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Numerical analysis for statisticians

August 25, 2011
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Numerical analysis for statisticians

“In the end, it really is just a matter of choosing the relevant parts of mathematics and ignoring the rest. Of course, the hard part is deciding what is irrelevant.” Somehow, I had missed the first edition of this book and thus I started reading it this afternoon with a newcomer’s eyes (obviously, I will

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computational difficulties [with notations]

August 25, 2011
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computational difficulties [with notations]

Here is an email I received from Umberto: I have a doubt regarding the tempered transitions method you considered in your JASA article with Celeux and Hurn. On page 961 you detail the several steps for building a proposal for a given distribution by simulating through l tempered power densities. I am slightly confused regarding

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le logiciel R

August 24, 2011
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le logiciel R

For once, here is a book review I wrote in French about the book Le logiciel R, written by Pierre Lafaye de Micheaux (Université de Montréal), Rémy Drouilhet (Université de Grenoble 2) and Benoît Liquet (Université de Bordeaux 2): Ce livre édité par Springer (dans la même collection que Le Choix Bayesien) propose une couverture

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expectation-propagation and ABC

August 23, 2011
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expectation-propagation and ABC

“It seems quite absurd to reject an EP-based approach, if the only alternative is an ABC approach based on summary statistics, which introduces a bias which seems both larger (according to our numerical examples) and more arbitrary, in the sense that in real-world applications one has little intuition and even less mathematical guidance on to

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Bayes factors and martingales

August 10, 2011
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Bayes factors and martingales

A surprising paper came out in the last issue of Statistical Science, linking martingales and Bayes factors. In the historical part, the authors (Shafer, Shen, Vereshchagin and Vovk) recall that martingales were popularised by Martin-Löf, who is also influential in the theory of algorithmic randomness. A property of test martingales (i.e., martingales that are non

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Number of components in a mixture

August 5, 2011
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Number of components in a mixture

I got a paper (unavailable online) to referee about testing for the order (i.e. the number of components) of a normal mixture. Although this is an easily spelled problem, namely estimate k in I came to the conclusion that it is a kind of ill-posed problem. Without a clear definition of what a component is,

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JSM 2011 [3]

August 2, 2011
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JSM 2011 [3]

Monday August 01 was the first full day of JSM 2011 and full is the appropriate word to describe the day! It started for me at 7am with a round table run by Marc Suchard on parallel computing (or at 3am if I am considering the time I woke up!). I was rather out of

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Le Monde puzzle [#29]

July 28, 2011
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Le Monde puzzle [#29]

This week, the puzzle from the weekend edition of Le Monde was easy to state: in the sequence (8+17n), is there a 6th power? a 7th? an 8th? If so, give the first occurrence. So I first wrote an R code for a function testing whether an integer is any power: (The function returns the

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Core not in CiRM

July 27, 2011
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Core not in CiRM

Despite not enjoying this year the optimal environment of CiRM, we are still making good progress on the revision (or the R vision) of Bayesian Core. In the past two days, we went over Chapters 1 (Introduction), 2 (Normal Models), 5 (Capture-Recapture Experiments), and 6 (Mixture Models), with Chapters 3 (Regression), 4 (Generalised Linear Models)

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A slice of infinity

July 27, 2011
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A slice of infinity

Peng Yu sent me an email about the conditions for convergence of a Gibbs sampler: The following statement mentions convergence. But I’m not familiar what the regularity condition is. “But it is necessary to have a finite probability of moving away from the current state at all times in order to satisfy the regularity conditions on which

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