## estimating mixtures by polynomials

Posted in Books, Statistics, University life with tags , , , , , , , on April 7, 2016 by xi'an

Sida Wang, Arun Tejasvi, and Chaganty Percy Liang have just arXived a paper about using the method of moments to estimate mixtures of distributions. Method that was introduced (?) by Pearson in 1894 for a Gaussian mixture and crab data. And studied in fair details by Bruce Lindsay and his co-authors, including his book, which makes it the more surprising that Bruce’s work is not mentioned at all in the paper. In particular the 1989 Annals of Statistics paper which connects the number of components with the rank of a moment matrix in exponential family and which made a strong impression on me at the time, just when I was starting to work on mixtures. The current paper addresses more specifically the combinatoric difficulty of solving the moment equation. The solution proceeds via a relaxed convex optimisation problem involving a moment matrix, the relaxation removing the rank condition that identifies the parameters of the mixture. While I am no expert in the resolution of the associated eigenvalue problem (Algorithm 1), I wonder at (i) the existence and convergence of a solution when using empirical moments. And (ii) the impact of the choice of the moment equations, on both existence and efficiency of the moment method. It is clearly not invariant by reparameterisation, hence parameterisation matters. It is even unclear to me how many terms should be used in the resolution: if a single dimension is acceptable, determining this dimension may prove a complex issue.

## Bayes at the Bac’ [again]

Posted in Kids, Statistics with tags , , , , , , , , on June 19, 2014 by xi'an

When my son took the mathematics exam of the baccalauréat a few years ago, the probability problem was a straightforward application of Bayes’ theorem.  (Problem which was later cancelled due to a minor leak…) Surprise, surprise, Bayes is back this year for my daughter’s exam. Once again, the topic is a pharmaceutical lab with a test, test with different positive rates on two populations (healthy vs. sick), and the very basic question is to derive the probability that a person is sick given the test is positive. Then a (predictable) application of the CLT-based confidence interval on a binomial proportion. And the derivation of a normal confidence interval, once again compounded by  a CLT-based confidence interval on a binomial proportion… Fairly straightforward with no combinatoric difficulty.

The other problems were on (a) a sequence defined by the integral

$\int_0^1 (x+e^{-nx})\text{d}x$

(b) solving the equation

$z^4+4z^2+16=0$

in the complex plane and (c) Cartesian 2-D and 3-D geometry, again avoiding abstruse geometric questions… A rather conventional exam from my biased perspective.

## non-stationary AR(10)

Posted in Books, R, Statistics, University life with tags , , , , , on January 19, 2012 by xi'an

In the revision of Bayesian Core on which Jean-Michel Marin and I worked together most of last week, having missed our CIRM break last summer (!), we have now included an illustration of what happens to an AR(p) time series when the customary stationarity+causality condition on the roots of the associated polynomial is not satisfied.  More specifically, we generated several time-series with the same underlying white noise and random coefficients that have a fair chance of providing non-stationary series and then plotted the 260 next steps of the series by the R code

p=10
T=260
dat=seri=rnorm(T) #white noise

par(mfrow=c(2,2),mar=c(2,2,1,1))
for (i in 1:4){
coef=runif(p,min=-.5,max=.5)
for (t in ((p+1):T))
seri[t]=sum(coef*seri[(t-p):(t-1)])+dat[t]
plot(seri,ty="l",lwd=2,ylab="")
}

leading to outputs like the following one