Archive for Statisfaction

Path storage in the particle filter

Posted in Books, Kids, Statistics, Travel, University life with tags , , , , , , on July 24, 2013 by xi'an

IMG_0324In the train to Annecy, I read the recently arXived paper by my former PhD student Pierre Jacob (now at NUS), along with Lawrence Murray (Perth), and Sylvain Rubenthaler (Nice), where they obtain precise degeneracy rates of the regular particle filter applied to hidden Markov models with a compact observation space, precise enough to consider storing the entire paths at a linear occupancy rate. Interestingly, the distance to the most common ancestor is of order N log N, if N is the number of particles. And the number of nodes is O(N log N) as well. This means indeed that the whole paths can be stored, which offers a lot of potential in terms of Rao-Blackwellisation and parallelisation. I was first bemused by a silly misunderstanding about the purpose of the algorithm: it is directed at inference at the current time index, not over the whole past and not over the parameters of the model for, else how could we consider the algorithm has converged when it degenerates to a single path at some finite horizon the past? Pierre has also written a further comment of the paper on Statistfaction.

#2 blog for the statistics geek?!

Posted in Uncategorized with tags , , , , , on January 24, 2011 by xi'an

Julien pointed out to me that the ‘Og was #2 in this list of “40 fascinating blogs for the ultimate statistics geek“… Dunno how to take it! I also note Statisfaction ranked as #4 and Freakanometrics as #5, which sounds like the ranking is a wee haphazard, the latter blog having at least four times as much trafffic as the ‘Og and focussing solely on statistics, acturial science, R programming, and related scientific questions! (Still, verrry nice to make it to a list!)

Statisfaction

Posted in R, Statistics, University life with tags , , , on September 3, 2010 by xi'an

A collective blog has been started by the statistics students and postdocs at CREST, in the wake of the Valencia meeting. It is called Statisfaction. (The Rolling Stones of Statistics?! Actually, Andrew Gelman also has a post with that title… And it is even part of the Urban Dictionnary!) Since I have no responsability nor even say in the contents of this independent blog, I cannot help but recommend following it! The latest posting is about the slides of Peter Müller’s slides of his Santa Cruz course in Bayesian nonparametrics being available on line.