Blog Archives

Missing reference in Monte Carlo Statistical Methods

January 15, 2011
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Missing reference in Monte Carlo Statistical Methods

A few days ago, Peng Yu sent me this email Dear Prof. Robert, The citation Edwards and Sokal (1988) appears on page 326 of your book MCSM2. However, I don’t find in in the Reference section (it would have appear on page 601 if it is in the reference section). I don’t find this error

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CosmoPMC released

January 12, 2011
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CosmoPMC released

Martin Kilbinger, an astronomer (cosmologist) with whom we had worked on population Monte Carlo for cosmological inference , has made the PMC C codes available on the CosmoPMC webpage. He has also written a CosmoPMC manual that is now available from arXiv. And he very kindly associated me to

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Two short Bayesian courses in South’pton

January 12, 2011
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Two short Bayesian courses in South’pton

An announcement for two short-courses on Introduction to  Bayesian Analysis and MCMC, and Hierarchical Modelling of Spatial and Temporal Data by Alan Gelfand (Duke University, USA) and Sujit Sahu (University of Southampton, UK), are to take place in Southampton on June 7-10, this year. Course 1: Introduction to Bayesian Analysis and MCMC. Date: June 7,

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Le Monde puzzle [1]

January 10, 2011
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Le Monde puzzle [1]

Following the presentation of the first Le Monde puzzle of the year, I tried a simulated annealing solution on an early morning in my hotel room. Here is the R code, which is unfortunately too rudimentary and too slow to be able to tackle n=1000. #minimise \sum_{i=1}^I x_i #for 1\le x_i\le 2n+1, 1\e i\le I

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Arrogance sampling

January 7, 2011
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Arrogance sampling

A new posting on arXiv by Benedict Escoto on a simulation method for approximating normalising constants (i.e. evidence) with an eye-catching name! Here is the abstract This paper describes a method for estimating the marginal likelihood or Bayes factors of Bayesian models using non-parametric importance sampling (“arrogance sampling”). This method can also be used to

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a survey on ABC

January 6, 2011
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a survey on ABC

With Jean-Michel Marin, Pierre Pudlo and Robin Ryder, we just completed a survey on the ABC methodology. It is now both arXived and submitted to Statistics and Computing. Rather interestingly, our first draft was written in Jean-Michel’s office in Montpelier by collating the ‘Og posts surveying new ABC papers! (Interestingly because this means that my

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Short review of the R book

January 5, 2011
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Short review of the R book

David Scott wrote a review of Introducing Monte Carlo Methods with R in the International Statistical Review that is rather negative, since the main bulk reads as follows: I found some aspects of the book very disappointing. The first chapter (“Basic R Programming”) has some unfortunate mistakes and some statements, which are contentious at least

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Adap’skiii [day 2]

January 5, 2011
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Adap’skiii [day 2]

Another exciting day at Adap’skiii!!! Yves Atchadé presented a very recent work on the fundamental issue of estimating the asymptotic variance estimation for adaptive MCMC algorithms, with an intriguing experimental observation that a non-converging bandwidth with rate 1/n was providing better coverage than the converging rate. (I always found the issue of estimating the asymptotic

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Le Monde puzzle [52|solution]

January 1, 2011
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Le Monde puzzle [52|solution]

I have now received the first issue of Le Monde magazine, including the solution to puzzle #52 I solved just in time by simulated annealing! The trick is in using the following theorem: Iter(1,x,y) is divisible by 10x-1 if and only if y is divisible by 10x-1. Then the value to be found is divisible

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History makes Stat. Science!

December 31, 2010
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History makes Stat. Science!

While the above heading sounds like a title in reverse, its words are in the “correct” order in that our paper with George Casella, A Short History of Markov Chain Monte Carlo, has been accepted for publication by Statistical Science. This publication may sound weird when considering that the paper is also scheduled to appear

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