Christian Robert

  1. Issues in designing hybrid algorithms.

    Authors: Christian Robert, Kerrie Mengersen, Jeong Lee, Ross McVinish
    Subjects: Methodology
    Abstract

    In the Bayesian community, an ongoing imperative is to develop efficient
    algorithms. An appealing approach is to form a hybrid algorithm by combining
    ideas from competing existing techniques. This paper addresses issues in
    designing hybrid methods by considering selected case studies: the delayed
    rejection algorithm, the pinball sampler, the Metropolis adjusted Langevin
    algorithm, and the population Monte Carlo algorithm. We observe that even if
    each component of a hybrid algorithm has individual strengths, they may not
    contribute equally or even positively when they are combined.

  2. Monte Carlo algorithms for model assessment via conflicting summaries.

    Authors: Christian Robert, Oliver Ratmann, Sylvia Richardson, Pierre Pudlo
    Subjects: Methodology
    Abstract

    The development of statistical methods and numerical algorithms for model
    choice is vital to many real-world applications. In practice, the ABC approach
    can be instrumental for sequential model design; however, the theoretical basis
    of its use has been questioned. We present a measure-theoretic framework for
    using the ABC error towards model choice and describe how easily existing
    rejection, Metropolis-Hastings and sequential importance sampling ABC
    algorithms are extended for the purpose of model checking.

  3. Why approximate Bayesian computational (ABC) methods cannot handle model choice problems.

    Authors: Christian Robert, Natesh S. Pillai, Jean-Michel Marin
    Subjects: Computation
    Abstract

    Approximate Bayesian computation (ABC), also known as likelihood-free
    methods, have become a favourite tool for the analysis of complex stochastic
    models, primarily in population genetics but also in financial analyses. We
    advocated in Grelaud et al.

  4. On resolving the Savage-Dickey paradox.

    Authors: Christian Robert, Jean-Michel Marin
    Subjects: Statistics
    Abstract

    The Savage-Dickey ratio is known as a specialised representation of the Bayes
    factor (O'Hagan and Forster, 2004) that allows for a functional plugging
    approximation of this quantity. We demonstrate here that it is a generic
    approximation method instead of an identity imposing constraints on the prior
    distributions, while incidentally clarifying the measure-theoretic bases of the
    method. We provide furthermore a general framework to produce a converging
    approximation of the Bayes factor that is unrelated with the earlier approach
    of Verdinelli and Wasserman (1995).

  5. A History of Markov Chain Monte Carlo--Subjective Recollections from Incomplete Data--.

    Authors: Christian Robert, George Casella
    Subjects: Computation
    Abstract

    In this note we attempt to trace the history and development of Markov chain
    Monte Carlo (MCMC) from its early inception in the late 1940's through its use
    today. We see how the earlier stages of the Monte Carlo (MC, not MCMC) research
    have led to the algorithms currently in use. More importantly, we see how the
    development of this methodology has not only changed our solutions to problems,
    but has changed the way we think about problems.

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