Blog Archives

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

November 16, 2015
By
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

Read more »

importance sampling with infinite variance

November 12, 2015
By
importance sampling with infinite variance

“In this article it is shown that in a fairly general setting, a sample of size approximately exp(D(μ|ν)) is necessary and sufficient for accurate estimation by importance sampling.” Sourav Chatterjee and Persi Diaconis arXived yesterday an exciting paper where they study the proper sample size in an importance sampling setting with no variance. That’s right,

Read more »

Le Monde puzzle [#937]

November 10, 2015
By
Le Monde puzzle [#937]

A combinatoric Le Monde mathematical puzzle that resembles many earlier ones: Given a pool of 30 interns allocated to three person night-shifts, is it possible to see 31 consecutive nights such that (a) all the shifts differ and (b) there are no pair of shifts with a single common intern? In fact, the constraint there

Read more »

Think Bayes: Bayesian Statistics Made Simple

October 26, 2015
By
Think Bayes: Bayesian Statistics Made Simple

By some piece of luck, I came upon the book Think Bayes: Bayesian Statistics Made Simple, written by Allen B. Downey and published by Green Tea Press which usually publishes programming books with

Read more »

Le Monde puzzle [#929]

September 28, 2015
By
Le Monde puzzle [#929]

A combinatorics Le Monde mathematical puzzle: In the set {1,…,12}, numbers adjacent to i are called friends of i. How many distinct subsets of size 5 can be chosen under the constraint that each number in the subset has at least a friend with him? In a brute force approach, I tried a quintuple loop

Read more »

Le Monde puzzle [#928]

September 9, 2015
By
Le Monde puzzle [#928]

A combinatorics Le Monde mathematical puzzle: How many distinct integers between 0 and 16 can one pick so that all positive differences are distinct? If k is the number of distinct integers, the number of positive differences is 1+2+…+(k-1) = k(k-1)/2, which cannot exceed 16, meaning k cannot exceed 6. From there, picking 6 integers

Read more »

debunking a (minor and personal) myth

September 9, 2015
By
debunking a (minor and personal) myth

For quite a while, I entertained the idea that Beta and Dirichlet proposals  were more adequate than (log-)normal random walks proposals for parameters on (0,1) and simplicia (simplices, simplexes), respectively, when running an MCMC. For instance, for p in (0,1) the value of the Markov chain at time t-1, the proposal at time t could

Read more »

ABC model choice via random forests [and no fire]

September 3, 2015
By
ABC model choice via random forests [and no fire]

While my arXiv newspage today had a puzzling entry about modelling UFOs sightings in France, it also broadcast our revision of Reliable ABC model choice via random forests, version that we resubmitted today to Bioinformatics after a quite thorough upgrade, the most dramatic one being the realisation we could also approximate the posterior probability of

Read more »

reaching transcendence for Gaussian mixtures

September 2, 2015
By
reaching transcendence for Gaussian mixtures

“…likelihood inference is in a fundamental way more complicated than the classical method of moments.” Carlos Amendola, Mathias Drton, and Bernd Sturmfels arXived a paper this Friday on “maximum likelihood estimates for Gaussian mixtures are transcendental”. By which they mean that trying to solve the five likelihood equations for a two-component Gaussian mixture does not

Read more »

likelihood-free inference in high-dimensional models

August 31, 2015
By
likelihood-free inference in high-dimensional models

“…for a general linear model (GLM), a single linear function is a sufficient statistic for each associated parameter…” The recently arXived paper “Likelihood-free inference in high-dimensional models“, by Kousathanas et al. (July 2015), proposes an ABC resolution of the dimensionality curse by turning

Read more »

Sponsors

Mango solutions



RStudio homepage



Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training

datasociety

http://www.eoda.de





ODSC

ODSC

CRC R books series





Six Sigma Online Training









Contact us if you wish to help support R-bloggers, and place your banner here.

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)