Archive for pre-processing

indecent exposure

Posted in Statistics with tags , , , , , , , , , , , , on July 27, 2018 by xi'an

While attending my last session at MCqMC 2018, in Rennes, before taking a train back to Paris, I was confronted by this radical opinion upon our previous work with Matt Moores (Warwick) and other coauthors from QUT, where the speaker, Maksym Byshkin from Lugano, defended a new approach for maximum likelihood estimation using novel MCMC methods. Based on the point fixe equation characterising maximum likelihood estimators for exponential families, when theoretical and empirical moments of the natural statistic are equal. Using a Markov chain with stationary distribution the said exponential family, the fixed point equation can be turned into a zero divergence equation, requiring simulation of pseudo-data from the model, which depends on the unknown parameter. Breaking this circular argument, the authors note that simulating pseudo-data that reproduce the observed value of the sufficient statistic is enough. Which is related with Geyer and Thomson (1992) famous paper about Monte Carlo maximum likelihood estimation. From there I was and remain lost as I cannot see why a derivative of the expected divergence with respect to the parameter θ can be computed when this divergence is found by Monte Carlo rather than exhaustive enumeration. And later used in a stochastic gradient move on the parameter θ… Especially when the null divergence is imposed on the parameter. In any case, the final slide shows an application to a large image and an Ising model, solving the problem (?) in 140 seconds and suggesting indecency, when our much slower approach is intended to produce a complete posterior simulation in this context.