Sadly, it is only with Bill’s passing away that I became aware he had very recently written a book on Stein estimation with Yuzo Maruyama and Tatsuya Kubokawa (a coauthor of mine’s whom I met in 1989 during a summer visit at Carleton University, Ottawa). I have not read it in detail despite its brevity but it is centred on estimating the mean vector of a multivariate normal distribution with the first chapter describing the inadmissibility of the MLE/best equivariant estimator, the second chapter providing results on admissibility, inadmissibility and minimaxity of (generalized) Bayes estimators for a known variance as in Strawderman (1971) and the third chapter expanding to the unknown scale case.
Archive for Rutgers University
Stein estimation [not a book review]
Posted in Books, pictures, Statistics, Travel, University life with tags book review, James-Stein estimator, location-scale parameterisation, normal mean, Rutgers University, springer, Stein effect, William Strawderman on October 16, 2024 by xi'anWilliam (Bill) Strawderman (1941-2024)
Posted in pictures, Statistics, University life with tags admissibility, apple brandy, Bayesian decision theory, Bill Strawderman, Calvados, Charles Dickens, credible intervals, Institut de Mathématiques de Jussieu, James-Stein estimator, minimaxity, New Brunswick, New Jersey, Paris 6, Pitman nearness, Rutgers University, shrinkage estimation, Université de Rouen on October 3, 2024 by xi'an
Earlier today, I was informed by several of our mutual friends that my long-time friend Bill Strawderman had sadly passed away yesterday, after fighting a cancer for the past months. I remember quite clearly meeting Bill in the Fall of 1988 in front of White Hall, which hosted the Cornell maths department at the time, as he was visiting George Casella from Rutgers where he spent most of his career. I was most eager to meet him as I had worked on several of his landmark papers during my PhD on shrinkage estimation, as well as a bit impressed. But his kindness, modesty, and congenial personality quickly put me at ease and we spent the rest of his visit discussing shrinkage but also literature and music. Especially Dickens! After that we met and collaborated quite regularly, to the point he started visiting France upon my return, at Paris 6 (Pierre & Marie Curie) University first, and then in Rouen, where he became a adjunct professor and launched a life-long collaboration and friendship with Dominique Fourdrinier. As my interest in shrinkage estimation dwindled along the years, we did not keep collaborating for the past two decades, but we remained in touch and I was very happy to participate in his 80th anniversary celebration in Rutgers two years ago. His contributions to the field are notable and several papers of his were part of the Bayesian classics I was giving my graduate class a few years ago. From the fabulous minimaxity paper of 1984, along with George Casella, to admissible estimators dominating the positive-part James-Stein estimator, to sufficient conditions of minimaxity for proper Bayes estimators, to decision theoretic properties of Bayesian credible interval estimators, to loss estimation, not to mention his more applied side… Besides his fabulous sense of humour, which made many evenings with him memorable, I will also cherish the memory of a bon vivant who liked good food and good wines, incl. the Calvados apple brandy I would bring him at each of my visits.
JSM 2024, Portland, Day 3
Posted in pictures, Running, Statistics, Travel, University life with tags AI, American Statistical Association, Arianna Rosenbluth, ASA, bandits, Bayesian lasso, Bayesian model averaging, Bayesian model choice, Bayesian nonparametrics, classification, Committee of Presidents of Statistical Societies, completely random measures, convergence diagnostics, COPSS Presidents' Award, data science, David Blackwell, EM algorithm, generalised Bayesian inference, Gibbs measure, Ising model, jISBA, Joint Statistical Meeting, JSM 2024, missing species problem, Monte Carlo EM, Mount Hood National Forest, open water swimming, Oregon, Portland, Rutgers University, spike-and-slab prior, stochastic localization, Thompson sampling, United States of America, Willamette River on August 9, 2024 by xi'an
Bayesian contributed session as the first round of the third day (with a choice of five parallel sessions featuring Bayesian topics!!, actually easier to pick than among the following eight parallel sessions of the 10:30 schedule!!!), with a talk by Tahir Ekin on adversarial outlier detection that could connect with our Oceaner(c) privacy concerns. Then one involving spike & slab (a theme to figure prominently in this special day!!) in mixed response models by Sameer Deshpande, seeking a (unBayesian!) MAP for a latent variable model by Monte Carlo EM. Followed by a talk by Yunyi Shen on completely random measures for estimating the (distribution of the) number of species in heterogeneous populations. Next, Valentin Zulj on (frequentist rather than) Bayesian stacking, on estimating optimal weights for model averaging (which should be posterior probabilities in a pure Bayesian mindframe), including a score function that could lead to generalised Bayesian inference on said weights. Finishing with a talk by Chaegeun Song on correcting Bayesian credible sets towards (frequentist, again!!!) exact coverage for classification (which reminded me of my very first paper with George on correcting frequentist confidence for Binomial observations). With which I could not really engage as seeking a specific coverage level did not seem relevant, imho, but I appreciated the wheel plot representation.
My second morn session was about modern (what else?!) sampling algorithms, although I spent the first dozen minutes wondering whether or not I had entered the wrong room. Until Tianhao Wang focussed on Thompson sampling for bandits. It did prove far enough from my interest for my (sleep deprived) attention to drift too quickly. Only the talk by Yuchen Wu on a spike & slab (as suits the day!) challenge captured enough this wandering attention. Crossing further into my realm of primary topics by considering a target distribution that is a product of distributions. But I did not get from her presentation how a product measure decomposition was inducing higher efficiency (and did not find answers within the arXived preprint). Unless it exploited specific features of the target, like conditional independence between the components. The last talk was by Brice Huang on sampling low temperature Gibbs measures using stochastic localisation.
After coming upon a row of food trucks across the conference centre and being unfairly attracted by an Ethiopian injera picture into a terrible wrap, I returned for the Skeptical about AI session, just a few minutes late, only to find accessing the session was impossible! Quite sad to miss the presentations and the arguments (even though I had heard a previous talk by Genevera Allen when visiting Rutgers two years ago). As a second best, I then joined the recent (of course!) Advances in Bayesian Computation (aka ABC?!) session with a medley of topics, including a data subset versus data sketching model reduction by Sudipto Saha. Which could have consequences on our privacy strategies. And marginal evidence estimation for the Bayesian Lasso by Christopher Hans while avoiding data completion. And another latent variable model with a sequential variational Bayes approach by Bao Anh Vu, using at one point Cappé et al. (2005) EM-based approximation to the log likelihood gradient. Finishing by a back-to-the-future talk by Luke Duttweiler on MCMC convergence diagnostics. Comparing several chains via proximity maps that themselves require some preliminary knowledge about the MCMC kernel. (Nice title though, “the traceplot thickens”!)
The crux of the day was however the 2024 COPSS Award ceremony with several friends featuring among the recipients, Danielle Durante for the Emerging Leaders Award, Regina Liu for the Elizabeth L. Scott Award and Veronika Rockova for the Presidents’ Award. Congrats!!!



MCMC without evaluating the target [aatB-mMC joint seminar, 24 April]
Posted in pictures, Statistics, Travel, University life with tags All about that Bayes, Balard, Bayesian computational methods, doubly intractable problems, exchange algorithm, intractable likelihood, MCMC, mostly Monte Carlo seminar, normalising constant, PariSanté campus, Porte de Versailles, Rutgers University, sampling, seminar on April 11, 2024 by xi'an
On 24 April 2024, Guanyang Wang (Rutgers University, visiting ESSEC) will give a joint All about that Bayes – mostly Monte Carlo seminar on
MCMC when you do not want to evaluate the target distribution
In sampling tasks, it is common for target distributions to be known up to a normalizing constant. However, in many situations, evaluating even the unnormalized distribution can be costly or infeasible. This issue arises in scenarios such as sampling from the Bayesian posterior for large datasets and the ‘doubly intractable’ distributions. We provide a way to unify various MCMC algorithms, including several minibatch MCMC algorithms and the exchange algorithm. This framework not only simplifies the theoretical analysis of existing algorithms but also creates new algorithms. Similar frameworks exist in the literature, but they concentrate on different objectives.
The talk takes place at 4pm CEST, in room 8 at PariSanté Campus, Paris 15.
COPSS’gratulations!
Posted in Statistics, University life with tags ASA, COPSS Elizabeth L. Scott Award, COPSS Emerging Leader Award, COPSS Presidents' Award, ENAR, IMS, ISBA 2024, JSM 2024, Portland, profession, Rutgers University, SSC, Università Bocconi, Università Ca' Foscari Venezia, University of Chicago, Venice, WNAR on April 2, 2024 by xi'anCongrats to my friends Daniele, Regina, and Veronika, who received three of the 2024 COPSS awards! Looking forward to celebrate with them in the near future, at ISBA 2024 in Venezia or JSM 2024 in Portland!!! (COPSS stands for Committee of Presidents of [some] Statistical Societies, namely ASA, ENAR, WNAR, IMS, and SSC).