Archive for Stanford University

MCqMC 2016 [#4]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 21, 2016 by xi'an

In his plenary talk this morning, Arnaud Doucet discussed the application of pseudo-marginal techniques to the latent variable models he has been investigating for many years. And its limiting behaviour towards efficiency, with the idea of introducing correlation in the estimation of the likelihood ratio. Reducing complexity from O(T²) to O(T√T). With the very surprising conclusion that the correlation must go to 1 at a precise rate to get this reduction, since perfect correlation would induce a bias. A massive piece of work, indeed!

The next session of the morning was another instance of conflicting talks and I hoped from one room to the next to listen to Hani Doss’s empirical Bayes estimation with intractable constants (where maybe SAME could be of interest), Youssef Marzouk’s transport maps for MCMC, which sounds like an attractive idea provided the construction of the map remains manageable, and Paul Russel’s adaptive importance sampling that somehow sounded connected with our population Monte Carlo approach. (With the additional step of considering transform maps.)

An interesting item of information I got from the final announcements at MCqMC 2016 just before heading to Monash, Melbourne, is that MCqMC 2018 will take place in the city of Rennes, Brittany, on July 2-6. Not only it is a nice location on its own, but it is most conveniently located in space and time to attend ISBA 2018 in Edinburgh the week after! Just moving from one Celtic city to another Celtic city. Along with other planned satellite workshops, this occurrence should make ISBA 2018 more attractive [if need be!] for participants from oversea.

MCqMC [#3]

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , on August 20, 2016 by xi'an

On Thursday, Christoph Aistleiter [from TU Gräz] gave a plenary talk at MCqMC 2016 around Hermann Weyl’s 1916 paper, Über die Gleichverteilung von Zahlen mod. Eins, which demonstrates that the sequence a, 22a, 32a, … mod 1 is uniformly distributed on the unit interval when a is irrational. Obviously, the notion was not introduced for simulation purposes, but the construction applies in this setting! At least in a theoretical sense. Since for instance the result that the sequence (a,a²,a³,…) mod 1 being uniformly distributed for almost all a’s has not yet found one realisation a. But a nice hour of history of mathematics and number theory: it is not that common we hear the Riemann zeta function mentioned in a simulation conference!

The following session was a nightmare in that I wanted to attend all four at once! I eventually chose the transport session, in particular because Xiao-Li advertised it at the end of my talk. The connection is that his warp bridge sampling technique provides a folding map between modes of a target. Using a mixture representation of the target and folding all components to a single distribution. Interestingly, this transformation does not require a partition and preserves the normalising constants [which has a side appeal for bridge sampling of course]. In a problem with an unknown number of modes, the technique could be completed by [our] folding in order to bring the unobserved modes into the support of the folded target. Looking forward the incoming paper! The last talk of this session was by Matti Vihola, connecting multi-level Monte Carlo and unbiased estimation à la Rhee and Glynn, paper that I missed when it got arXived last December.

The last session of the day was about probabilistic numerics. I have already discussed extensively about this approach to numerical integration, to the point of being invited to the NIPS workshop as a skeptic! But this was an interesting session, both with introductory aspects and with new ones from my viewpoint, especially Chris Oates’ description of a PN method for handling both integrand and integrating measure as being uncertain. Another arXival that went under my decidedly deficient radar.

MCqMC 2016 [#2]

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , on August 17, 2016 by xi'an

In her plenary talk this morning, Christine Lemieux discussed connections between quasi-Monte Carlo and copulas, covering a question I have been considering for a while. Namely, when provided with a (multivariate) joint cdf F, is there a generic way to invert a vector of uniforms [or quasi-uniforms] into a simulation from F? For Archimedian copulas (as we always can get back to copulas), there is a resolution by the Marshall-Olkin representation,  but this puts a restriction on the distributions F that can be considered. The session on synthetic likelihoods [as introduced by Simon Wood in 2010] put together by Scott Sisson was completely focussed on using normal approximations for the distribution of the vector of summary statistics, rather than the standard ABC non-parametric approximation. While there is a clear (?) advantage in using a normal pseudo-likelihood, since it stabilises with much less simulations than a non-parametric version, I find it difficult to compare both approaches, as they lead to different posterior distributions. In particular, I wonder at the impact of the dimension of the summary statistics on the approximation, in the sense that it is less and less likely that the joint is normal as this dimension increases. Whether this is damaging for the resulting inference is another issue, possibly handled by a supplementary ABC step that would take the first-step estimate as summary statistic. (As a side remark, I am intrigued at everyone being so concerned with unbiasedness of methods that are approximations with no assessment of the amount of approximation!) The last session of the day was about multimodality and MCMC solutions, with talks by Hyungsuk Tak, Pierre Jacob and Babak Shababa, plus mine. Hunsuk presented the RAM algorithm I discussed earlier under the title of “love-hate” algorithm, which was a kind reference to my post! (I remain puzzled by the ability of the algorithm to jump to another mode, given that the intermediary step aims at a low or even zero probability region with an infinite mass target.) And Pierre talked about using SMC for Wang-Landau algorithms, with a twist to the classical stochastic optimisation schedule that preserves convergence. And a terrific illustration on a distribution inspired from the Golden Gate Bridge that reminded me of my recent crossing! The discussion around my folded Markov chain talk focussed on the extension of the partition to more than two sets, the difficulty being in generating automated projections, with comments about connections with computer graphic tools. (Too bad that the parallel session saw talks by Mark Huber and Rémi Bardenet that I missed! Enjoying a terrific Burmese dinner with Rémi, Pierre and other friends also meant I could not post this entry on time for the customary 00:16. Not that it matters in the least…)

MCqMC 2016 acknowledgement

Posted in Statistics, Travel, University life with tags , , , , on August 1, 2016 by xi'an


Here is a very nice inclusion about the ‘Og by the organisers of MCqMC 2016.

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.

Large-scale Inference

Posted in Books, R, Statistics, University life with tags , , , , , , , , , , , , , , , on February 24, 2012 by xi'an

Large-scale Inference by Brad Efron is the first IMS Monograph in this new series, coordinated by David Cox and published by Cambridge University Press. Since I read this book immediately after Cox’ and Donnelly’s Principles of Applied Statistics, I was thinking of drawing a parallel between the two books. However, while none of them can be classified as textbooks [even though Efron’s has exercises], they differ very much in their intended audience and their purpose. As I wrote in the review of Principles of Applied Statistics, the book has an encompassing scope with the goal of covering all the methodological steps  required by a statistical study. In Large-scale Inference, Efron focus on empirical Bayes methodology for large-scale inference, by which he mostly means multiple testing (rather than, say, data mining). As a result, the book is centred on mathematical statistics and is more technical. (Which does not mean it less of an exciting read!) The book was recently reviewed by Jordi Prats for Significance. Akin to the previous reviewer, and unsurprisingly, I found the book nicely written, with a wealth of R (colour!) graphs (the R programs and dataset are available on Brad Efron’s home page).

I have perhaps abused the “mono” in monograph by featuring methods from my own work of the past decade.” (p.xi)

Sadly, I cannot remember if I read my first Efron’s paper via his 1977 introduction to the Stein phenomenon with Carl Morris in Pour la Science (the French translation of Scientific American) or through his 1983 Pour la Science paper with Persi Diaconis on computer intensive methods. (I would bet on the later though.) In any case, I certainly read a lot of the Efron’s papers on the Stein phenomenon during my thesis and it was thus with great pleasure that I saw he introduced empirical Bayes notions through the Stein phenomenon (Chapter 1). It actually took me a while but I eventually (by page 90) realised that empirical Bayes was a proper subtitle to Large-Scale Inference in that the large samples were giving some weight to the validation of empirical Bayes analyses. In the sense of reducing the importance of a genuine Bayesian modelling (even though I do not see why this genuine Bayesian modelling could not be implemented in the cases covered in the book).

Large N isn’t infinity and empirical Bayes isn’t Bayes.” (p.90)

The core of Large-scale Inference is multiple testing and the empirical Bayes justification/construction of Fdr’s (false discovery rates). Efron wrote more than a dozen papers on this topic, covered in the book and building on the groundbreaking and highly cited Series B 1995 paper by Benjamini and Hochberg. (In retrospect, it should have been a Read Paper and so was made a “retrospective read paper” by the Research Section of the RSS.) Frd are essentially posterior probabilities and therefore open to empirical Bayes approximations when priors are not selected. Before reaching the concept of Fdr’s in Chapter 4, Efron goes over earlier procedures for removing multiple testing biases. As shown by a section title (“Is FDR Control “Hypothesis Testing”?”, p.58), one major point in the book is that an Fdr is more of an estimation procedure than a significance-testing object. (This is not a surprise from a Bayesian perspective since the posterior probability is an estimate as well.)

Scientific applications of single-test theory most often suppose, or hope for rejection of the null hypothesis (…) Large-scale studies are usually carried out with the expectation that most of the N cases will accept the null hypothesis.” (p.89)

On the innovations proposed by Efron and described in Large-scale Inference, I particularly enjoyed the notions of local Fdrs in Chapter 5 (essentially pluggin posterior probabilities that a given observation stems from the null component of the mixture) and of the (Bayesian) improvement brought by empirical null estimation in Chapter 6 (“not something one estimates in classical hypothesis testing”, p.97) and the explanation for the inaccuracy of the bootstrap (which “stems from a simpler cause”, p.139), but found less crystal-clear the empirical evaluation of the accuracy of Fdr estimates (Chapter 7, ‘independence is only a dream”, p.113), maybe in relation with my early career inability to explain Morris’s (1983) correction for empirical Bayes confidence intervals (pp. 12-13). I also discovered the notion of enrichment in Chapter 9, with permutation tests resembling some low-key bootstrap, and multiclass models in Chapter 10, which appear as if they could benefit from a hierarchical Bayes perspective. The last chapter happily concludes with one of my preferred stories, namely the missing species problem (on which I hope to work this very Spring).

ABC on wordpress

Posted in R, Statistics, University life with tags , , , , on November 8, 2011 by xi'an

Erkan Buzbas sent me an email about his webpage (operated as a wordpress blog) on ABC. It contains different items of information on ABC research and an hopefully growing list of references. After Scott Sisson’s tweet on ABC_research (latest news: two ABC sessions in ISBA 20122, Kyoto),  here comes another way to keep posted about the on-going research in this area.


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