Publications by xi'an
non-stationary AR(10)
In the revision of Bayesian Core on which Jean-Michel Marin and I worked together most of last week, having missed our CIRM break last summer (!), we have now included an illustration of what happens to an AR(p) time series when the customary stationarity+causality condition on the roots of the associated polynomial is not satisfied. More speci...
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ABC [PhD] course
As mentioned in the latest post on ABC, I am giving a short doctoral course on ABC methods and convergence at CREST next week. I have now made a preliminary collection of my slides (plus a few from Jean-Michel Marin’s), available on slideshare (as ABC in Roma, because I am also giving the course in Roma, next month, with an R lab on top of it!)...
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Le Monde puzzle [#755?]
Le Monde puzzle of last weekend was about sudoku-like matrices. Consider an (n,n) matrix containing the integers from 1 to n². The matrix is “friendly” if the set of the sums of the rows is equal to the set of the sum of the columns. Find examples for n=4,5,6. Why is there no friendly matrix when n=9? Checking for small n’s seems easy en...
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the Art of R Programming [guest post]
(This post is the preliminary version of a book review by Alessandra Iacobucci, to appear in CHANCE. Enjoy [both the review and the book]!) As Rob J. Hyndman enthusiastically declares in his blog, “this is a gem of a book”. I would go even further and argue that The Art of R programming is a whole mine of gems. The book is well constructed, ...
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ultimate R recursion
One of my students wrote the following code for his R exam, trying to do accept-reject simulation (of a Rayleigh distribution) and constant approximation at the same time: fAR1=function(n){ u=runif(n) x=rexp(n) f=(C*(x)*exp(-2*x^2/3)) g=dexp(n,1) test=(u<f/(3*g)) y=x[test] p=length(y)/n #acceptance probability M=1/p C=M/3 hist(y,20,freq...
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the birthday problem [X’idated]
The birthday problem (i.e. looking at the distribution of the birthdates in a group of n persons, assuming [wrongly] a uniform distribution of the calendar dates of those birthdates) is always a source of puzzlement [for me]! For instance, here is a recent post on Cross Validated: I have 360 friends on facebook, and, as expected, the distributio...
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tenured research position with ABC skills!
I just received this announcement for the opening of a (tenured/civil servant) position in the national research institute in biostatistics, genetics, and agronomy, INRA: Position opening with profile Approximate inference techniques in complex systems Key activities and required skills: You will develop methodological research in the field of s...
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speed of R, C, &tc.
My Paris colleague (and fellow-runner) Aurélien Garivier has produced an interesting comparison of 4 (or 6 if you consider scilab and octave as different from matlab) computer languages in terms of speed for producing the MLE in a hidden Markov model, using EM and the Baum-Welch algorithms. His conclusions are that matlab is a lot faster than R...
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updated slides for ABC PhD course
Over the weekend, I have added a few slides referring to recent papers mentioning the convergence of ABC algorithms, in particular the very relevant paper by Dean et al. I had already discussed in an earlier post. (This is taking a larger chunk of my time than expected! I am glad I will use the same slides in Roma next month and presumably in Mel...
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recents advances in Monte Carlo Methods
Next Thursday (Jan. 16), at the RSS, there will be a special half-day meeting (afternoon, starting at 13:30) on Recent Advances in Monte Carlo Methods organised by the General Application Section. The speakers are Richard Everitt, University of Oxford, Missing data, and what to do about it Anthony Lee, Warwick University, Auxiliary variables and...
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