## Monte Carlo Markov chains

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , , on May 12, 2020 by xi'an

Darren Wraith pointed out this (currently free access) Springer book by Massimiliano Bonamente [whose family name means good spirit in Italian] to me for its use of the unusual Monte Carlo Markov chain rendering of MCMC.  (Google Trend seems to restrict its use to California!) This is a graduate text for physicists, but one could nonetheless expect more rigour in the processing of the topics. Particularly of the Bayesian topics. Here is a pot-pourri of memorable quotes:

“Two major avenues are available for the assignment of probabilities. One is based on the repetition of the experiments a large number of times under the same conditions, and goes under the name of the frequentist or classical method. The other is based on a more theoretical knowledge of the experiment, but without the experimental requirement, and is referred to as the Bayesian approach.”

“The Bayesian probability is assigned based on a quantitative understanding of the nature of the experiment, and in accord with the Kolmogorov axioms. It is sometimes referred to as empirical probability, in recognition of the fact that sometimes the probability of an event is assigned based upon a practical knowledge of the experiment, although without the classical requirement of repeating the experiment for a large number of times. This method is named after the Rev. Thomas Bayes, who pioneered the development of the theory of probability.”

“The likelihood P(B/A) represents the probability of making the measurement B given that the model A is a correct description of the experiment.”

“…a uniform distribution is normally the logical assumption in the absence of other information.”

“The Gaussian distribution can be considered as a special case of the binomial, when the number of tries is sufficiently large.”

“This clearly does not mean that the Poisson distribution has no variance—in that case, it would not be a random variable!”

“The method of moments therefore returns unbiased estimates for the mean and variance of every distribution in the case of a large number of measurements.”

“The great advantage of the Gibbs sampler is the fact that the acceptance is 100 %, since there is no rejection of candidates for the Markov chain, unlike the case of the Metropolis–Hastings algorithm.”

Let me then point out (or just whine about!) the book using “statistical independence” for plain independence, the use of / rather than Jeffreys’ | for conditioning (and sometimes forgetting \ in some LaTeX formulas), the confusion between events and random variables, esp. when computing the posterior distribution, between models and parameter values, the reliance on discrete probability for continuous settings, as in the Markov chain chapter, confusing density and probability, using Mendel’s pea data without mentioning the unlikely fit to the expected values (or, as put more subtly by Fisher (1936), “the data of most, if not all, of the experiments have been falsified so as to agree closely with Mendel’s expectations”), presenting Fisher’s and Anderson’s Iris data [a motive for rejection when George was JASA editor!] as a “a new classic experiment”, mentioning Pearson but not Lee for the data in the 1903 Biometrika paper “On the laws of inheritance in man” (and woman!), and not accounting for the discrete nature of this data in the linear regression chapter, the three page derivation of the Gaussian distribution from a Taylor expansion of the Binomial pmf obtained by differentiating in the integer argument, spending endless pages on deriving standard properties of classical distributions, this appalling mess of adding over the conditioning atoms with no normalisation in a Poisson experiment

$P(X=4|\mu=0,1,2) = \sum_{\mu=0}^2 \frac{\mu^4}{4!}\exp\{-\mu\}$,

botching the proof of the CLT, which is treated before the Law of Large Numbers, restricting maximum likelihood estimation to the Gaussian and Poisson cases and muddling its meaning by discussing unbiasedness, confusing a drifted Poisson random variable with a drift on its parameter, as well as using the pmf of the Poisson to define an area under the curve (Fig. 5.2), sweeping the improperty of a constant prior under the carpet, defining a null hypothesis as a range of values for a summary statistic, no mention of Bayesian perspectives in the hypothesis testing, model comparison, and regression chapters, having one-dimensional case chapters followed by two-dimensional case chapters, reducing model comparison to the use of the Kolmogorov-Smirnov test, processing bootstrap and jackknife in the Monte Carlo chapter without a mention of importance sampling, stating recurrence results without assuming irreducibility, motivating MCMC by the intractability of the evidence, resorting to the term link to designate the current value of a Markov chain, incorporating the need for a prior distribution in a terrible description of the Metropolis-Hastings algorithm, including a discrete proof for its stationarity, spending many pages on early 1990’s MCMC convergence tests rather than discussing the adaptive scaling of proposal distributions, the inclusion of numerical tables [in a 2017 book] and turning Bayes (1763) into Bayes and Price (1763), or Student (1908) into Gosset (1908).

[Usual disclaimer about potential self-plagiarism: this post or an edited version of it could possibly appear later in my Books Review section in CHANCE. Unlikely, though!]

## the sky that would not rise [film review]

Posted in Books, Kids, pictures, Travel with tags , , , , , , , , , on December 31, 2019 by xi'an

My 2019 end-of-the-year-movie-with-my-grownup-kids was the final Star Wars episode, Star Wars: The Rise of Skywalker, watched in a quasi-empty theatre with mostly young kids… Surprisingly no one left before the end, which frankly did not come soon enough! The three of us agreed on the appalling conclusion to the trilogy, which recycles about every possible trope from the first series, from the generation antagonism to the endless battle calls and boring space battle scenes (although including an extra that reminded me of the ludicrous first appearance of Radagast the Brown in The Hobbit!), to the compulsory bar scene where some character is faced with some unsavoury past, to a complete disdain for the most basic laws of physics (and swordplay), to humongous snakes that live out of nothing, and cannot produce anything even moderately new in its scenario, recycling an amazing portion of scenes with Carrie Fisher (who died in 2016) as well as involving about every possible former actor. (I am surprised they did not dig Yoda, must have forgotten where the box with his costume was!) The dialogues are incredibly poor and dull, even R2D2’s, there is no meaningful dimension in the relations between the actors, who even more than usual end up focusing on single-minded objectives rather than keeping the larger picture in sight (well-done, General!), and the final scene that relates to the early ones of the 1977 movie with a binary sunset over the Tatooine desert is unbelievably heavy handed. (The picture of R2D2 and C3PO above is taken from a exhibit by Laurent Pons  in Paris, where he included some Star Wars characters in iconic Parisian locations.) May the Force be gone once and for good!

## convergence of MCMC

Posted in Statistics with tags , , , , , , , , , on June 16, 2017 by xi'an

Michael Betancourt just posted on arXiv an historical  review piece on the convergence of MCMC, with a physical perspective.

“The success of these of Markov chain Monte Carlo, however, contributed to its own demise.”

The discourse proceeds through augmented [reality!] versions of MCMC algorithms taking advantage of the shape and nature of the target distribution, like Langevin diffusions [which cannot be simulated directly and exactly at the same time] in statistics and molecular dynamics in physics. (Which reminded me of the two parallel threads at the ICMS workshop we had a few years ago.) Merging into hybrid Monte Carlo, morphing into Hamiltonian Monte Carlo under the quills of Radford Neal and David MacKay in the 1990’s. It is a short entry (and so is this post), with some background already well-known to the community, but it nonetheless provides a perspective and references rarely mentioned in statistics.

## melting hot!

Posted in Kids, pictures, Travel with tags , , , , on September 29, 2015 by xi'an

Despite majoring in her Physics class last year, my daughter forgot that microwaves are not very friendly to metal objects. Like this coffee tumbler I had brought back from Seattle, albeit not from Starbucks. The plastic part melted really well, even though the microwave oven resisted the experiment… And the coffee inside as well.

## Statistics done wrong [book review]

Posted in Books, Kids, pictures, Statistics, University life with tags , , , , , , , , , on March 16, 2015 by xi'an

no starch press (!) sent me the pdf version of this incoming book, Statistics done wrong, by Alex Reinhart, towards writing a book review for CHANCE, and I read it over two flights, one from Montpellier to Paris last week, and from Paris to B’ham this morning. The book is due to appear on March 16. It expands on a still existing website developed by Reinhart. (Discussed a year or so away on Andrew’s blog, most in comments, witness Andrew’s comment below.) Reinhart who is, incidentally or not, is a PhD candidate in statistics at Carnegie Mellon University. After apparently a rather consequent undergraduate foray into physics. Quite an unusual level of maturity and perspective for a PhD student..!

“It’s hard for me to evaluate because I am so close to the material. But on first glance it looks pretty reasonable to me.” A. Gelman

Overall, I found myself enjoying reading the book, even though I found the overall picture of the infinitely many mis-uses of statistics rather grim and a recipe for despairing of ever setting things straight..! Somehow, this is an anti-textbook, in that it warns about many ways of applying the right statistical technique in the wrong setting, without ever describing those statistical techniques. Actually without using a single maths equation. Which should be a reason good enough for me to let all hell break loose on that book! But, no, not really, I felt no compunction about agreeing with Reinhart’s warning and if you have reading Andrew’s blog for a while you should feel the same…

“Then again for a symptom like spontaneous human combustion you might get excited about any improvement.” A. Reinhart (p.13)

Maybe the limitation in the exercise is that statistics appears so much fraught with dangers of over-interpretation and false positive and that everyone (except physicists!) is bound to make such invalidated leaps in conclusion, willingly or not, that it sounds like the statistical side of Gödel’s impossibility theorem! Further, the book moves from recommendation at the individual level, i.e., on how one should conduct an experiment and separate data for hypothesis building from data for hypothesis testing, to a universal criticism of the poor standards of scientific publishing and the unavailability of most datasets and codes. Hence calling for universal reproducibility protocols that reminded of the directions explored in this recent book I reviewed on that topic. (The one the rogue bird did not like.) It may be missing on the bright side of things, for instance the wonderful possibility to use statistical models to produce simulated datasets that allow for an evaluation of the performances of a given procedure in the ideal setting. Which would have helped the increasingly depressed reader in finding ways of checking how wrongs things could get..! But also on the dark side, as it does not say much about the fact that a statistical model is most presumably wrong. (Maybe a physicist’s idiosyncrasy!) There is a chapter entitled Model Abuse, but all it does is criticise stepwise regression and somehow botches the description of Simpson’s paradox.

“You can likely get good advice in exchange for some chocolates or a beer or perhaps coauthorship on your next paper.” A. Reinhart (p.127)

The final pages are however quite redeeming in that they acknowledge that scientists from other fields cannot afford a solid enough training in statistics and hence should hire statisticians as consultants for the data collection, analysis and interpretation of their experiments. A most reasonable recommendation!