Archive for Springer-Verlag

free Springer textbooks [incl. Bayesian essentials]

Posted in Statistics with tags , , , , , , , , , on May 4, 2020 by xi'an

EntropyMCMC [R package]

Posted in Statistics with tags , , , , , , , , , , , , on March 26, 2019 by xi'an

My colleague from the Université d’Orléans, Didier Chauveau, has just published on CRAN a new R package called EntropyMCMC, which contains convergence assessment tools for MCMC algorithms, based on non-parametric estimates of the Kullback-Leibler divergence between current distribution and target. (A while ago, quite a while ago!, we actually collaborated with a few others on the Springer-Verlag Lecture Note #135 Discretization and MCMC convergence assessments.) This follows from a series of papers by Didier Chauveau and Pierre Vandekerkhove that started with a nearest neighbour entropy estimate. The evaluation of this entropy is based on N iid (parallel) chains, which involves a parallel implementation. While the missing normalising constant is overwhelmingly unknown, the authors this is not a major issue “since we are mostly interested in the stabilization” of the entropy distance. Or in the comparison of two MCMC algorithms. [Disclaimer: I have not experimented with the package so far, hence cannot vouch for its performances over large dimensions or problematic targets, but would as usual welcome comments and feedback on readers’ experiences.]

independent random sampling methods [book review]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on May 16, 2018 by xi'an

Last week, I had the pleasant surprise to receive a copy of this book in the mail. Book that I was not aware had been written or published (meaning that I was not involved in its review!). The three authors, Luca Martino, David Luengo, and Joaquín Míguez, of Independent Random Sampling Methods are from Madrid universities and I have read (and posted on) several of their papers on (population) Monte Carlo simulation in the recent years. Including Luca’s survey of multiple try MCMC which was helpful in writing our WIREs own survey.

The book is a pedagogical coverage of most algorithms used to simulate independent samples from a given distribution, which of course recoups some of the techniques exposed with more details by [another] Luc, namely Luc Devroye’s Non-uniform random variate generation bible, often mentioned here (and studied in uttermost details by a dedicated reading group in Warwick). It includes a whole chapter on accept-reject methods, with in particular a section on Payne-Dagpunar’s band rejection I had not seen previously. And another entire chapter on ratio-of-uniforms techniques. On which the three authors had proposed generalisations [covered by the book], years before I attempted to go the same way, having completely forgotten reading their paper at the time… Or the much earlier 1991 paper by Jon Wakefield, Alan Gelfand and Adrian Smith!

The book also covers the “vertical density representation”, due to Troutt (1991), which consists in considering the distribution of the density p(.) of the random variable X as a random variable, p(X). I remember pondering about this alternative to the cdf transform and giving up on it as the outcome has a distribution depending on p, even when the density is monotonous. Even though I am not certain from reading the section that this is particularly appealing…

Given its title, the book contains very little about MCMC. Except for a last and final chapter that covers adaptive independent Metropolis-Hastings algorithms, in connection with some of the authors’ recent work. Like multiple try Metropolis. Relating to the (unidimensional) ARMS “ancestor” of adaptive MCMC methods. (As noted in a recent blog on Holden et al., 2009 , I have trouble understanding how recycling only rejected proposed values to build a better proposal distribution is enough to guarantee convergence of an adaptive algorithm, but the book does not delve much into this convergence.)

All in all and with the bias induced by me working in the very area, I find the book quite a nice entry on the topic, which can be used in a Monte Carlo course at both undergraduate and graduate levels if one want to avoid going into Markov chains. It is certainly less likely to scare students away than the comprehensive Non-uniform random variate generation and on the opposite may induce some of them to pursue a research career in this domain.

Springer no more!

Posted in Books, Kids, Statistics, University life with tags , , , , , on April 4, 2018 by xi'an

Just learned that, starting from tomorrow night, I will not have access to any of the Springer journals, as the negotiations between the consortium of French universities, research institutes, higher educations schools, and museums, failed. The commercial published refusing to stem the ever increasing fees, while happily taking in the fast increasing open access fees it pressures from authors, a unique example of triple taxation (researchers’ salaries, open access duties, and enormous non-negotiable subscription rates for the whole package of journals)… Following their German counterparts. Well, this is an opportunity for the boards of all these journals to withdraw and create the phantom version of their formal journal, evaluating and reviewing papers already available on arXiv! And I should definitely get my acts together, rise from my winter-is-coming lethargy, and launch PCI Comput Stat now!!!

Statistics & Computing [toc]

Posted in Books, Statistics with tags , , , , on June 29, 2016 by xi'an

6The latest [June] issue of Statistics & Computing is full of interesting Bayesian and Monte Carlo entries, some of which are even open access!