Blog Archives

MCqMC 2016

January 18, 2016
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MCqMC 2016

After the MCqMC 2014 conference in Leuven I enjoyed very much, the MCqMC 2016 instalment takes place in Stanford this (late) summer. I cannot alas attend it, as I will be in Australia all summer winter, but the program looks terrific! As Art’s tutorial so brilliantly showed at MCMskv last week, the connections between the

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precision in MCMC

January 13, 2016
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precision in MCMC

While browsing Images des Mathématiques, I came across this article that studies the impact of round-off errors on number representations in a dynamical system and checked how much this was the case for MCMC algorithms like the slice sampler (recycling some R code from Monte Carlo Statistical Methods). By simply adding a few

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MCMskv #5 [future with a view]

January 11, 2016
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MCMskv #5 [future with a view]

As I am flying back to Paris (with an afternoon committee meeting in München in-between), I am reminiscing on the superlative scientific quality of this MCMski meeting, on the novel directions in computational Bayesian statistics exhibited therein, and on the potential settings for the next meeting. If any. First, as hopefully obvious from my previous

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mixtures are slices of an orange

January 11, 2016
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mixtures are slices of an orange

After presenting this work in both London and Lenzerheide, Kaniav Kamary, Kate Lee and I arXived and submitted our paper on a new parametrisation of location-scale mixtures. Although it took a long while to finalise the paper, given that we came with the original and central idea about a year ago, I remain quite excited

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MCMskv #2 [ridge with a view]

January 6, 2016
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MCMskv #2 [ridge with a view]

Tuesday at MCMSkv was a rather tense day for me, from having to plan the whole day “away from home” to the mundane worry of renting ski equipment and getting to the ski runs over the noon break, to giving a poster over our new mixture paper with Kaniav Kamary and Kate Lee,

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Le Monde puzzle [#939bis]

December 17, 2015
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Le Monde puzzle [#939bis]

If you remember the previous post, I had two interpretations about Le Monde mathematical puzzle #639: Find all integers with less than 11 digits that are perfect squares and can be written as a(a+6), a being an integer. and: Find all integers with less than 11 digits that are perfect squares and can be written

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Le Monde puzzle [#939]

December 10, 2015
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Le Monde puzzle [#939]

A Le Monde mathematical puzzle about special integers: Find all integers with less than 11 digits that are perfect squares and can be written as a(a+6), a being an integer. Eleven digits being too much for a brute force exploration of the form `for (t in 1:1e11)`…, some preliminary  analysis is needed, but I could

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a programming bug with weird consequences

November 24, 2015
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a programming bug with weird consequences

One student of mine coded by mistake an independent Metropolis-Hastings algorithm with too small a variance in the proposal when compared with the target variance. Here is the R code of this implementation: It produces outputs of the following shape which is quite amazing because of the small variance. The reason for the lengthy freezes

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Sunday morning puzzle

November 21, 2015
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Sunday morning puzzle

A question from X validated that took me quite a while to fathom and then the solution suddenly became quite obvious: If a sample taken from an arbitrary distribution on {0,1}⁶ is censored from its (0,0,0,0,0,0) elements, and if the marginal probabilities are know for all six components of the random vector, what is an

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Paret’oothed importance sampling and infinite variance [guest post]

November 16, 2015
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Paret’oothed importance sampling and infinite variance [guest post]

The following is mostly based on our arXived paper with Andrew Gelman and the references mentioned  there. Koopman, Shephard, and Creal (2009) proposed to make a sample based estimate of the existence of the moments using generalized Pareto

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