This was a fairly full day at the Structure and uncertainty modelling, inference and computation in complex stochastic systems workshop! After a good one hour run around the Clifton Down, the morning was organised around likelihood-free methods, mostly ABC, plus Arnaud Doucet’s study of methods based on unbiased estimators of the likelihood (à la Beaumont, with the novelty of assessing the inefficiency due to the estimation, really fascinating..). The afternoon was dedicated to graphical models. Nicolas Chopin gave an updated version of his Kyoto talk on EP-ABC where he resorted to composite likelihoods for hidden Markov models, (I then wondered about the parameterisation and the tolerance determination for this algorithm.) Oliver Ratman presented some of the work he did on the flu while in Duke, then move to a new approach for ABC tolerance based on various kinds of testing (which I found clearer than in Kyoto, maybe because I was not jet-lagged!) And I gave my talk on ABC-EL.I found the afternoon session harder to follow, mostly because I always have trouble understanding the motivations and the notations used on these models, albeit fascinating. I remained intrigued by the bidirectional dependence arrow in those graphs for the whole afternoon (even though I think I get it now!) After looking at the few posters presented this afternoon, I went for another short run in Leigh Woods, before joining a group of friends for an Indian dinner at the Brunel Raj. A very full day…!
Archive for uncertainty
Structure and uncertainty, Bristol, Sept. 25
Posted in pictures, Running, Statistics, Travel, Uncategorized, University life with tags ABC, Bristol, Brunel Raj, Clifton, ISBA, Kyoto, likelihood-free methods, SuSTain, uncertainty, University of Bristol on September 26, 2012 by xi'anprinciples of uncertainty
Posted in Books, R, Statistics, University life with tags book review, foundations, Jeffreys, Laplace's approximation, Lebesgue measure, Markov chains, MCMC, objective Bayes, objectivity, personalistic probability, R, renewal process, Steiltjes measure, subjectivity, uncertainty on October 14, 2011 by xi'an
Principles of uncertainty by Joseph (“Jay”) Kadane (Carnegie Mellon University, Pittsburgh) is a profound and mesmerising book on the foundations and principles of subjectivist or behaviouristic Bayesian analysis. Jay Kadane wrote Principles of uncertainty over a period of several years and, more or less in his own words, it represents the legacy he wants to leave for the future. The book starts with a large section on Jay’s definition of a probability model, with rigorous mathematical derivations all the way to Lebesgue measure (or more exactly the McShane-Stieltjes measure). This section contains many side derivations that pertain to mathematical analysis, in order to explain the subtleties of infinite countable and uncountable sets, and the distinction between finitely additive and countably additive (probability) measures. Unsurprisingly, the role of utility is emphasized in this book that keeps stressing the personalistic entry to Bayesian statistics. Principles of uncertainty also contains a formal development on the validity of Markov chain Monte Carlo methods that is superb and missing in most equivalent textbooks. Overall, the book is a pleasure to read. And highly recommended for teaching as it can be used at many different levels. Continue reading
