Archive for San Francisco

unmistakable hints of being in the US

Posted in pictures, Travel with tags , , , , , , , , on August 27, 2016 by xi'an

ABC by subset simulation

Posted in Books, Statistics, Travel with tags , , , , , , , , , on August 25, 2016 by xi'an

Last week, Vakilzadeh, Beck and Abrahamsson arXived a paper entitled “Using Approximate Bayesian Computation by Subset Simulation for Efficient Posterior Assessment of Dynamic State-Space Model Classes”. It follows an earlier paper by Beck and co-authors on ABC by subset simulation, paper that I did not read. The model of interest is a hidden Markov model with continuous components and covariates (input), e.g. a stochastic volatility model. There is however a catch in the definition of the model, namely that the observable part of the HMM includes an extra measurement error term linked with the tolerance level of the ABC algorithm. Error term that is dependent across time, the vector of errors being within a ball of radius ε. This reminds me of noisy ABC, obviously (and as acknowledged by the authors), but also of some ABC developments of Ajay Jasra and co-authors. Indeed, as in those papers, Vakilzadeh et al. use the raw data sequence to compute their tolerance neighbourhoods, which obviously bypasses the selection of a summary statistic [vector] but also may drown signal under noise for long enough series.

“In this study, we show that formulating a dynamical system as a general hierarchical state-space model enables us to independently estimate the model evidence for each model class.”

Subset simulation is a nested technique that produces a sequence of nested balls (and related tolerances) such that the conditional probability to be in the next ball given the previous one remains large enough. Requiring a new round of simulation each time. This is somewhat reminding me of nested sampling, even though the two methods differ. For subset simulation, estimating the level probabilities means that there also exists a converging (and even unbiased!) estimator for the evidence associated with different tolerance levels. Which is not a particularly natural object unless one wants to turn it into a tolerance selection principle, which would be quite a novel perspective. But not one adopted in the paper, seemingly. Given that the application section truly compares models I must have missed something there. (Blame the long flight from San Francisco to Sydney!) Interestingly, the different models as in Table 4 relate to different tolerance levels, which may be an hindrance for the overall validation of the method.

I find the subsequent part on getting rid of uncertain prediction error model parameters of lesser [personal] interest as it essentially replaces the marginal posterior on the parameters of interest by a BIC approximation, with the unsurprising conclusion that “the prior distribution of the nuisance parameter cancels out”.

off to Australia

Posted in pictures, Statistics, Travel, University life, Wines with tags , , , , , , , , , on August 22, 2016 by xi'an

south bank of the Yarra river, Melbourne, July 21, 2012Taking advantage of being in San Francisco, I flew yesterday to Australia over the Pacific, crossing for the first time the day line. The 15 hour Qantas flight to Sydney was remarkably smooth and quiet, with most passengers sleeping for most of the way, and it gave me a great opportunity to go over several papers I wanted to read and review. Over the next week or so, I will work with my friends and co-authors David Frazier and Gael Martin at Monash University (and undoubtedly enjoy the great food and wine scene!). Before flying back to Paris (alas via San Francisco rather than direct).

San Francisco [escape route]

Posted in Kids, pictures, Running, Travel with tags , , , , on August 8, 2016 by xi'an

San Francisco ½ marathon [1:26:32 – 15/7533]

Posted in Kids, Running, Travel with tags , , , , , , , , on August 2, 2016 by xi'an

Just completed the 2016 San Francisco ½ marathon. And this despite Air France’s best efforts to keep me out of it (and thanks to my son!), a long flight and hardly any sleep before the 5:30am start. This is the most brutal, unforgiving, relentless ½ I ever ran, with a significant positive differential of more than 700 feet (215 meters) and according to other runners with tracking devices possibly 0.3 miles extra (close to 500 meters). And fierce winds on the Golden Gate Bridge, both ways! So I am utterly flabbergasted by the outcome, which sees me arriving 15th altogether and first in the over 50 group [and third French!]… race_2167_photo_39804811Even though I presume the training for Monte Rosa, the (unsuccessful) attempt at Monte Rosa, and the additional bike rides the previous month helped, although I did very little speed sessions. The race got hard the moment we started climbing, first a little hill near Fort Mason, then the slope to the bridge that truly slowed me down. Crossing the Golden Gate Bridge both ways was exhilarating, although I could not see one pile from the previous one, being in a cloud the whole time and Sun being not up yet. And although this section of the race was the most exposed, with no runner around to run in packs. Thankfully, there was one big downhill run around the 11th mile (that I passed in 1:11:11!) which helped me gaining back some time if no position, and facing the last climb, which seemed to last till the finish line in the Golden Gate Park… My overall time of 1:26:32 is surprising in itself if I account for the elevation: by Naismith’s rule, that would brings the time on a flat terrain under 1:20, a feat I only achieved once. And many other things are just weird in this race, from the 7500 runners I never saw, many of which finished over 4 hours, to the number of young winners (the third male runner is 17, the first female runner 20, a 14 year old came 22nd and even weirder the second female in the 5k is 8 year old!). And to the fact my ranking changed several times from 18th to 16th, 15th, 17th, and eventually 15th again.  [Congratulations to the organisers, by the way! The whole race was brilliantly organised with all kinds of amenities I had never seen before. And thanks to the supportive Erythrean taxi who took me from the airport and offered me a free ride back if I ended up in the top ten! It sounded like a joke at the time….]

off to Northern California

Posted in Kids, Mountains, pictures, Running, Travel, Wines with tags , , , , , , , , , , , , on July 30, 2016 by xi'an

San Francisco, Aug. 05, 2010Before attending MCqMC in Stanford in two weeks, I will take some vacations in Northern California [really North!] with my family. Starting with the San Francisco ½ marathon tomorrow. So expect delays [as we already got stuck six twenty-seven thirty hours in De Gaulle airport thanks to a strike!] and mostly non-statistical entries on the ‘Og. And pictures.

Art brut

Posted in pictures, Travel with tags , on October 3, 2010 by xi'an