Statistics Blog

Earlier
While answering a question on X validated on the posterior mean being a weighted sum of the prior mean and of the maximum likelihood estimator, when the weights do not depend on the data, which is true in conjugate natural exponential family settings, I re-read this wonderful 1979 paper of Diaconis & Ylvisaker establishing the converse, namely that when the linear combination holds, the prior need be conjugate! This holds within exponential families, but I cannot think of a reasonable case outside exponential families where the linearity holds (again with constant weights, as otherwise it always holds in dimension one, [...]
Fri, Sep 18, 2020
Source: Xian Blog
Fri, Sep 18, 2020
Source: Xian Blog
Andrew Fowlie, Will Handley and Liangliang Su have recently arXived a new paper on checking the convergence of nested sampling by a uniformity test. The argument goes as follows: if the draw from the prior under the likelihood restriction (at the core of the nested sampling principle) is correctly generated, the rank of the realised value of the associated likelihood should be uniformly distributed among the remaining likelihoods. Obviously, the opposite does not hold:  a perfectly uniform distribution can happen even when the sampler misses a particularly well-hidden mode of the target disstribution or when it systematically stops too early, [...]
Thu, Sep 17, 2020
Source: Xian Blog
Next month, I am taking part in a workshop on sampling & clustering at the Max-Planck-Institut für Physik in Garching, Germany (near München). By giving a three hour introduction to ABC, as I did three years ago in Autrans. Being there and talking with local researchers if the sanitary conditions allow. From my office otherwise. Other speakers include Michael Betancourt on HMC and Johannes Buchner on nested sampling. The remote participation to this MPI workshop is both open and free, but participants must register before 18 September, namely tomorrow. [...]
Thu, Sep 17, 2020
Source: Xian Blog
The Algorithms & Computationally Intensive Inference seminar (access by request) will virtually resume this week in Warwick U on Friday, 18 Sept., at noon (UK time, ie +1GMT) with a talk by (my coauthor and former PhD student) Clara Grazian (now at UNSW), talking about approximate Bayes for copulas: Many proposals are now available to model complex data, in particular thanks to the recent advances in computational methodologies and algorithms which allow to work with complicated likelihood function in a reasonable amount of time. However, it is, in general, difficult to analyse data characterized by complicated forms of dependence. Copula models [...]
Wed, Sep 16, 2020
Source: Xian Blog
The Nature group is launching a series of new on-line-only journals, including Nature Computational Science which could be of interest to some readers of the ‘Og. It is rather unfortunate that statistics is not explicitly mentioned in the list below. And that the only acknowledged editors are the chief editor, Fernando Chirigati, and the consulting edutor, Yann Sweeney. Nature does not have an editorial board in the standard way Nature Computational Science is a multidisciplinary journal that focuses on the development and use of computational techniques and mathematical models, as well as their application to address complex problems across a range [...]
Tue, Sep 15, 2020
Source: Xian Blog

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