## Burnin…

Posted in Books, Kids, pictures with tags , , , , , , on November 15, 2021 by xi'an

## continuous herded Gibbs sampling

Posted in Books, pictures, Statistics with tags , , , , , , , , on June 28, 2021 by xi'an

Read a short paper by Laura Wolf and Marcus Baum on Gibbs herding, where herding is a technique of “deterministic sampling”, for instance selecting points over the support of the distribution by matching exact and empirical (or “empirical”!) moments. Which reminds me of the principal points devised by my late friend Bernhard Flury. With an unclear argument as to why it could take over random sampling:

“random numbers are often generated by pseudo-random number generators, hence are not truly random”

Especially since the aim is to “draw samples from continuous multivariate probability densities.” The sequential construction of such a sample proceeds sequentially by adding a new (T+1)-th point to the existing sample of y’s by maximising in x the discrepancy

$(T+1)\mathbb E^Y[k(x,Y)]-\sum_{t=1}^T k(x,y_t)$

where k(·,·) is a kernel, e.g. a Gaussian density. Hence a complexity that grows as O(T). The current paper suggests using Gibbs “sampling” to update one component of x at a time. Using the conditional version of the above discrepancy. Making the complexity grow as O(dT) in d dimensions.

I remain puzzled by the whole thing as these samples cannot be used as regular random or quasi-random samples. And in particular do not produce unbiased estimators of anything. Obviously. The production of such samples being furthermore computationally costly it is also unclear to me that they could even be used for quick & dirty approximations of a target sample.

## northern gannets rock

Posted in Kids, pictures, Travel with tags , , , , , , , , , , , on May 9, 2021 by xi'an

## The Quaker [book review]

Posted in Books, Travel with tags , , , , , , , , , , , , on February 6, 2021 by xi'an

I ordered The Quaker, a book by Liam McIlvanney mostly because Liam is the son of WIlliam McIlvanney, whose Glasgow’s Laidlaw trilogy I found stunning. I was intrigued by the attempt at following in his father’s Tartan Noir steps. To make the link stronger this book won the 2018 (William) McIlvanney Prize for crime book! While there are many similarities between the stories, if only because they both take place in Glasgow in the 1960’s, where slums were gradually demolished to become high rises (themselves demolished much later in one of Ian Rankin’s stories, if in Edinburgh), where the police was partly corrupted by local gangsters, and where (im- and e-) migration was spinning the demographics of the city, the styles are different and The Quaker does not read as a clever pastiche. It is definitely a unique and brilliant book, from the vivid depiction of the Glasgow of these times (possibly helped by the fact that many locations were familiar to me from my several visits at the University of Glasgow), to the pretty convincing plot, to the psychological depths of many (male) characters. The women in the story are indeed mostly victims of the serial killer or witnesses, possibly towards reflecting the state of gender inequality in the 1960’s (as far as I remember there were more women at the fore in WIlliam’s books), with the inclusion of a victim of the Magdalene asylums. The outlying nature of the main detective is another feature common to father and son: while McCormack does not carry philosophy books to work, he remains apart from the other detectives, including a secret that threatens both the case and his career.

## no haggis for Burns night!

Posted in Statistics with tags , , , , , , , , , , , , , , , on January 25, 2021 by xi'an