Publications by xi'an
approximate lasso
Here is a representation of the precision of a kernel density estimate (second axis) against the true value of the density (first axis), which looks like a lasso of sorts, hence the title. I am not sure this tells much, except that the estimated values are close to the true values and that a given value of f(x) is associated with two different es...
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Journal of Open Source Software
A week ago, I received a request for refereeing a paper for the Journal of Open Source Software, which I have never seen (or heard of) before. The concept is quite interesting with a scope much broader than statistical computing (as I do not know anyone in the board and no-one there seems affiliated with a Statistics department). Papers are very ...
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importance sampling by kernel smoothing [experiment]
Following my earlier post on Delyon and Portier’s proposal to replacing the true importance distribution ƒ with a leave-one-out (!) kernel estimate in the importance sampling estimator, I ran a simple one-dimensional experiment to compare the performances of the traditional method with this alternative. The true distribution is a N(0,½) with...
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grim knight [a riddle]
The Riddler of this week had a riddle that is a variation of the knight tour problem, namely “…how long is the longest path a knight can travel on a standard 8-by-8 chessboard without letting the path intersect itself?” the riddle being then one of a self-avoiding random walk [kind]… As I could not get back to sleep last night, I spent a ...
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tractable Bayesian variable selection: beyond normality
David Rossell and Francisco Rubio (both from Warwick) arXived a month ago a paper on non-normal variable selection. They use two-piece error models that preserve manageable inference and allow for simple computational algorithms, but also characterise the behaviour of the resulting variable selection process under model misspecification. Interest...
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an attempt at EP-ABC from scratch, nothing more… [except for a few bugs]
Following a request from one of the reviewers of our chapter Likelihood-free model choice, I tried to run EP-ABC on a toy problem and to compare it with the outcome of a random forest ABC. Literally starting from scratch, namely from the description found in Simon and Nicolas’ JASA paper. To run my test, I chose as my modelled data an exponen...
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ratio-of-uniforms
One approach to random number generation that had always intrigued me is Kinderman and Monahan’s (1977) ratio-of-uniform method. The method is based on the result that the uniform distribution on the set A of (u,v)’s in R⁺xX such that 0≤u²≤ƒ(v/u) induces the distribution with density proportional to ƒ on V/U. Hence the name. The proo...
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a grim knight [cont’d]
As discussed in the previous entry, there are two interpretations to this question from The Riddler: “…how long is the longest path a knight can travel on a standard 8-by-8 board without letting the path intersect itself?” as to what constitutes a path. As a (terrible) chess player, I would opt for the version on the previous post, the kn...
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ratio-of-uniforms [#2]
Following my earlier post on Kinderman’s and Monahan’s (1977) ratio-of-uniform method, I must confess I remain quite puzzled by the approach. Or rather by its consequences. When looking at the set A of (u,v)’s in R⁺×X such that 0≤u²≤ƒ(v/u), as discussed in the previous post, it can be represented by its parameterised boundary u(x)=...
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SAS on Bayes
Following a question on X Validated, I became aware of the following descriptions of the pros and cons of Bayesian analysis, as perceived by whoever (Tim Arnold?) wrote SAS/STAT(R) 9.2 User’s Guide, Second Edition. I replied more specifically on the point It [Bayesian inference] provides inferences that are conditional on the data and are exac...
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