Archive for Université Paris Dauphine

computer strategies for complex Bayesian models

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , on July 18, 2016 by xi'an

frontThis is the cover page of Marco Banterle‘s thesis, who will defend on Thursday [July 21, 13:00], at a rather quiet time for French universities, which is one reason for advertising it here. The thesis is built around several of Marco’s papers, like delayed acceptance, dimension expansion, and Gaussian copula for graphical models. The defence is open to everyone, so feel free to join if near Paris-Dauphine!

congrats [x3]

Posted in Kids, pictures, University life with tags , , , , on July 7, 2016 by xi'an

This was a time for thrice celebrating here as, a few weeks ago, my daughter Rachel was admitted to her French medical school after successfully passing the deadly entrance exam, Ingmar Schuster defended his PhD, and Victor Elvira [currently visiting us in Dauphine] got a permanent academic position offer in Telecom-Lille. Congrats!!! [The posting was delayed until the position became official. In the French sense.]

the penalty method

Posted in Statistics, University life with tags , , , , , , , , , , on July 7, 2016 by xi'an

“In this paper we will make conceptually simple generalization of Metropolis algorithm, by adjusting the acceptance ratio formula so that the transition probabilities are unaffected by the fluctuations in the estimate of [the acceptance ratio]…”

Last Friday, in Paris-Dauphine, my PhD student Changye Wu showed me a paper of Ceperley and Dewing entitled the penalty method for random walks with uncertain energies. Of which I was unaware of (and which alas pre-dated a recent advance made by Changye).  Despite its physics connections, the paper is actually about estimating a Metropolis-Hastings acceptance ratio and correcting the Metropolis-Hastings move for this estimation. While there is no generic solution to this problem, assuming that the logarithm of the acceptance ratio estimate is Gaussian around the true log acceptance ratio (and hence unbiased) leads to a log-normal correction for the acceptance probability.

“Unfortunately there is a serious complication: the variance needed in the noise penalty is also unknown.”

Even when the Gaussian assumption is acceptable, there is a further issue with this approach, namely that it also depends on an unknown variance term. And replacing it with an estimate induces further bias. So it may be that this method has not met with many followers because of those two penalising factors. Despite precluding the pseudo-marginal approach of Mark Beaumont (2003) by a few years, with the later estimating separately numerator and denominator in the Metropolis-Hastings acceptance ratio. And hence being applicable in a much wider collection of cases. Although I wonder if some generic approaches like path sampling or the exchange algorithm could be applied on a generic basis… [I just realised the title could be confusing in relation with the current football competition!]

postdoc position in “data-driven social sciences” at Paris-Dauphine

Posted in Kids, Statistics, Travel, University life with tags , , , , , , on July 5, 2016 by xi'an

posdof

exam question

Posted in Kids, Statistics, University life with tags , , , , , , , , , on June 24, 2016 by xi'an

exo2A question for my third year statistics exam that I borrowed from Cross Validated: no student even attempted to solve this question…!

And another one borrowed from the highly popular post on the random variable [almost] always smaller than its mean!

afternoon on Bayesian computation

Posted in Statistics, Travel, University life with tags , , , , , , , , , , , , , on April 6, 2016 by xi'an

Richard Everitt organises an afternoon workshop on Bayesian computation in Reading, UK, on April 19, the day before the Estimating Constant workshop in Warwick, following a successful afternoon last year. Here is the programme:

1230-1315  Antonietta Mira, Università della Svizzera italiana
1315-1345  Ingmar Schuster, Université Paris-Dauphine
1345-1415  Francois-Xavier Briol, University of Warwick
1415-1445  Jack Baker, University of Lancaster
1445-1515  Alexander Mihailov, University of Reading
1515-1545  Coffee break
1545-1630  Arnaud Doucet, University of Oxford
1630-1700  Philip Maybank, University of Reading
1700-1730  Elske van der Vaart, University of Reading
1730-1800  Reham Badawy, Aston University
1815-late  Pub and food (SCR, UoR campus)

and the general abstract:

The Bayesian approach to statistical inference has seen major successes in the past twenty years, finding application in many areas of science, engineering, finance and elsewhere. The main drivers of these successes were developments in Monte Carlo methods and the wide availability of desktop computers. More recently, the use of standard Monte Carlo methods has become infeasible due the size and complexity of data now available. This has been countered by the development of next-generation Monte Carlo techniques, which are the topic of this meeting.

The meeting takes place in the Nike Lecture Theatre, Agriculture Building [building number 59].

gone banamaths!

Posted in pictures, University life with tags , , , , , on April 4, 2016 by xi'an

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