Articles by xi'an

scale acceleration

April 23, 2015 | xi'an

Kate Lee pointed me to a rather surprising inefficiency in matlab, exploited in Sylvia Früwirth-Schnatter’s bayesf package: running a gamma simulation by rgamma(n,a,b) takes longer and sometimes much longer than rgamma(n,a,1)/b, the latter taking advantage of the scale nature of b. I ...
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Bernouilli, Montmort and Waldegrave

April 14, 2015 | xi'an

In the last issue of Statistical Science, David Belhouse [author of De Moivre’s biography]  and Nicolas Fillion published an accounting of a discussion between Pierre Rémond de Montmort, Nicolaus Bernoulli—”the” Bernoulli associated with the St. Petersburg paradox—, and Francis Waldegrave, about the card game of Le Her (... [Read more...]

failures and uses of Jaynes’ principle of transformation groups

April 13, 2015 | xi'an

This paper by Alon Drory was arXived last week when I was at Columbia. It reassesses Jaynes’ resolution of Bertrand’s paradox, which finds three different probabilities for a given geometric event depending on the underlying σ-algebra (or definition of randomness!). Both Poincaré and Jaynes argued against Bertrand that there ...
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a vignette on Metropolis

April 12, 2015 | xi'an

Over the past week, I wrote a short introduction to the Metropolis-Hastings algorithm, mostly in the style of our Introduction to Monte Carlo with R book, that is, with very little theory and worked-out illustrations on simple examples. (And partly over the Atlantic on my flight to New York and ... [Read more...]

an email exchange about integral representations

April 7, 2015 | xi'an

I had an interesting email exchange [or rather exchange of emails] with a (German) reader of Introducing Monte Carlo Methods with R in the past days, as he had difficulties with the validation of the accept-reject algorithm via the integral in that it took me several iterations [as shown in ...
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Le Monde puzzle [#905]

March 31, 2015 | xi'an

A recursive programming  Le Monde mathematical puzzle: Given n tokens with 10≤n≤25, Alice and Bob play the following game: the first player draws an integer1≤m≤6 at random. This player can then take 1≤r≤min(2m,n) tokens. The next player is then free to take 1≤s≤min(2r,n-r) ...
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MCMskv, Lenzerheide, Jan. 5-7, 2016

March 30, 2015 | xi'an

Following the highly successful [authorised opinion!, from objective sources] MCMski IV, in Chamonix last year, the BayesComp section of ISBA has decided in favour of a two-year period, which means the great item of news that next year we will meet again for MCMski V [or MCMskv for short], this ...
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intuition beyond a Beta property

March 29, 2015 | xi'an

A self-study question on X validated exposed an interesting property of the Beta distribution: If x is B(n,m) and y is B(n+½,m) then √xy is B(2n,2m) While this can presumably be established by a mere change of variables, I could not carry the derivation ...
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Le Monde puzzle [#904.5]

March 25, 2015 | xi'an

About this #904 arithmetics Le Monde mathematical puzzle: Find all plural integers, namely positive integers such that (a) none of their digits is zero and (b) removing their leftmost digit produces a dividing integer. a slight modification in the R code allows for a faster exploration, based on the fact that ...
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The synoptic problem and statistics [book review]

March 19, 2015 | xi'an

A book that came to me for review in CHANCE and that came completely unannounced is Andris Abakuks’ The Synoptic Problem and Statistics.  “Unannounced” in that I had not heard so far of the synoptic problem. This problem is one of ordering and connecting the gospels in the New Testament, ...
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amazing Gibbs sampler

February 18, 2015 | xi'an

When playing with Peter Rossi’s bayesm R package during a visit of Jean-Michel Marin to Paris, last week, we came up with the above Gibbs outcome. The setting is a Gaussian mixture model with three components in dimension 5 and the prior distributions are standard conjugate. In this case, with 500 ... [Read more...]

MissData 2015 in Rennes [June 18-19]

February 9, 2015 | xi'an

This (early) summer, a conference on missing data will be organised in Rennes, Brittany, with the support of the French Statistical Society [SFDS]. (Check the website if interested, Rennes is a mere two hours from Paris by fast train.)Filed under: R, ...
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the density that did not exist…

January 26, 2015 | xi'an

On Cross Validated, I had a rather extended discussion with a user about a probability density as I thought it could be decomposed in two manageable conditionals and simulated by Gibbs sampling. The first component led to a Gumbel like density wirh y being restricted to either (0,1) or (1,∞) depending on β. ...
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Sequential Monte Carlo 2015 workshop

January 22, 2015 | xi'an

An announcement for the SMC 2015 workshop: Sequential Monte Carlo methods (also known as particle filters) have revolutionized the on-line and off-line analysis of data in fields as diverse as target tracking, computer vision, financial modelling, brain imagery, or population ecology. Their popularity stems from the fact that they have made ...
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simulation by inverse cdf

January 13, 2015 | xi'an

Another Cross Validated forum question that led me to an interesting (?) reconsideration of certitudes! When simulating from a normal distribution, is Box-Muller algorithm better or worse than using the inverse cdf transform? My first reaction was to state that Box-Muller was exact while the inverse cdf relied on the coding ...
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top posts for 2014

December 29, 2014 | xi'an

Here are the most popular entries for 2014: 17 equations that changed the World (#2) 995 Le Monde puzzle [website] 992 “simply start over and build something better” 991 accelerating MCMC via parallel predictive prefetching 990 Bayesian p-values 960 posterior predictive p-values 849 Bayesian Data Analysis [BDA3] 846 Bayesian programming [book review] 834 Feller’s shoes […] [Read more...]

amazonish thanks (& repeated warning)

December 8, 2014 | xi'an

As in previous years, at about this time, I want to (re)warn unaware ‘Og readers that all links to Amazon.com and more rarely to Amazon.fr found on this blog are actually susceptible to earn me an advertising percentage if a purchase is made by the reader in ... [Read more...]
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