Archive for classics
three ½ [out of 159] versions of Johnny B. Goode
Posted in Statistics with tags ACDC, Chuck Berry, classics, Jimmy Hendrix, Johnny B. Goode, rock'n roll, Sex Pistols on April 2, 2017 by xi'an
reading classics (The End)
Posted in Books, Kids, Statistics, University life with tags advanced Monte Carlo methods, classics, efficient importance sampling, evidence, Hamiltonian Monte Carlo, Monte Carlo Statistical Methods, nested sampling, seminar, slides, Université Paris Dauphine on February 24, 2015 by xi'an
Today was the final session of our Reading Classics Seminar for the academic year 2014-2015. I have not reported on this seminar much so far because it has had starting problems, namely hardly any student present on the first classes and therefore several re-starts until we reached a small group of interested students. And this is truly The End for this enjoyable experiment as this is the final year for my TSI Master at Paris-Dauphine, as it will become integrated within the new MASH Master next year.
As a last presentation for the entire series, my student picked John Skilling’s Nested Sampling, not that it was in my list of “classics”, but he had worked on the paper in a summer project and was thus reasonably fluent with the topic. As he did a good enough job (!), here are his slides.
Some of the questions that came to me during the talk were on how to run nested sampling sequentially, both in the data and in the number of simulated points, and on incorporating more deterministic moves in order to remove some of the Monte Carlo variability. I was about to ask about (!) the Hamiltonian version of nested sampling but then he mentioned his last summer internship on this very topic! I also realised during that talk that the formula (for positive random variables)
![\int_0^\infty(1-F(x))\text{d}x = \mathbb{E}_F[X]](https://s0.wp.com/latex.php?latex=%5Cint_0%5E%5Cinfty%281-F%28x%29%29%5Ctext%7Bd%7Dx+%3D+%5Cmathbb%7BE%7D_F%5BX%5D&bg=000000&fg=B0B0B0&s=0&c=20201002)
does not require absolute continuity of the distribution F.
reading classics (#1,2)
Posted in Books, Kids, Statistics, University life with tags Bernoulli distribution, classics, invariance, non-informative priors, Pitman, seminar, Université Paris Dauphine on December 4, 2014 by xi'anToday was the second session of our Reading Classics Seminar for the academic year 2014-2015. I have not reported on this seminar so far because it has had starting problems, namely hardly any student present on the first classes and therefore several re-starts until we reach a small group of interested students. Actually, this is the final year for my TSI Master at Paris-Dauphine, as it will become integrated within the new MASH Master next year. The latter started this year and drew away half of our potential applicants, presumably because of the wider spectrum between machine-learning, optimisation, programming and a tiny bit of statistics… If we manage to salvage [within the new Master] our speciality of offering the only Bayesian Statistics training in France, this will not be a complete disaster!
Anyway, the first seminar was about the great 1939 Biometrika paper by Pitman about the best invariant estimator appearing magically as a Bayes estimator! Alas, the student did not grasp the invariance part and hence focussed on less relevant technical parts, which was not a great experience (and therefore led me to abstain from posting the slides here). The second paper was not on my list but was proposed by another student as of yesterday when he realised he was to present today! This paper, entitled “The Counter-intuitive Non-informative Prior for the Bernoulli Family”, was published in the Journal of Statistics Education in 2004 by Zu and Liu, I had not heard of the paper (or of the journal) previously and I do not think it is worth advertising any further as it gives a very poor entry to non-informative priors in the simplest of settings, namely for Bernoulli B(p) observations. Indeed, the stance of the paper is to define a non-informative prior as one returning the MLE of p as its posterior expectation (missing altogether the facts that such a definition is parameterisation-invariant and that, given the modal nature of the MLE, a posterior mode would be much more appropriate, leading to the uniform prior of p as a solution) and that the corresponding prior was made of two Dirac masses at 0 and 1! Which again misses several key points like defining properly convergence in a space of probability distributions and using an improper prior differently from a proper prior. Esp. since in the next section, the authors switch to Haldane’s prior being the Be(0,0) distribution..! A prior that cannot be used since the posterior is not defined when all the observations are identical. Certainly not a paper to make it to the list! (My student simply pasted pages from this paper as his slides and so I see again no point in reposting them here. )
marauders of the lost sciences
Posted in Books, Statistics, University life with tags blogging, classics, graduate course, marauders of Gor, R.A. Fisher, Raiders of the Lost Ark, reading list on October 26, 2014 by xi'anThe editors of a new blog entitled Marauders of the Lost Sciences (Learn from the giants) sent me an email to signal the start of this blog with a short excerpt from a giant in maths or stats posted every day:
There is a new blog I wanted to tell you about which excerpts one interesting or classic paper or book a day from the mathematical sciences. We plan on daily posting across the range of mathematical fields and at any level, but about 20-30% of the posts in queue are from statistics. The goal is to entice people to read the great works of old. The first post today was from an old paper by Fisher applying Group Theory to the design of experiments.
Interesting concept, which will hopefully generate comments to put the quoted passage into context. Somewhat connected to my Reading Statistical Classics posts. Which incidentally if sadly will not take place this year since only two students registered. should take place in the end since more students registered! (I am unsure about the references behind the title of that blog, besides Spielberg’s Raiders of the Lost Ark and Norman’s Marauders of Gor… I just hope Statistics does not qualify as a lost science!)
[not] reading classics (#7)
Posted in Books, Kids, Statistics, University life with tags classics, Kaplan-Meier estimator, Master program, seminar, Université Paris Dauphine on December 15, 2013 by xi'anThis week, I decided not to report on the paper read at the Reading Classics student seminar, as it did not work out well-enough. The paper was the “Regression models and life-table” published in 1972 by David Cox… A classic if any! Indeed, I do not think posting a severe criticism of the presentation or the presentation itself would be of much use to anyone. It is rather sad as (a) the student clearly put some effort in the presentation, including a reproduction of an R execution, and (b) this was an entry on semi-parametrics, Kaplan-Meyer, truncated longitudinal data, and more, that could have benefited the class immensely. Alas, the talk did not take any distance from the paper, did not exploit the following discussion, and exceeded by far the allocated time, without delivering a comprehensible message. It is a complex paper with concise explanations, granted, but there were ways to find easier introductions to its contents in the more recent literature… It is possible that a second student takes over and presents her analysis of the paper next January. Unless she got so scared with this presentation that she will switch to another paper… [Season wishes to Classics Readers!]
