Archive for course
p-value graffiti in the lift [jatp]
Posted in Statistics with tags 1960s, basic statistics, course, jatp, lift, p-value, picture, teaching, Université Paris Dauphine on January 3, 2019 by xi'an
I thought I did make a mistake but I was wrong…
Posted in Books, Kids, Statistics with tags Charles M. Schulz, confluent hypergeometric function, course, ENSAE, exercises, Gradsteyn, inverse normal distribution, MCMC, mixtures, Monte Carlo Statistical Methods, Peanuts, Ryzhik, typos on November 14, 2018 by xi'an
One of my students in my MCMC course at ENSAE seems to specialise into spotting typos in the Monte Carlo Statistical Methods book as he found an issue in every problem he solved! He even went back to a 1991 paper of mine on Inverse Normal distributions, inspired from a discussion with an astronomer, Caroline Soubiran, and my two colleagues, Gilles Celeux and Jean Diebolt. The above derivation from the massive Gradsteyn and Ryzhik (which I discovered thanks to Mary Ellen Bock when arriving in Purdue) is indeed incorrect as the final term should be the square root of 2β rather than 8β. However, this typo does not impact the normalising constant of the density, K(α,μ,τ), unless I am further confused.
annual visit to Oxford
Posted in Kids, pictures, Statistics, Travel, University life with tags Avalon, Bayesian statistics, course, Oxford, OxWaSP, Roxy Music, segregation, St. Hugh's College, University of Oxford, University of Warwick on February 1, 2018 by xi'an
As in every year since 2014, I am spending a few days in Oxford to teach a module on Bayesian Statistics to our Oxford-Warwick PhD students. This time I was a wee bit under the weather due to a mild case of food poisoning and I can only hope that my more than sedate delivery did not turn definitely the students away from Bayesian pursuits!
The above picture is at St. Hugh’s College, where I was staying. Or should it be Saint Hughes, since this 12th century bishop was a pre-Brexit European worker from Avalon, France… (This college was created in 1886 for young women of poorer background. And only opened to male students a century later. The 1924 rules posted in one corridor show how these women were considered to be so “dangerous” by the institution that they had to be kept segregated from men, except their brothers!, at all times…)
Why is it necessary to sample from the posterior distribution if we already KNOW the posterior distribution?
Posted in Statistics with tags accept-reject algorithm, course, cross validated, ENSAE, MCMC, Monte Carlo Statistical Methods, posterior distribution, probability, simulation on October 27, 2017 by xi'anI found this question on X validated somewhat hilarious, the more because of the shouted KNOW! And the confused impression that because one can write down π(θ|x) up to a constant, one KNOWS this distribution… It is actually one of the paradoxes of simulation that, from a mathematical perspective, once π(θ|x) is available as a function of (θ,x), all other quantities related with this distribution are mathematically perfectly and uniquely defined. From a numerical perspective, this does not help. Actually, when starting my MCMC course at ENSAE a few days later, I had the same question from a student who thought facing a density function like
f(x) ∞ exp{-||x||²-||x||⁴-||x||⁶}
was enough to immediately produce simulations from this distribution. (I also used this example to show the degeneracy of accept-reject as the dimension d of x increases, using for instance a Gamma proposal on y=||x||. The acceptance probability plunges to zero with d, with 9 acceptances out of 10⁷ for d=20.)
back in Oxford
Posted in pictures, Statistics, Travel, University life with tags course, England, Oxford, OxWaSP, slideshare, The Bayesian Choice, University of Oxford, University of Warwick on January 30, 2017 by xi'an
As in the previous years, I am back in Oxford (England) for my short Bayesian Statistics course in the joint Oxford-Warwick PhD programme, OxWaSP. For some unclear reason, presumably related to the Internet connection from Oxford, I have not been able to upload my slides to Slideshare, so here the [99.9% identical] older version:
