Archive for random walk

IISA 2024

Posted in Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , on January 12, 2025 by xi'an

The IISA 2024 conference was held at the Cochin University of Science and Technology (CUSAT), where talks and posters took place. Among the sessions I attended, I attended a  talk on colliding random walks that made three or more  impossible in the limit, missed the only privacy talk that I could have attended by Vinayak Rao for indulging into a dawnish swimming session in the very decent hotel pool. In the first session I organised, loosely connected with BNP, Antonietta Mira presented a recent work on predicting EU carbon compensation rates, using a information imbalance rank substitute to correlation that could prove quite interesting in privacy settings, albeit no invariant to reparameterisations (with potential connections with Wasserstein distances), Sonia Petrone gave an overview on her substantial amount of work on empirical Bayes in Bayes (EBIB), making me wonder at natural ABC or EM ways to bypass the computation of the empirical Bayes hyperparameter computation (but also on measuring the overfitting degree of EBIB-ing), maybe exploiting the representation of the marginal as an average of predictive, and Debdeep Pati argued towards an interpretable and robust ML, using for estimation divergence a mixture of two KL’s that is remindful of GANs (as well as of Lasso and exponentially tilted empirical likelihood à la Chib & al.), implemented by a form of Bbootstrap. Plus enjoying a locally flavoured acronym, namely BETEL.
The second session I organised was centred on Bayesian computations, with both Sid Chib and Ritabrata Dutta (U Warwick) presenting a Bayesian modelling of difference-in-difference models in clinical trials and several works on (score based) generalized Bayes models with Shreya Roy (U Warwick), who further won a poster prize at IISA 2024. I terminated the session with a talk on our insufficient Gibbs sampler, which connected with some aspects of both Sid’s and Rito’s talks.

As in earlier editions of IISA I attended, the local organisation was most enjoyable, from supportive staff and students, relaxed atmosphere, easy commutes, heaps of great food, and unlimited chai! Plus meeting and listening to participants I had met in these earlier editions. Looking forward the 2026 edition!

grass hopping on the wrong fgpt

Posted in Statistics with tags , , on May 14, 2023 by xi'an

Checking the R coding abilities of ChatGPT, I entered the latest Riddler puzzle that asks for the expected value of the stationary distribution of a slowing-down random walk over the real line when the N-th jump from x is to x±2-N. Which is ½ since the limiting distribution is uniform over (-1,1). The first proposed solution kept returning 0 due to a poor initialisation (and a wrong understanding of the puzzle):


The second attempt does not run (because there is no exact zero in the cumulated distance)and does not make sense (because the random walk has no stopping rule).  The third attempt runs (!) but again misses the point by adding the absolute jump values until a return to zero. And even pointing out the mistake to ChatGPT does not result into a fourth correct solution

random walk with renewal riddle

Posted in Books, Kids, Statistics with tags , , , on February 19, 2023 by xi'an

The Riddler of this week had a rather straightforward puzzle, which can be summarised as finding the expectation of the number of steps needed for a random walk on {1,2,…,N} to reach state 1 when starting at N, if it moves by -1 with probability p and back to N with probability (1-p). Since the return to N is a renewal, the number of steps M is equal to N-1 with probability pN-1 and to i+1+M’ with probability pi(1-p) for 0≤i≤N-2, M and M’ being iid. Hence a point fixe equation

E=(N-1)p^{N-1}+\sum_{i=0}^{N-2}(i+1+E)p^i(1-p))

leading to

E=\frac{1-p^{N-1}}{p^{N-1}(1-p)}

which correctly returns p⁻¹ when N=2.

clair obscur #3 [jatp]

Posted in pictures, Travel with tags , , , , , , , on February 17, 2022 by xi'an

clair obscur #2 [jatp]

Posted in pictures, Travel with tags , , , , , , , , , on February 16, 2022 by xi'an