Blog Archives

Computational Statistics

May 9, 2010
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Computational Statistics

Do not resort to Monte Carlo methods unnecessarily. When I received this 2009 Springer-Verlag book, Computational Statistics, by James Gentle a while ago, I briefly took a look at the table of contents and decided to have a better look later… Now that I have gone through the whole book, I can write a short

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Forsythe’s algorithm

May 8, 2010
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Forsythe’s algorithm

In connection with the Bernoulli factory post of last week, Richard Brent arXived a short historical note recalling George Forsythe’s algorithm for simulating variables with density when (the extension to any upper bound is straightforward). The idea is to avoid computing the exponential function by simulating uniforms until since the probability of this event is

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Bayes vs. SAS

May 6, 2010
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Bayes vs. SAS

Glancing perchance at the back of my Amstat News, I was intrigued by the SAS advertisement Bayesian Methods Specify Bayesian analysis for ANOVA, logistic regression, Poisson regression, accelerated failure time models and Cox regression through the GENMOD, LIFEREG and PHREG procedures. Analyze a wider variety of models with the MCMC procedure, a general purpose Bayesian

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Candy branching process

May 5, 2010
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Candy branching process

The mathematical puzzle in the latest weekend edition of Le Monde is as follows: Two kids are given three boxes of chocolates with a total of 32 pieces. Rather than sharing evenly, they play the following game: Each in turn, they pick one of the three boxes, empty its contents in a jar and pick

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Difficulty with mcsm?

May 4, 2010
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Difficulty with mcsm?

An email from Keith I got this morning: Professor Robert, I have loaded the mcsm package to windows. The following messages appear in the R console: trying URL 'http://cran.stat.ucla.edu/bin/windows/contrib/2.9/mcsm_1.0.zip' Content type 'application/zip' length 193590 bytes (189 Kb) opened URL downloaded 189 Kb package 'mcsm' successfully unpacked and MD5 sums checked But when I use the

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Research in pair next summer

April 29, 2010
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Research in pair next summer

Today I received the very good news that our proposal with Jean-Michel Marin to undertake “research in pair” in CIRM, Luminy, a fortnight next summer was accepted! This research centre in Mathematics is a southern and French version of the renowned German centre of Oberwolfach and, while I would have prefered the cool Black Forest

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The Bernoulli factory

April 22, 2010
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The Bernoulli factory

A few months ago, Latuszyński, Kosmidis, Papaspiliopoulos and Roberts arXived a paper I should have noticed earlier as its topic is very much related to our paper with Randal Douc on the vanilla Rao-Blackwellisation scheme. It is motivated by the Bernoulli factory problem, which aims at (unbiasedly) estimating f(p) from an iid sequence of Bernoulli

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Little R == r

April 21, 2010
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There's big R, the R that I use to do most my work, the environment that makes pretty graphics, et. al. It's like matlab, only cooler. Or more cool. Or less uncool. You can see my prejudices here. Today i discovered little R. It's like big R, only little. Holy shit. Dirk gives...

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Sudokus more random than random!

April 18, 2010
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Sudokus more random than random!

Darren Wraith pointed out this column about sudokus to me. It analyses the paper by Newton and De Salvo published in the Proceedings of the Royal Academy of Sciences A that I cannot access from home. The discussion contains this absurd sentence “Sudoku matrices are actually more random than randomly-generated matrices” which shows how mistreated

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An obscure integral

April 7, 2010
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An obscure integral

Here is an email from Thomas I received yesterday about a computation in our book Introducing Monte Carlo Methods with R: I’m currently reading your book “Introduction to Monte Carlo Methods with R” and I quite highly appreciate your work. I’m not able to see how the integral on page 74, that describes the marginal

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