Publications by xi'an
je reviendrai à Montréal [MCM 2017]
Next summer of 2017, the biennial International Conference on Monte Carlo Methods and Applications (MCM) will take place in Montréal, Québec, Canada, on July 3-7. This is a mathematically-oriented meeting that works in alternance with MCqMC and that is “devoted to the study of stochastic simulation and Monte Carlo methods in general, from the...
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ratio-of-uniforms [#3]
Being still puzzled (!) by the ratio-of-uniform approach, mostly failing to catch its relevance for either standard distributions in a era when computing a cosine or an exponential is negligible, or non-standard distributions for which computing bounds and boundaries is out-of-reach, I kept searching for solutions that would include unbounded den...
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variance of an exponential order statistics
This afternoon, one of my Monte Carlo students at ENSAE came to me with an exercise from Monte Carlo Statistical Methods that I did not remember having written. And I thus “charged” George Casella with authorship for that exercise! Exercise 3.3 starts with the usual question (a) about the (Binomial) precision of a tail probability estimator, ...
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Example 7.3: what a mess!
A rather obscure question on Metropolis-Hastings algorithms on X Validated ended up being about our first illustration in Introducing Monte Carlo methods with R. And exposing some inconsistencies in the following example… Example 7.2 is based on a [toy] joint Beta x Binomial target, which leads to a basic Gibbs sampler. We thought this was stra...
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copy code at your own peril
I have come several times upon cases of scientists [I mean, real, recognised, publishing, senior scientists!] from other fields blindly copying MCMC code from a paper or website, and expecting the program to operate on their own problem… One illustration is from last week, when I read a X Validated question [from 2013] about an attempt of that ...
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analysing the US election result, from Oxford, England
Seth Flaxman (Oxford), Dougal J. Sutherland (UCL), Yu-Xiang Wang (CMU), and Yee Whye Teh (Oxford), published on arXiv this morning an analysis of the US election, in what they called most appropriately a post-mortem. Using ecological inference already employed after Obama’s re-election. And producing graphs like the following one:Filed under: p...
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simulation under zero measure constraints
A theme that comes up fairly regularly on X validated is the production of a sample with given moments, either for calibration motives or from a misunderstanding of the difference between a distribution mean and a sample average. Here are some entries on that topic: How to sample from a distribution so that mean of samples equals expected value?...
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postdoc on missing data at École Polytechnique
Julie Josse contacted me for advertising a postdoc position at École Polytechnique, in Palaiseau, south of Paris. “The fellowship is focusing on missing data. Interested graduates should apply as early as possible since the position will be filled when a suitable candidate is found. The Centre for Applied Mathematics (CMAP) is looking for hi...
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Monty Python generator
By some piece of luck I came across a paper by the late George Marsaglia, genial contributor to the field of simulation, and Wai Wan Tang, entitled The Monty Python method for generating random variables. As shown by the below illustration, the concept is to flip the piece H outside the rectangle back inside the rectangle, exploiting the remainin...
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sampling by exhaustion
The riddle set by The Riddler of last week sums up as follows: Within a population of size N, each individual in the population independently selects another individual. All individuals selected at least once are removed and the process iterates until one or zero individual is left. What is the probability that there is zero individual left? Wh...
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