Articles by xi'an

SAS on Bayes

November 1, 2016 | xi'an

Following a question on X Validated, I became aware of the following descriptions of the pros and cons of Bayesian analysis, as perceived by whoever (Tim Arnold?) wrote SAS/STAT(R) 9.2 User’s Guide, Second Edition. I replied more specifically on the point It [Bayesian inference] provides inferences that are ...
[Read more...]

ratio-of-uniforms [#2]

October 30, 2016 | xi'an

Following my earlier post on Kinderman’s and Monahan’s (1977) ratio-of-uniform method, I must confess I remain quite puzzled by the approach. Or rather by its consequences. When looking at the set A of (u,v)’s in R⁺×X such that 0≤u²≤ƒ(v/u), as discussed in the previous ...
[Read more...]

a grim knight [cont’d]

October 19, 2016 | xi'an

As discussed in the previous entry, there are two interpretations to this question from The Riddler: “…how long is the longest path a knight can travel on a standard 8-by-8 board without letting the path intersect itself?” as to what constitutes a path. As a (terrible) chess player, I would ...
[Read more...]

ratio-of-uniforms

October 19, 2016 | xi'an

One approach to random number generation that had always intrigued me is Kinderman and Monahan’s (1977) ratio-of-uniform method. The method is based on the result that the uniform distribution on the set A of (u,v)’s in R⁺xX such that 0≤u²≤ƒ(v/u) induces the distribution with density ...
[Read more...]

tractable Bayesian variable selection: beyond normality

October 16, 2016 | xi'an

David Rossell and Francisco Rubio (both from Warwick) arXived a month ago a paper on non-normal variable selection. They use two-piece error models that preserve manageable inference and allow for simple computational algorithms, but also characterise the behaviour of the resulting variable selection process under model misspecification. Interestingly, they show ...
[Read more...]

grim knight [a riddle]

October 13, 2016 | xi'an

The Riddler of this week had a riddle that is a variation of the knight tour problem, namely “…how long is the longest path a knight can travel on a standard 8-by-8 chessboard without letting the path intersect itself?” the riddle being then one of a self-avoiding random walk [kind]… ...
[Read more...]

importance sampling by kernel smoothing [experiment]

October 12, 2016 | xi'an

Following my earlier post on Delyon and Portier’s proposal to replacing the true importance distribution ƒ with a leave-one-out (!) kernel estimate in the importance sampling estimator, I ran a simple one-dimensional experiment to compare the performances of the traditional method with this alternative. The true distribution is a N(0,½) with ...
[Read more...]

Journal of Open Source Software

October 3, 2016 | xi'an

A week ago, I received a request for refereeing a paper for the Journal of Open Source Software, which I have never seen (or heard of) before. The concept is quite interesting with a scope much broader than statistical computing (as I do not know anyone in the board and ... [Read more...]

approximate lasso

October 2, 2016 | xi'an

Here is a representation of the precision of a kernel density estimate (second axis) against the true value of the density (first axis), which looks like a lasso of sorts, hence the title. I am not sure this tells much, except that the estimated values are close to the true ... [Read more...]

an inverse permutation test

September 22, 2016 | xi'an

A straightforward but probabilistic riddle this week in the Riddler, which is to find the expected order of integer i when the sequence {1,2,…,n} is partitioned at random into two sets, A and B, each of which is then sorted before both sets are merged. For instance, if {1,2,3,4} is divided ...
[Read more...]

astroABC: ABC SMC sampler for cosmological parameter estimation

September 5, 2016 | xi'an

“…the chosen statistic needs to be a so-called sufficient statistic in that any information about the parameter of interest which is contained in the data, is also contained in the summary statistic.” Elise Jenningsa and Maeve Madigan arXived a paper on a new Python code they developed for implementing ABC-SMC, ... [Read more...]

Matlab goes deep [learning]

September 5, 2016 | xi'an

A most interesting link I got when reading Le Monde, about MatLab proposing deep learning tools…Filed under: Books, pictures, R, Statistics, University life Tagged: deep learning, Le Monde, Matlab [Read more...]

conditional sampling

September 4, 2016 | xi'an

An interesting question about stratified sampling came up on X validated last week, namely how to optimise a Monte Carlo estimate based on two subsequent simulations, one, X, from a marginal and one or several Y from the corresponding conditional given X, when the costs of producing those two simulations ...
[Read more...]

Florid’AISTATS

August 30, 2016 | xi'an

The next AISTATS conference is taking place in Florida, Fort Lauderdale, on April 20-22. (The website keeps the same address one conference after another, which means all my links to the AISTATS 2016 conference in Cadiz are no longer valid. And that the above sunset from Florida is named… cadiz.jpg!) ...
[Read more...]

Bayesian Essentials with R [book review]

July 27, 2016 | xi'an

[A review of Bayesian Essentials that appeared in Technometrics two weeks ago, with the first author being rechristened Jean-Michael!] “Overall this book is a very helpful and useful introduction to Bayesian methods of data analysis. I found the use of R, the code in the book, and the companion R ...
[Read more...]

Extending R

July 12, 2016 | xi'an

As I was previously unaware of this book coming up, my surprise and excitement were both extreme when I received it from CRC Press a few weeks ago! John Chambers, one of the fathers of S, precursor of R, had just published a book about extending R. It covers some ...
[Read more...]

correlation matrices on copulas

July 3, 2016 | xi'an

Following my post of yesterday about the missing condition in Lynch’s R code, Gérard Letac sent me a paper he recently wrote with Luc Devroye on correlation matrices and copulas. Paper written for the memorial volume in honour of Marc Yor. It considers the neat problem of the ...
[Read more...]

the curious incident of the inverse of the mean

July 1, 2016 | xi'an

A s I figured out while working with astronomer colleagues last week, a strange if understandable difficulty proceeds from the simplest and most studied statistical model, namely the Normal model x~N(θ,1) Indeed, if one reparametrises this model as x~N(υ⁻¹,1) with υ__0, a single observation x brings very little information ...
[Read more...]

another wrong entry

June 26, 2016 | xi'an

Quite a coincidence! I just came across another bug in Lynch’s (2007) book, Introduction to Applied Bayesian Statistics and Estimation for Social Scientists. Already discussed here and on X validated. While working with one participant to the post-ISBA softshop, we were looking for efficient approaches to simulating correlation matrices and ...
[Read more...]
1 12 13 14 15 16 45

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)