Archive for Paris-Saclay campus

absint[he] post-doc on approximate Bayesian inference in Paris, Montpellier and Oxford

Posted in Statistics with tags , , , , , , , , , , , , , on March 18, 2019 by xi'an

As a consequence of its funding by the Agence Nationale de la Recherche (ANR) in 2018, the ABSint research conglomerate is now actively recruiting a post-doctoral collaborator for up to 24 months. The accronym ABSint stands for Approximate Bayesian solutions for inference on large datasets and complex models. The ABSint conglomerate involves researchers located in Paris, Saclay, Montpelliers, as well as Lyon, Marseille, Nice. This call seeks candidates with an excellent research record and who are interested to collaborate with local researchers on approximate Bayesian techniques like ABC, variational Bayes, PAC-Bayes, Bayesian non-parametrics, scalable MCMC, and related topics. A potential direction of research would be the derivation of new Bayesian tools for model checking in such complex environments. The post-doctoral collaborator will be primarily located in Université Paris-Dauphine, with supported periods in Oxford and visits to Montpellier. No teaching duty is attached to this research position.

Applications can be submitted in either English or French. Sufficient working fluency in English is required. While mastering some French does help with daily life in France (!), it is not a prerequisite. The candidate must hold a PhD degree by the date of application (not the date of employment). Position opens on July 01, with possible accommodation for a later start in September or October.

Deadline for application is April 30 or until position filled. Estimated gross salary is around 2500 EUR, depending on experience (years) since PhD. Candidates should contact Christian Robert (gmail address: bayesianstatistics) with a detailed vita (CV) and a motivation letter including a research plan. Letters of recommendation may also be emailed to the same address.

my [homonym] talk this afternoon at CREST [Paris-Saclay]

Posted in pictures, Statistics, University life with tags , , , , , , , on March 4, 2019 by xi'an

Christian ROBERT (Université Lyon 1) « How large is the jump discontinuity in the diffusion coefficient of an Itô diffusion?”

Time: 3:30 pm – 4:30 pm
Date: 04th of March 2019
Place: Room 3105

Abstract : We consider high frequency observations from a one-dimensional diffusion process Y. We assume that the diffusion coefficient σ is continuously differentiable, but with a jump discontinuity at some levely. Such a diffusion has already been considered as a local volatility model for the underlying price of an asset, but raises several issues for pricing European options or for hedging such derivatives. We introduce kernel sign-constrained estimators of the left and right limits of σ at y, but up to constant factors. We present and discuss the asymptotic properties of these kernel estimators.  We then propose a method to evaluate these constant factors by looking for bandwiths for which the kernel estimators are stable by iteration. We finally provide an estimator of the jump discontinuity size and discuss its convergence rate.

permanent position for research on computational statistics and “omics” data

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , on February 4, 2019 by xi'an

There is an opening at the French agronomy and genetics research centre, INRA, for a permanent research position on the country campus of Joyu-en-Josas, south-west of Paris, with focus on computational statistics (incl. machine-learning) and collaborations on omics data. The deadline is March 4. (The procedure is somewhat involved, as detailed in the guide for candidates.) I want to stress this is a highly attractive position in terms of academic surroundings (research only campus, nearby Paris=Saclay and Orsay campuses), of location (Paris in the fields), and of status since permanent really means permanent!

data science summer school à l’X

Posted in Statistics with tags , , , , , , on January 10, 2019 by xi'an

bâtiment Alan Turing [jatp]

Posted in pictures, Travel, University life with tags , , , , , on June 24, 2018 by xi'an

controlled sequential Monte Carlo [BiPS seminar]

Posted in Statistics with tags , , , , , , , on June 5, 2018 by xi'an

The last BiPS seminar of the semester will be given by Jeremy Heng (Harvard) on Monday 11 June at 2pm, in room 3001, ENSAE, Paris-Saclay about his Controlled sequential Monte Carlo paper:

Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques to approximate high-dimensional probability distributions and their normalizing constants. They have found numerous applications in statistics and related fields as they can be applied to perform state estimation for non-linear non-Gaussian state space models and Bayesian inference for complex static models. Like many Monte Carlo sampling schemes, they rely on proposal distributions which have a crucial impact on their performance. We introduce here a class of controlled sequential Monte Carlo algorithms, where the proposal distributions are determined by approximating the solution to an associated optimal control problem using an iterative scheme. We provide theoretical analysis of our proposed methodology and demonstrate significant gains over state-of-the-art methods at a fixed computational complexity on a variety of applications.

clustering dynamical networks

Posted in pictures, Statistics, University life with tags , , , , , , , , , , on June 5, 2018 by xi'an


Yesterday I attended a presentation by Catherine Matias on dynamic graph structures, as she was giving a plenary talk at the 50th French statistical meeting, conveniently located a few blocks away from my office at ENSAE-CREST. In the nicely futuristic buildings of the EDF campus, which are supposed to represent cogs according to the architect, but which remind me more of these gas holders so common in the UK, at least in the past! (The E of EDF stands for electricity, but the original public company handled both gas and electricity.) This was primarily a survey of the field, which is much more diverse and multifaceted than I realised, even though I saw some recent developments by Antonietta Mira and her co-authors, as well as refereed a thesis on temporal networks at Ca’Foscari by Matteo Iacopini, which defence I will attend in early July. The difficulty in the approaches covered by Catherine stands with the amount and complexity of the latent variables induced by the models superimposed on the data. In her paper with Christophe Ambroise, she followed a variational EM approach. From the spectator perspective that is mine, I wondered at using ABC instead, which is presumably costly when the data size grows in space or in time. And at using tensor structures as in Mateo’s thesis. This reminded me as well of Luke Bornn’s modelling of basketball games following each player in real time throughout the game. (Which does not prevent the existence of latent variables.) But more vaguely and speculatively I also wonder at the meaning of the chosen models, which try to represent “everything” in the observed process, which seems doomed from the start given the heterogeneity of the data. While reaching my Keynesian pessimistic low- point, which happens rather quickly!, one could hope for projection techniques, towards reducing the dimension of the data of interest and of the parameter required by the model.