Archive for Peskun ordering

snapshot from Budapest (EMS 20130 #1)

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , on July 23, 2013 by xi'an

Rákóczi Téri VásárcsarnokI had a nice “working” day in Budapest today, spending most of the time looking at Markov chain diagrams and Peskun orderings with Randal Douc, while drinking litres of  iced coffee, meaning I skipped a large part of the talks at EMS 2013 I am afraid… Thanks to the very early sunrise in Budapest (which is on the same time zone as Brest or even Porto!), I managed to have a long run along the Danube and a breakfast with my friends Gautami and Peter before the conference had even started. I still attended David Balding’s invited talk on DNA based evidence, containing an illustration in the Amanda knox case,  the Bayesian non-parametric session, which provided me with additional illustrations for The Talk, from Bernstein-von Mises to species estimation, then the computational biology session where Michael Stumpf showed us a masterly mix of stick breaking processes, Bayesian networks, hidden Markov models and genetics.  And… we managed to make considerable progress in this proof of ours!

Reading classics (#5)

Posted in Books, Statistics, University life with tags , , , , , , , , , on December 14, 2012 by xi'an

This week, my student Dona Skanji gave a presentation of the paper of Hastings “Monte Carlo sampling methods using Markov chains and their applications“, which set the rules for running MCMC algorithms, much more so than the original paper by Metropolis et al. which presented an optimisation device. even though the latter clearly stated the Markovian principle of those algorithms and their use for integration. (This is definitely a classic, selected in the book Biometrika: One hundred years, by Mike Titterington and David Cox.) Here are her slides (the best Beamer slides so far!):

Given that I had already taught my lectures on Markov chains and on MCMC algorithms, the preliminary part of Dona’s talk was easier to compose and understanding the principles of the method was certainly more straightforward than for the other papers in the series. I think she nonetheless did a rather good job in summing up the paper, running this extra simulation for the Poisson distribution—with the interesting “mistake” of including the burnin time in the representation of the output and concluding about a poor convergence—and mentioning the Gibbs extension.I led the discussion of the seminar towards irreducibility conditions and Peskun’s ordering of Markov chains, which maybe could have been mentioned by Dona since she was aware Peskun was Hastings‘ student.

Monte Carlo Statistical Methods third edition

Posted in Books, R, Statistics, University life with tags , , , , , , , , , , , , , on September 23, 2010 by xi'an

Last week, George Casella and I worked around the clock on starting the third edition of Monte Carlo Statistical Methods by detailing the changes to make and designing the new table of contents. The new edition will not see a revolution in the presentation of the material but rather a more mature perspective on what matters most in statistical simulation:

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