Archive for webinar

MCqMC 2020 live and free and online

Posted in pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , on July 27, 2020 by xi'an

The MCqMC 20202 conference that was supposed to take place in Oxford next 9-14 August has been turned into an on-line free conference since travelling remains a challenge for most of us. Tutorials and plenaries will be live with questions  on Zoom, with live-streaming and recorded copies on YouTube. They will probably be during 14:00-17:00 UK time (GMT+1),  15:00-18:00 CET (GMT+2), and 9:00-12:00 ET. (Which will prove a wee bit of a challenge for West Coast and most of Asia and Australasia researchers, which is why our One World IMS-Bernoulli conference we asked plenary speakers to duplicate their talks.) All other talks will be pre-recorded by contributors and uploaded to a website, with an online Q&A discussion section for each. As a reminder here are the tutorials and plenaries:

Invited plenary speakers:

Aguêmon Yves Atchadé (Boston University)
Jing Dong (Columbia University)
Pierre L’Écuyer (Université de Montréal)
Mark Jerrum (Queen Mary University London)
Peter Kritzer (RICAM Linz)
Thomas Muller (NVIDIA)
David Pfau (Google DeepMind)
Claudia Schillings (University of Mannheim)
Mario Ullrich (JKU Linz)

Tutorials:

Fred Hickernell (IIT) — Software for Quasi-Monte Carlo Methods
Aretha Teckentrup (Edinburgh) — Markov chain Monte Carlo methods

improving synthetic likelihood

Posted in Books, Statistics, University life with tags , , , , , , , , on July 9, 2020 by xi'an

Chris Drovandi gave an after-dinner [QUT time!] talk for the One World ABC webinar on a recent paper he wrote with Jacob Proddle, Scott Sisson and David Frazier. Using a regular MCMC step on a synthetic likelihood approximation to the posterior. Or a (simulation based) unbiased estimator of it.

By evaluating the variance of the log-likelihood estimator, the authors show that the number of simulations n need scale like n²d² to keep the variance under control. And suggest PCA decorrelation of the summary statistic components as a mean to reduce the variance since it then scales as n²d. Rather idly, I wonder at the final relevance of precisely estimating the (synthetic) likelihood when considering it is not the true likelihood and when the n² part seems more damning. Moving from d² to d seems directly related to the estimation of a full correlation matrix for the Normal synthetic distribution of the summary statistic versus the estimation of a diagonal matrix. The usual complaint that performances highly depend on the choice of the summary statistic also applies here, in particular when its dimension is much larger than the dimension d of the parameter (as in the MA example). Although this does not seem to impact the scale of the variance.

JB³ [Junior Bayes beyond the borders]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , on June 22, 2020 by xi'an

Bocconi and j-ISBA are launcing a webinar series for and by junior Bayesian researchers. The first talk is on 25 June, 25 at 3pm UTC/GMT (5pm CET) with Francois-Xavier Briol, one of the laureates of the 2020 Savage Thesis Prize (and a former graduate of OxWaSP, the Oxford-Warwick doctoral training program), on Stein’s method for Bayesian computation, with as a discussant Nicolas Chopin.

As pointed out on their webpage,

Due to the importance of the above endeavor, JB³ will continue after the health emergency as an annual series. It will include various refinements aimed at increasing the involvement of the whole junior Bayesian community and facilitating a broader participation to the online seminars all over the world via various online solutions.

Thanks to all my friends at Bocconi for running this experiment!

Cédric Villani on COVID-19 [and Zoom for the local COVID-19 seminar]

Posted in Statistics, University life with tags , , , , , , , , , , , , on June 19, 2020 by xi'an

From the “start” of the COVID-19 crisis in France (or more accurately after lockdown on March 13), the math department at Paris-Dauphine has run an internal webinar around this crisis, not solely focusing on the math or stats aspects but also involving speakers from other domains, from epidemiology to sociology, to economics. The speaker today was [Field medalist then elected member of Parliament] Cédric Villani, as a member of the French Parliament sciences and technology committee, l’Office parlementaire d’évaluation des choix scientifiques et technologiques (OPECST), which adds its recommendations to those of the several committees advising the French government. The discussion was interesting as an insight on the political processing of the crisis and the difficulties caused by the heavy-handed French bureaucracy, which still required to fill form A-3-b6 in emergency situations. And the huge delays in launching a genuine survey of the range and diffusion of the epidemic. Which, as far as I understand, has not yet started….

focused Bayesian prediction

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , on June 3, 2020 by xi'an

In this fourth session of our One World ABC Seminar, my friend and coauthor Gael Martin, gave an after-dinner talk on focused Bayesian prediction, more in the spirit of Bissiri et al. than following a traditional ABC approach.  because along with Ruben Loaiza-Maya and [my friend and coauthor] David Frazier, they consider the possibility of a (mild?) misspecification of the model. Using thus scoring rules à la Gneiting and Raftery. Gael had in fact presented an earlier version at our workshop in Oaxaca, in November 2018. As in other solutions of that kind, difficulty in weighting the score into a distribution. Although asymptotic irrelevance, direct impact on the current predictions, at least for the early dates in the time series… Further calibration of the set of interest A. Or the focus of the prediction. As a side note the talk perfectly fits the One World likelihood-free seminar as it does not use the likelihood function!

“The very premise of this paper is that, in reality, any choice of predictive class is such that the truth is not contained therein, at which point there is no reason to presume that the expectation of any particular scoring rule will be maximized at the truth or, indeed, maximized by the same predictive distribution that maximizes a different (expected) score.”

This approach requires the proxy class to be close enough to the true data generating model. Or in the word of the authors to be plausible predictive models. And to produce the true distribution via the score as it is proper. Or the closest to the true model in the misspecified family. I thus wonder at a possible extension with a non-parametric version, the prior being thus on functionals rather than parameters, if I understand properly the meaning of Π(Pθ). (Could the score function be misspecified itself?!) Since the score is replaced with its empirical version, the implementation is  resorting to off-the-shelf MCMC. (I wonder for a few seconds if the approach could be seen as a pseudo-marginal MCMC but the estimation is always based on the same observed sample, hence does not directly fit the pseudo-marginal MCMC framework.)

[Notice: Next talk in the series is tomorrow, 11:30am GMT+1.]