MCMskv #2 [ridge with a view]

January 6, 2016

(This article was first published on Xi'an's Og » R, and kindly contributed to R-bloggers)

Tuesday at MCMSkv was a rather tense day for me, from having to plan the whole day “away from home” [8km away] to the mundane worry of renting ski equipment and getting to the ski runs over the noon break, to giving a poster over our new mixture paper with Kaniav Kamary and Kate Lee, as Kaniav could not get a visa in time. It actually worked out quite nicely, with almost Swiss efficiency. After Michael Jordan’s talk, I attended a Bayesian molecular biology session with an impressive talk by Jukka Corander on evolutionary genomics with novel ABC aspects. And then a Hamiltonian Monte Carlo session with two deep talks by Sam Livingstone and Elena Akhmatskaya on the convergence of HMC, followed by an amazing entry into Bayesian cosmology by Jens Jasche (with a slight drawback that MCMC simulations took about a calendar year, handling over 10⁷ parameters). Finishing the day with more “classical” MCMC convergence results and techniques, with talks about forgetting time, stopping time (an undervalued alternative to convergence controls), and CLTs. Including a multivariate ESS by James Flegal. (This choice of sessions was uniformly frustrating as I was also equally interested in “the other” session. The drawback of running parallel sessions, obviously.)

The poster session was busy and animated, but I alas could not get an idea of the other posters as I was presenting mine. This was quite exciting as I discussed a new parametrisation for location-scale mixture models that allows for a rather straightforward “non-informative” or reference prior. (The paper with Kaniav Kamary and Kate Lee should be arXived overnight!) The recently deposited CRAN package Ultimixt by Kaniav and Kate contains Metropolis-Hastings functions related to this new approach. The result is quite exciting, especially because I have been looking for it for decades and I will discuss it pretty soon in another post, and I had great exchanges with the conference participants, which led me to consider the reparametrisation in a larger scale and to simplify the presentation of the approach, turning the global mean and variance as hyperparameters.

The day was also most auspicious for a ski break as it was very mild and sunny, while the snow conditions were (somewhat) better than the ones we had in the French Alps two weeks ago. (Too bad that the Tweedie ski race had to be cancelled for lack of snow on the reserved run! The Blossom ski reward will have again to be randomly allocated!) Just not exciting enough to consider another afternoon out, given the tension in getting there and back. (And especially when considering that it took me the entire break time to arXive our mixture paper…)

Filed under: Mountains, pictures, R, Statistics, Travel, University life Tagged: ABC, Gaussian mixture, hyperparameter, improper priors, Lenzerheide, MCMskv, Metropolis-Hastings algorithm, mixtures of distributions, non-informative priors, poster, R, reference priors, Switzerland, Ultimixt

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