Books

Introducing Monte Carlo Methods with R [precision]

January 17, 2011 | xi'an

Doug Rivers, professor of Political Sciences in Stanford, kindly sent me this email yesterday night: The 2nd displayed equation in section 2.1.2 on p. 44 is garbled (it might be interpreted as saying that U and X have the same distribution). I think you intended: And indeed we should have stated the ...
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Méthodes de Monte-Carlo avec R [out]

January 17, 2011 | xi'an

The translation of the book Introducing Monte Carlo Methods with R is now published and out! I have received five copies in the mail yesterday, although it was not produced in time for my R class students to get it before the exam today. The book is still indicated on ...
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Missing reference in Monte Carlo Statistical Methods

January 15, 2011 | xi'an

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’...
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Short review of the R book

January 5, 2011 | xi'an

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, ...
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History makes Stat. Science!

December 31, 2010 | xi'an

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 ... [Read more...]

More typos in Chapter 5

December 29, 2010 | xi'an

Following Ashley’s latest comments on Chapter 5 of Introducing Monte Carlo Methods with R, I realised Example 5.5 was totally off-the-mark! Not only the representation of the likelihood should have used prod instead of mean, not only the constant should call the val argument of integrate, not only integrate  uses lower ...
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nlm [unused argument(s) (iter = 1)]

December 28, 2010 | xi'an

Ashley put the following comment on Chapter 5 of Introducing Monte Carlo Methods with R”: I am reading chapter 5. I try to reproduced the result on page 128. The R codes don’t work on my laptop. When I try to run the following codes on page 128 __ for (i in 1:(nlm(like,... [Read more...]

R programming books

December 21, 2010 | csgillespie

My sabbatical is rapidly coming to an end, and I have to start thinking more and more about teaching. Glancing over my module description for the introductory computational statistics course I teach, I noticed that it’s a bit light on recommend/background reading. In fact it has only two ... [Read more...]

Truly random [again]

December 9, 2010 | xi'an

“The measurement outputs contain at the 99% confidence level 42 new random bits. This is a much stronger statement than passing or not passing statistical tests, which merely indicate that no obvious non-random patterns are present.” arXiv:0911.3427 As often, I bought La Recherche in the station newsagent for the wrong reason! The ... [Read more...]

Bayesian model selection

December 7, 2010 | xi'an

Last week, I received a box of books from the International Statistical Review, for reviewing them. I thus grabbed the one whose title was most appealing to me, namely Bayesian Model Selection and Statistical Modeling by Tomohiro Ando. I am indeed interested in both the nature of testing hypotheses or ... [Read more...]

Méthodes de Monte-Carlo avec R

December 2, 2010 | xi'an

The translation of the book Introducing Monte Carlo Methods with R is close to being completed. The copy-editing and page-setting are done, I have received the cover proposal and am happy with it, so it should now go to production and be ready by early January, (earlier than the tentative ... [Read more...]

Slices and crumbs [arXiv:1011.4722]

November 29, 2010 | xi'an

An interesting note was arXived a few days ago by Madeleine Thompson and Radford Neal. Beside the nice touch of mixing crumbs and slices, the neat idea is to have multiple-try proposals for simulating within a slice and to decrease the dimension of the simulation space at each try. This ... [Read more...]

Computing evidence

November 28, 2010 | xi'an

The book Random effects and latent variable model selection, edited by David Dunson in 2008 as a Springer Lecture Note. contains several chapters dealing with evidence approximation in mixed effect models. (Incidentally, I would be interested in the story behind the  Lecture Note as I found no explanation in the backcover ... [Read more...]

R.I.P. StatProb?

November 22, 2010 | xi'an

As posted in early August from JSM 2010 in Vancouver, StatProb was launched as a way to promote an on-line encyclopedia/wiki with the scientific backup of expert reviewers. This was completely novel and I was quite excited to take part in the venture as a representative of the Royal Statistical ... [Read more...]

Graphical comparison of MCMC performance [arXiv:1011.445]

November 22, 2010 | xi'an

A new posting on arXiv by Madeleine Thompson on a graphical tool for assessing performance. She has developed a software called SamplerCompare, implemented in R and C. The graphical evaluation plots “log density evaluations per iteration times autocorrelation time against a tuning parameter in a grid of plots where rows ... [Read more...]

Introducing Monte Carlo in PaRis

November 14, 2010 | xi'an

As already announced on Statisfaction, I will start a short [14 hour] course in English based on Introducing Monte Carlo Methods with R at ENSAE next Tuesday. The slides were written by George Casella for a course he gave in Italy last spring and he kindly agreed on making them available ... [Read more...]

Typos…

October 5, 2010 | xi'an

Edward Kao just sent another typo found both in  Monte Carlo Statistical Methods (Problem 3.21) and in Introducing Monte Carlo Methods with R (Exercise 3.17), namely that should be I also got another email from Jerry Sin mentioning that matrix summation in the matrix commands of Figure 1.2 of Introducing Monte Carlo Methods ...
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Typo in Example 5.18

October 2, 2010 | xi'an

Edward Kao pointed out several typos in Example 5.18 of Monte Carlo Statistical Methods. First, the customers in area i should be double-indexed, i.e. which implies in turn that . Then the summary T should be defined as and as given that the first m customers have the fifth plan missing. ...
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Galton & simulation

September 27, 2010 | xi'an

Stephen Stigler has written a paper in the Journal of the Royal Statistical Society Series A on Francis Galton’s analysis of (his cousin) Charles Darwin’ Origin of Species, leading to nothing less than Bayesian analysis and accept-reject algorithms! “On September 10th, 1885, Francis Galton ushered in a new era of ... [Read more...]

Effective sample size

September 23, 2010 | xi'an

In the previous days I have received several emails asking for clarification of the effective sample size derivation in “Introducing Monte Carlo Methods with R” (Section 4.4, pp. 98-100). Formula (4.3) gives the Monte Carlo estimate of the variance of a self-normalised importance sampling estimator (note the change from the original version ... [Read more...]
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