Posts Tagged ‘ Rao-Blackwellisation ’

workshop in Columbia [day 3]

September 26, 2011
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workshop in Columbia [day 3]

Although this was only a half-day of talks, the third day of the workshop was equally thought-challenging and diverse.  (I managed to miss the ten first minutes by taking a Line 3 train to 125th street, having overlooked the earlier split from Line 1… Crossing south Harlem on a Sunday morning is a fairly mild

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Parallel computation [revised]

March 14, 2011
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Parallel computation [revised]

We have now completed our revision of the parallel computation paper and hope to send it to JCGS within a few days. As seen on the arXiv version, and given the very positive reviews we received, the changes are minor, mostly focusing on the explanation of the principle and on the argument that it comes

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Parallel computation [back]

February 12, 2011
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Parallel computation [back]

We have now received reports back from JCGS for our parallel MCMC paper and they all are very nice and supportive! The reviewers essentially all like the Rao-Blackwellisation concept we developed in the paper and ask for additions towards a more concrete feeling for the practical consequences of the method. We should thus be able

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Trip to Lyon

January 20, 2011
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Trip to Lyon

This was my first trip to Lyon in about… 35 years, I think, but I did not have much time to tour the city! My original plan was to go climbing with Ivan near La Meije right after the talk, but our respective knees were hurting for the past week at least (since Utah in

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Séminaire à Lyon

January 17, 2011
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Séminaire à Lyon

Next week, I am going to Lyon to give a seminar in Université Lyon I. I will talk about the recent Rao-Blackwellisation papers we wrote, hopefully managing to make sense with both statisticians and probabilists, unlike in recent talks of mine in probability seminars… The slides are close to those I presented in Wharton last

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Parallel processing of independent Metropolis-Hastings algorithms

October 11, 2010
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Parallel processing of independent Metropolis-Hastings algorithms

With Pierre Jacob, my PhD student, and Murray Smith, from National Institute of Water and Atmospheric Research, Wellington, who actually started us on this project at the last and latest Valencia meeting, we have completed a paper on using parallel computing in independent Metropolis-Hastings algorithms. The paper is arXived and the abstract goes as follows:

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Monte Carlo Statistical Methods third edition

September 23, 2010
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Monte Carlo Statistical Methods third edition

Last week, George Casella and I worked around the clock on starting the third edition of Monte Carlo Statistical Methods by detailing the changes to make and designing the new table of contents. The new edition will not see a revolution in the presentation of the material but rather a more mature perspective on what

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Vanilla Rao-Blackwellisation [re]revised

May 31, 2010
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Vanilla Rao-Blackwellisation [re]revised

Although the revision is quite minor, it took us two months to complete from the time I received the news in the Atlanta airport lounge… The vanilla Rao-Blackwellisation paper with Randal Douc has thus been resubmitted to the Annals of Statistics. And rearXived. The only significant change is the inclusion of two tables detailing computing

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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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Vanilla Rao-Blackwellisation for revision

March 17, 2010
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Vanilla Rao-Blackwellisation for revision

The vanilla Rao-Blackwellisation paper with Randal Douc that had been resubmitted to the Annals of Statistics is now back for a revision, with quite encouraging comments: The paper has been reviewed by two referees both of whom comment on the clear exposition and the novelty of the results. Both referees point to the empirical results

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