coupling probability goes down, the average coupling time varies but an unexpected figure is that the expected cost per iteration is of 2 simulations, irrespective of the chosen kernels. Pierre also made a connection with optimal transport coupling and stressed that the maximal coupling was for the proposal and not for the target.

applied Bayesian statistical modelling (PhD course at CREST)

Posted in Statistics, Travel, University life with tags , , , , , , , , , on April 17, 2012 by xi'an

Next month, Kerrie Mengersen (QUT, Brisbane, Australia, and visiting us at CREST and Paris-Dauphine this coming May) will give a PhD course at CREST on the theme of applied Bayesian statistical modelling.

Here is her abstract:

Bayesian hierarchical models are now widely used in addressing a rich variety of real-world problems. In this course, we will examine some common models and the associated computational methods used to solve these problems, with a focus on environmental and health applications.

Two types of hierarchical models will be considered, namely mixture models and spatial models. Computational methods will cover Markov chain Monte Carlo, Variational Bayes and Approximate Bayesian Computation.

Participants will have the opportunity to implement these approaches using a number of datasets taken from real case studies, including the analysis of digital images from animals and satellites, and disease mapping for medicine and biosecurity.

The classes will take place at ENSAE, Paris, on May 3, 10 (14:00, Amphi 2), 14, and 21 (11:00, Room S8). (The course is open to everyone and free of charge, but registrations are requested, please contact Nadine Guedj.)

From my office window

Posted in pictures, University life with tags , , on October 24, 2010 by xi'an

ABC in Paris [still] on line

Posted in Statistics, University life with tags , , , on June 27, 2009 by xi'an

The “ABC in Paris” meeting is now over, but I managed to (poorly) record both first sessions on, so if you are really eager to know all about ABC and ready to face blurry slides (also available on the webpage) and distorted videos, as well as numerous apparitions of yours truly, you may want to visit

Videos from ABC in Paris

Apart from this epiphenomenon, let me add that the conference went on quite well with about 60 people attending and a wide variety of topics, including on-going work and novel directions. Despite the gruesome schedule, we even managed to end up on time, thanks to the self-restraint of the speakers! There should be a follow-up to ABC in Paris next year, maybe ABC in London…

ABC in Paris live?!

Posted in Statistics, University life with tags , , , on June 24, 2009 by xi'an

Thanks to David Welch, who pointed out the possibility today, I have been experimenting with the free broadcasting system, trying to broadcast the whole ABC in Paris meeting  this Friday by simply using my webcam. An attempt from the conference room was successful and so, if nothing happens in-between, I will activate the broadcast on Friday (with no guarantee!)
Watch live broadcast from ABC in ParisObviously, the above link is only going to work during the meeting [9:30m-6pm, Central European Summer Time, ie UTC+2], if at all! (So please refrain from commenting on the link not working.)