Archive for University of Warwick

importance tempering and variable selection

Posted in Books, Statistics with tags , , , , , , , , on November 6, 2018 by xi'an

As reading and commenting the importance tempering for variable selection paper by Giacomo Zanella (previously Warwick) and Gareth Roberts (Warwick) has been on my to-do list for quite a while, the fact that Giacomo presented this work at CIRM Bayesian Masterclass last week was the right nudge to write this post.

The starting point for the method is to simulate from a tempered version of a Gibbs sampler, selecting the component [of the parameter vector θ] according to an importance weight that is the inverse of the conditional posterior to the complementary power. That is, the inverse of the importance weight. This approach differs from classical (MCMC) tempering in that it does not target the original distribution. Hence it produces a weighted sample, whose computing time is of the order of the dimension of θ, even though the tempered simulation of a single conditional can reduce the variance of the estimator. The method is generalisable to any collection of one-component proposal/importance distributions, with the assumption that they have fatter tails that the true conditionals. The resulting Markov chain is reversible with respect to another stationary measure made of the original distribution multiplied by the normalisation factor of the importance weights but this ensures that weighted averages converge to the right quantity. Interestingly so because the powered conditionals are not necessarily coherent from a Gibbsic perspective.

The method is applied to Bayesian [spike-and-slab] variable selection of variables, the importance selection of a subset of covariates being restricted to changing one index at a time. I did not understand first how the computation of the normalising constant avoids involving 2-to-the-power-p terms until Giacomo explained to me that the constant was only computed for conditionals. The complexity gets down from O(|γ|²) to O(|γ|p), where |γ| is the number of variables. Another question I had was about the tempering power β, which selection remains a wee bit of an art!

position in acturial stats at Warwick

Posted in pictures, Statistics, Travel, University life with tags , , , , , , on October 30, 2018 by xi'an

The Department of Statistics at the University of Warwick is seeking to appoint an Associate Professor to teach on the actuarial curriculum of our degree courses and to lead on its development. It welcomes candidates with experience in Actuarial Science in the Higher Education sector or commercial actuarial roles. There are two options when applying for this vacancy as Associate Professor – the teaching focused career path or the research & teaching focused career path. Check the specifics on the University HR page. Deadline is November 30, 2018.

blood hunt [book review]

Posted in Books, University life with tags , , , , , , , , , , on October 28, 2018 by xi'an

I realised just lately that I had not read the early non-Rebus novels of Ian Rankin (written as Jack Harvey) and thus ordered cheap used copies of three of these, which waited for me on my (new) desk when I returned to Warwick. The first one I tried is Blood Hunt, a 1995 conspiracy novel that is so full of clichés that it feels like several volumes long..! I almost left it in the common room before heading back to Paris! To wit, a second-rate journalist is after a big international chemical corporation that is poisoning the entire planet. As he gets too close to exposing the truth, he is assassinated in the US. Fortunately, his brother is a super-hero, an ex SAS soldier, living on one of the Outer Hebrides in massive isolation and getting a living [while remaining very fit] by training “weekend soldiers”. If this sounds like too much of a coincidence, the story gets downhill from there and the suspension of belief gets so heavy that one could walk on it all the way from Uist to Skye! With the main character achieving on his own more than a dozen Jason Bourne, despite a horde of killers set after him. The only thing of interest in the book is how old it sounds, being set before 1995, with hardly any cell phone available and money running out of call cards. The action taking place in France is rather well documented, including a visit to Orly airport, except for the unfortunate mention that entries are found both left and right on the Périphérique! It is fortunate that Rankin chose to adopt a highly different perspective on a similar character when writing Knots & Crosses and creating Rebus, as I would not have possibly continued reading this type of books! And be waiting for getting my hands on the novel House of Lies, which I saw in the airport when leaving.

the new building!

Posted in pictures, Travel, University life with tags , , , , , on October 22, 2018 by xi'an

The Department of Statistics at Warwick has moved to a new MSB building, next to the Zeeman building, with a lot of light and open space, including a sort of atrium in the centre. It remains to be seen how comfortable this new glassy structure will prove, in hot and cold weather, and how it will stand the test of years (months?!). It seems the place was not designed purposely for mathematicians and statisticians, as many are complaining of the lack of blackboards (and even of whiteboards!) versus an overwhelming number of voracious screens. (Funny enough, the early video selling the building included these blackboards!) And it is unclear how so many glass panes can be contributing to the carbon neutral goal. Still, so far, I enjoyed the light and luminosity of my office, but this may change in the rare event of a grey day… (And no indoor place to store bicycles! But I did recover my bike where I had left it last time.)


Cosmic wallpaper [an interesting fresco]

Posted in Kids, pictures, Travel, University life with tags , , , , , , on October 20, 2018 by xi'an

As I attended a seminar in the Ramphal Building of the University of Warwick last week, I discovered a stunning fresco in the lobby of this building, which looked like a constellation map, except that the entries sounded related to rock music. Upon further investigation (!), I found that this is a 2002 painting by Simon Patterson, called Cosmic Wallpaper, purchased by the Contemporary Art Society Special Collection Scheme for Warwick, which recuperates the map to draw an history of Deep Purple! Stunning!


Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on October 9, 2018 by xi'an

The next BNP (Bayesian nonparametric) conference is taking place in Oxford (UK), prior to the O’Bayes 2019 conference in Warwick, in June 24-28 and June 29-July 2, respectively. At this stage, the Scientific Committee of BNP12 invites submissions for possible contributed talks. The deadline for submitting a title/abstract is 15th December 2018. And the submission of applications for travel support closes on 15th December 2018. Currently, there are 35 awards that could be either travel awards or accommodation awards. The support is for junior researchers (students currently enrolled in a Dphil (PhD) programme or having graduated after 1st October 2015). The applicant agrees to present her/his work at the conference as a poster or oraly if awarded the travel support.

As for O’Bayes 2019, we are currently composing the programme, following the 20 years tradition of these O’Bayes meetings of having the Scientific Committee (Marilena Barbieri, Ed George, Brunero Liseo, Luis Pericchi, Judith Rousseau and myself) inviting about 25 speakers to present their recent work and 25 discussants to… discuss these works. With a first day of introductory tutorials to Bayes, O’Bayes and beyond. I (successfully) proposed this date and location to the O’Bayes board to take advantage of the nonparametric Bayes community present in the vicinity so that they could attend both meetings at limited cost and carbon impact.

abseiling down Coventry cathedral

Posted in Mountains, pictures, University life with tags , , , , , , , , , on October 8, 2018 by xi'an