Blog Archives

MCMC on zero measure sets

March 23, 2014
By
MCMC on zero measure sets

Simulating a bivariate normal under the constraint (or conditional to the fact) that x²-y²=1 (a non-linear zero measure curve in the 2-dimensional Euclidean space) is not that easy: if running a random walk along that curve (by running a random walk on y and deducing x as x²=y²+1 and accepting with a Metropolis-Hastings ratio based

Read more »

Le Monde puzzle [#857]

March 21, 2014
By
Le Monde puzzle [#857]

A rather bland case of Le Monde mathematical puzzle : Two positive integers x and y are turned into s=x+y and p=xy. If Sarah and Primrose are given S and P, respectively, how can the following dialogue happen? I am sure you cannot find my number Now you told me that, I can, it is

Read more »

Pre-processing for approximate Bayesian computation in image analysis

March 20, 2014
By
Pre-processing for approximate Bayesian computation in image analysis

With Matt Moores and Kerrie Mengersen, from QUT, we wrote this short paper just in time for the MCMSki IV Special Issue of Statistics & Computing. And arXived it, as well. The global idea is to cut down on the cost of running an ABC experiment by removing the simulation of a humongous state-space vector,

Read more »

fine-sliced Poisson [a.k.a. sashimi]

March 19, 2014
By
fine-sliced Poisson [a.k.a. sashimi]

As my student Kévin Guimard had not mailed me his own Poisson slice sampler of a Poisson distribution, I could not tell why the code was not working! My earlier post prompted him to do so and a somewhat optimised version is given below: As you can easily check by running the code, it does

Read more »

sliced Poisson

March 17, 2014
By
sliced Poisson

One of my students complained that his slice sampler of a Poisson distribution was not working when following the instructions in Monte Carlo Statistical Methods (Exercise 8.5). This puzzled me during my early morning run and I checked on my way back, even before attacking the fresh baguette I had brought from the bakery… The

Read more »

Approximate Bayesian model choice

March 16, 2014
By
Approximate Bayesian model choice

The above is the running head of the arXived paper with full title “Implications of  uniformly distributed, empirically informed priors for phylogeographical model selection: A reply to Hickerson et al.” by Oaks, Linkem and Sukuraman. That I (again) read in the plane to Montréal (third one in this series!, and last because I also watched

Read more »

where did the normalising constants go?! [part 2]

March 11, 2014
By
where did the normalising constants go?! [part 2]

Coming (swiftly and smoothly) back home after this wonderful and intense week in Banff, I hugged my loved ones,  quickly unpacked, ran a washing machine, and  then sat down to check where and how my reasoning was wrong. To start with, I experimented with a toy example in R: and (of course!) it produced the

Read more »

where did the normalising constants go?! [part 1]

March 10, 2014
By
where did the normalising constants go?! [part 1]

When listening this week to several talks in Banff handling large datasets or complex likelihoods by parallelisation, splitting the posterior as and handling each term of this product on a separate processor or thread as proportional to a probability density, then producing simulations from the mi‘s and attempting at deriving simulations from the original product,

Read more »

Advances in scalable Bayesian computation [day #4]

March 7, 2014
By
Advances in scalable Bayesian computation [day #4]

Final day of our workshop Advances in Scalable Bayesian Computation already, since tomorrow morning is an open research time ½ day! Another “perfect day in paradise”, with the Banff Centre campus covered by a fine snow blanket, still falling…, and making work in an office of BIRS a dream-like moment. Still looking for a daily theme,

Read more »

Advances in scalable Bayesian computation [day #3]

March 6, 2014
By
Advances in scalable Bayesian computation [day #3]

We have now gone over the midpoint of our workshop Advances in Scalable Bayesian Computation with three talks in the morning and an open research or open air afternoon. (Maybe surprisingly I chose to stay indoors and work on a new research topic rather than trying cross-country skiing!) If I must give a theme for

Read more »