reading classics (The End)

Today was the final session of our Reading Classics Seminar for the academic year 2014-2015. I have not reported on this seminar much so far because it has had starting problems, namely hardly any student present on the first classes and therefore several re-starts until we reached a small group of interested students. And this is truly The End for this enjoyable experiment as this is the final year for my TSI Master at Paris-Dauphine, as it will become integrated within the new MASH Master next year.

As a last presentation for the entire series, my student picked John Skilling’s Nested Sampling, not that it was in my list of “classics”, but he had worked on the paper in a summer project and was thus reasonably fluent with the topic. As he did a good enough job (!), here are his slides.

Some of the questions that came to me during the talk were on how to run nested sampling sequentially, both in the data and in the number of simulated points, and on incorporating more deterministic moves in order to remove some of the Monte Carlo variability. I was about to ask about (!) the Hamiltonian version of nested sampling but then he mentioned his last summer internship on this very topic! I also realised during that talk that the formula (for positive random variables)

does not require absolute continuity of the distribution F.

reading classics (#1,2)

Today was the second session of our Reading Classics Seminar for the academic year 2014-2015. I have not reported on this seminar so far because it has had starting problems, namely hardly any student present on the first classes and therefore several re-starts until we reach a small group of interested students. Actually, this is the final year for my TSI Master at Paris-Dauphine, as it will become integrated within the new MASH Master next year. The latter started this year and drew away half of our potential applicants, presumably because of the wider spectrum between machine-learning, optimisation, programming and a tiny bit of statistics… If we manage to salvage [within the new Master] our speciality of offering the only Bayesian Statistics training in France, this will not be a complete disaster!

Anyway, the first seminar was about the great 1939 Biometrika paper by Pitman about the best invariant estimator appearing magically as a Bayes estimator! Alas, the student did not grasp the invariance part and hence focussed on less relevant technical parts, which was not a great experience (and therefore led me to abstain from posting the slides here). The second paper was not on my list but was proposed by another student as of yesterday when he realised he was to present today! This paper, entitled “The Counter-intuitive Non-informative Prior for the Bernoulli Family”, was published in the Journal of Statistics Education in 2004 by Zu and Liu, I had not heard of the paper (or of the journal) previously and I do not think it is worth advertising any further as it gives a very poor entry to non-informative priors in the simplest of settings, namely for Bernoulli B(p) observations. Indeed, the stance of the paper is to define a non-informative prior as one returning the MLE of p as its posterior expectation (missing altogether the facts that such a definition is parameterisation-invariant and that, given the modal nature of the MLE, a posterior mode would be much more appropriate, leading to the uniform prior of p as a solution) and that the corresponding prior was made of two Dirac masses at 0 and 1! Which again misses several key points like defining properly convergence in a space of probability distributions and using an improper prior differently from a proper prior. Esp. since in the next section, the authors switch to Haldane’s prior being the Be(0,0) distribution..! A prior that cannot be used since the posterior is not defined when all the observations are identical. Certainly not a paper to make it to the list! (My student simply pasted pages from this paper as his slides and so I see again no point in reposting them here. )

back in Gainesville (FL)

 

Today, I am flying to Gainesville, Florida, for the rest of the week, to give a couple of lectures. More precisely, I have actually been nominated the 2014 Challis lecturer by the Department of Statistics there, following an impressive series of top statisticians (most of them close friends, is there a correlation there?!). I am quite excited to meet again with old friends and to be back at George’s University, if only for a little less than three days. (There is a certain trend in those Fall trips as I have been going for a few days and two talks to the USA or Canada for the past three Falls: to Ames and Chicago in 2012, to Pittsburgh (CMU) and Toronto in 2013…)

methods for quantifying conflict casualties in Syria

On Monday November 17, 11am, Amphi 10, Université Paris-Dauphine,  Rebecca Steorts from CMU will give a talk at the GT Statistique et imagerie seminar:

Information about social entities is often spread across multiple large databases, each degraded by noise, and without unique identifiers shared across databases.Entity resolution—reconstructing the actual entities and their attributes—is essential to using big data and is challenging not only for inference but also for computation.

In this talk, I motivate entity resolution by the current conflict in Syria. It has been tremendously well documented, however, we still do not know how many people have been killed from conflict-related violence. We describe a novel approach towards estimating death counts in Syria and challenges that are unique to this database. We first introduce computational speed-ups to avoid all-to-all record comparisons based upon locality-sensitive hashing from the computer science literature. We then introduce a novel approach to entity resolution by discovering a bipartite graph, which links manifest records to a common set of latent entities. Our model quantifies the uncertainty in the inference and propagates this uncertainty into subsequent analyses. Finally, we speak to the success and challenges of solving a problem that is at the forefront of national headlines and news.

This is joint work with Rob Hall (Etsy), Steve Fienberg (CMU), and Anshu Shrivastava (Cornell University).

[Note that Rebecca will visit the maths department in Paris-Dauphine for two weeks and give a short course in our data science Master on data confidentiality, privacy and statistical disclosure (syllabus).]

up [and down] Pöstlingberg

Early morning today, following my Linz guests’ advice, I went running towards the top of Pöstlingberg, a hill 250m over Linz and the Danube river. A perfect beacon thus avoiding wrong turns and extra-mileage, but still a wee climb on a steep path for the last part. The reward of the view from the top was definitely worth the [mild] effort and I even had enough time to enjoy a good Austrian breakfast before my ABC talk…

last Big MC [seminar] before summer [June 19, 3pm]

Last session of our Big’MC seminar at Institut Henri Poincaré this year, on Tuesday Thursday, June 19, with

Chris Holmes (Oxford) at 3pm on

Robust statistical decisions via re-weighted Monte Carlo samples

and Pierre Pudlo (iC3M, Université de Montpellier 2) at 4:15pm on [our joint work]

ABC and machine learning

big’MC’minar next week

The next big’MC seminar in Paris will be delivered on Thursday, May 15, by

15 h : Luke Bornn, Towards the Derandomization of Markov chain Monte Carlo

16 h 15 : Pierre Jacob, On exact inference and unbiased estimation 

see the seminar webpage for more details. And make sure to attend if in or near Paris! It is definitely big and MC. Most sadly (for us!), Chris Holmes will give a Smile (Statistical machine learning) seminar at the very same time a few streets away…  At least, we can conveniently meet right after for a drink!