Statistics Blog

Earlier
Found a copy of Humans by Donald Westlake on the book sharing shelves at Dauphine. And read it within a few hours, as it is very light reading but quite funny nonetheless. If hardly ranking as a mystery novel. Or crime novel, unless the crime is Gaiacide and the criminal God. Reminded me of the equally light Bobby Dollar series by Tad Williams. As the main character is an angel, falling for humans as he tries to steer them towards the Armageddon. The setting is the early 1990s, with the main scares being atomic disaster (Chernobyl) and the AIDS pandemic. [...]
Fri, Jul 03, 2020
Source: Xian Blog
Just saw this new [one page] posting on arXiv, meaning an unbiased estimate of the determinant can be derived much faster. If less reliably. This trick can be helpful for (pseudo-marginal) MCMC steps when the determinant itself is of limited interest… (The importance version is not truly needed!) [...]
Thu, Jul 02, 2020
Source: Xian Blog
“An alternative approach is to model smaller, simpler aspects of the data, such that designing these submodels is easier, then combine the submodels.” An interesting paper by Andrew Manderson and Robert Goudie I read on arXiv on merging (or melding) several models together. With different data and different parameters. The assumption is one of a common parameter φ shared by all (sub)models. Since the product of the joint distributions across the m submodels involves m replicates of φ, the melded distribution is the product of the conditional distributions given φ, times a common (or pooled) prior on φ. Which leads to [...]
Wed, Jul 01, 2020
Source: Xian Blog
The weekly puzzle from Le Monde is a leaking variant on an old puzzle: Three buckets have capacities of 8, 5 and 3 litres, respectively. At the start of the game, the 8 litre bucket is full and both others are empty. Aiming at reaching exactly 4 litres in one bucket, water is transferred between buckets. However, a fraction 1/k is lost with each transfer. If k=9, it is possible to reach 4 litres in three operations? If k=7, is it at all possible to reach 4 litres? By sheer random search k=1/5 z=c(8,5,3) m [...]
Tue, Jun 30, 2020
Source: Xian Blog
Jackie Wong, Jon Forster (Warwick) and Peter Smith have just published a paper in Statistics & Computing on bridge sampling bias and improvement by splitting. “… known to be asymptotically unbiased, bridge sampling technique produces biased estimates in practical usage for small to moderate sample sizes (…) the estimator yields positive bias that worsens with increasing distance between the two distributions. The second type of bias arises when the approximation density is determined from the posterior samples using the method of moments, resulting in a systematic underestimation of the normalizing constant.” Recall that bridge sampling is based on a double trick [...]
Mon, Jun 29, 2020
Source: Xian Blog
Philippe Gagnon and et Arnaud Doucet have recently arXived a paper on a non-reversible version of reversible jump MCMC, the methodology introduced by Peter Green in 1995 to tackle Bayesian model choice/comparison/exploration. Whom Philippe presented at BayesComp20. “The objective of this paper is to propose sampling schemes which do not suffer from such a diffusive behaviour by exploiting the lifting idea (…)” The idea is related to lifting, creating non-reversible behaviour by adding a direction index (a spin) to the exploration of the models, assumed to be totally ordered, as with nested models (mixtures, changepoints, &tc.).  As with earlier versions of lifting, [...]
Sun, Jun 28, 2020
Source: Xian Blog

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