Blog Archives

a vignette on Metropolis

April 12, 2015
By
a vignette on Metropolis

Over the past week, I wrote a short introduction to the Metropolis-Hastings algorithm, mostly in the style of our Introduction to Monte Carlo with R book, that is, with very little theory and worked-out illustrations on simple examples. (And partly over the Atlantic on my flight to New York and Columbia.) This vignette is intended

Read more »

an email exchange about integral representations

April 7, 2015
By
an email exchange about integral representations

I had an interesting email exchange with a (German) reader of Introducing Monte Carlo Methods with R in the past days, as he had difficulties with the validation of the accept-reject algorithm via the integral in that it took me several iterations to realise the

Read more »

scalable Bayesian inference for the inverse temperature of a hidden Potts model

April 6, 2015
By
scalable Bayesian inference for the inverse temperature of a hidden Potts model

Matt Moores, Tony Pettitt, and Kerrie Mengersen arXived a paper yesterday comparing different computational approaches to the processing of hidden Potts models and of the intractable normalising constant in the Potts model. This is a very interesting paper, first because it provides a comprehensive survey of the main methods used in handling this annoying normalising

Read more »

Le Monde puzzle [#905]

March 31, 2015
By
Le Monde puzzle [#905]

A recursive programming  Le Monde mathematical puzzle: Given n tokens with 10≤n≤25, Alice and Bob play the following game: the first player draws an integer1≤m≤6 at random. This player can then take 1≤r≤min(2m,n) tokens. The next player is then free to take 1≤s≤min(2r,n-r) tokens. The player taking the last tokens is the winner. There is

Read more »

MCMskv, Lenzerheide, Jan. 5-7, 2016

March 30, 2015
By
MCMskv, Lenzerheide, Jan. 5-7, 2016

Following the highly successful MCMski IV, in Chamonix last year, the BayesComp section of ISBA has decided in favour of a two-year period, which means the great item of news that next year we will meet again for MCMski V , this time on the snowy slopes

Read more »

intuition beyond a Beta property

March 29, 2015
By
intuition beyond a Beta property

A self-study question on X validated exposed an interesting property of the Beta distribution: If x is B(n,m) and y is B(n+½,m) then √xy is B(2n,2m) While this can presumably be established by a mere change of variables, I could not carry the derivation till the end and used instead the moment generating function E

Read more »

Le Monde puzzle [#904.5]

March 25, 2015
By
Le Monde puzzle [#904.5]

About this #904 arithmetics Le Monde mathematical puzzle: Find all plural integers, namely positive integers such that (a) none of their digits is zero and (b) removing their leftmost digit produces a dividing integer. a slight modification in the R code allows for a faster exploration, based on the fact that solutions add one extra

Read more »

The synoptic problem and statistics [book review]

March 19, 2015
By
The synoptic problem and statistics [book review]

A book that came to me for review in CHANCE and that came completely unannounced is Andris Abakuks’ The Synoptic Problem and Statistics.  “Unannounced” in that I had not heard so far of the synoptic problem. This problem is one of ordering and connecting the gospels in the New Testament, more precisely the “synoptic” gospels

Read more »

the vim cheat sheet

March 18, 2015
By
the vim cheat sheet

Filed under: Kids, Linux, R, University life, Wines Tagged: An Evil Guest, editor, unix, vim

Read more »

amazing Gibbs sampler

February 18, 2015
By
amazing Gibbs sampler

When playing with Peter Rossi’s bayesm R package during a visit of Jean-Michel Marin to Paris, last week, we came up with the above Gibbs outcome. The setting is a Gaussian mixture model with three components in dimension 5 and the prior distributions are standard conjugate. In this case, with 500 observations and 5000 Gibbs

Read more »