Bayes factor

structure and uncertainty, Bristol, Sept. 26

September 26, 2012 | xi'an

Another day full of interesting and challenging—in the sense they generated new questions for me—talks at the SuSTain workshop. After another (dry and fast) run around the Downs; Leo Held started the talks with one of my favourite topics, namely the theory of g-priors in generalized linear models. ... [Read more...]

PLoS topic page on ABC

June 6, 2012 | xi'an

A few more comments on the specific entry on ABC written by Mikael Sunnåker et al…. The entry starts with the representation of the posterior probability of an hypothesis, rather than with the posterior density of a model parameter, which seems to lead the novice reader astray. After all, (... [Read more...]

Large-scale Inference

February 23, 2012 | xi'an

Large-scale Inference by Brad Efron is the first IMS Monograph in this new series, coordinated by David Cox and published by Cambridge University Press. Since I read this book immediately after Cox’ and Donnelly’s Principles of Applied Statistics, I was thinking of drawing a parallel between the two books. ... [Read more...]

Harmonic means, again again

January 9, 2012 | xi'an

Another arXiv posting I had had no time to comment is Nial Friel’s and Jason Wyse’s “Estimating the model evidence: a review“. This is a review in the spirit of two of our papers, “Importance sampling methods for Bayesian discrimination between embedded models” with Jean-Michel Marin (published in ... [Read more...]

Approximate Bayesian computational methods on-line

October 25, 2011 | xi'an

Fig. 4 – Boxplots of the evolution [against ε] of ABC approximations to the Bayes factor. The representation is made in terms of frequencies of visits to [accepted proposals from] models MA(1) and MA(2) during an ABC simulation when ε corresponds to the 10,1,.1,.01% quantiles on the simulated autocovariance distances. The data is a time [...] [Read more...]

Bayes factors and martingales

August 10, 2011 | xi'an

A surprising paper came out in the last issue of Statistical Science, linking martingales and Bayes factors. In the historical part, the authors (Shafer, Shen, Vereshchagin and Vovk) recall that martingales were popularised by Martin-Löf, who is also influential in the theory of algorithmic randomness. A property of test ... [Read more...]

About Fig. 4 of Fagundes et al. (2007)

July 12, 2011 | xi'an

Yesterday, we had a meeting of our EMILE network on statistics for population genetics (in Montpellier) and we were discussing our respective recent advances in ABC model choice. One of our colleagues mentioned the constant request (from referees) to include the post-ABC processing devised by Fagundes et al. in their 2007 ... [Read more...]

Lack of confidence [revised]

April 21, 2011 | xi'an

Following the comments on our earlier submission to PNAS, we have written (and re-arXived) a revised version where we try to spell out (better) the distinction between ABC point (and confidence) estimation and ABC model choice, namely that the problem was at another level for Bayesian model choice (using posterior ... [Read more...]

Model weights for model choice

February 9, 2011 | xi'an

An ‘Og reader. Emmanuel Charpentier, sent me the following email about model choice: I read with great interest your critique of Peter Congdon’s 2006 paper (CSDA, 50(2):346-357) proposing a method of estimation of posterior model probabilities based on improper distributions for parameters not present in the model inder examination, as ... [Read more...]

ABC model choice not to be trusted [3]

January 30, 2011 | xi'an

On Friday, I received a nice but embarrassing email from Xavier Didelot. He indeed reminded me that I attended the talk he gave at the model choice workshop in Warwick last May, as, unfortunately but rather unsurprisingly giving my short span memory!, I had forgotten about it! Looking at the ...
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ABC model choice not to be trusted

January 26, 2011 | xi'an

This may sound like a paradoxical title given my recent production in this area of ABC approximations, especially after the disputes with Alan Templeton, but I have come to the conclusion that ABC approximations to the Bayes factor are not to be trusted. When working one afternoon in Park City ...
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Arrogance sampling

January 7, 2011 | xi'an

A new posting on arXiv by Benedict Escoto on a simulation method for approximating normalising constants (i.e. evidence) with an eye-catching name! Here is the abstract This paper describes a method for estimating the marginal likelihood or Bayes factors of Bayesian models using non-parametric importance sampling (“arrogance sampling”). This ... [Read more...]

Bayesian adaptive sampling

December 5, 2010 | xi'an

In the continuation of my earlier post on computing evidence, I read a very interesting paper by Merlise Clyde, Joyee Ghosh and Michael Littman, to appear in JCGS. It is called  Bayesian adaptive sampling for variable selection and model averaging. The sound idea at the basis of the paper is ... [Read more...]

CoRe in CiRM [end]

July 17, 2010 | xi'an

Back home after those two weeks in CiRM for our “research in pair” invitation to work on the new edition of Bayesian Core, I am very grateful for the support we received from CiRM and through it from SMF and CNRS. Being “locked” away in such a remote place brought ...
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CoRe in CiRM [3]

July 10, 2010 | xi'an

Still drudging along preparing the new edition of Bayesian Core. I am almost done with the normal chapter, where I also changed the Monte Carlo section to include specific tools (bridge) for evidence/Bayes factor approximation. Jean-Michel has now moved to the new hierarchical model chapter and analysed longitudinal  datasets ...
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Another harmonic mean approximation

June 26, 2010 | xi'an

Martin Weinberg posted on arXiv a revision of his paper, Computing the Bayesian Factor from a Markov chain Monte Carlo Simulation of the Posterior Distribution, that is submitted to Bayesian Analysis. I have already mentioned this paper in a previous post, but I remain unconvinced of the appeal of the ... [Read more...]

Conferenza a Padova

June 16, 2010 | xi'an

Today and tomorrow, I am attending the annual Italian statistical society meeting. While I appreciate very much the invitation, as well as the opportunity to walk through  Padova and Venezia for a short (and alas rainy!) hour on the way there (leaving home at 8am, walking in Venezia at noon!), ... [Read more...]

Bayes vs. SAS

May 6, 2010 | xi'an

Glancing perchance at the back of my Amstat News, I was intrigued by the SAS advertisement Bayesian Methods Specify Bayesian analysis for ANOVA, logistic regression, Poisson regression, accelerated failure time models and Cox regression through the GENMOD, LIFEREG and PHREG procedures. Analyze a wider variety of models with the MCMC ...
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Savage-Dickey [talk]

March 19, 2010 | xi'an

Here are the slides for the Savage-Dickey paradox paper that I gave in San Antonio this morning: (Any suspected coincidence of the first part with earlier talks is for real!) I have tried to spell out as clearly as possible in the second part the issues of version choices that ... [Read more...]

Course in San Antonio, Texas

March 18, 2010 | xi'an

Yesterday, I gave my short (3 hours) introduction to computational Bayesian statistics to a group of 25-30 highly motivated students. I managed to cover “only” the first three chapters, as I included some material on Bayes factor approximation and only barely reached Metropolis-Hastings. Here are the slides, modified from the original ... [Read more...]

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