We were talking about parallelizing MCMC and I came up with what I thought was a neat idea for parallelizing MCMC (sample with fractional prior, average samples on a per-draw basis). But then I realized this approach could get the right posterior mean or right posterior variance, but not both, depending on how the prior […]
We had some questions on the Stan list regarding identification. The topic arose because people were fitting models with improper posterior distributions, the kind of model where there’s a ridge in the likelihood and the parameters are not otherwise constrained. I tried to help by writing something on Bayesian identifiability for the Stan list. Then […]
And we’ll throw in RStan and PyStan for free! Details here.
Andrew and I have been discussing how we’re going to define functions in Stan for defining systems of differential equations; see our evolving ode design doc; comments welcome, of course. About Scope I mentioned to Andrew I would prefer pure lexical, static scoping, as found in languages like C++ and Java. If you’re not familiar […]
OK, so this sort of thing happens sometimes. I was working on a new idea (still working on it; if it ultimately works out—or if it doesn’t—I’ll let you know) and as part of it I was fitting little models in Stan, in a loop. I thought it would make sense to start with linear […]
There’s lots of overlap but I put each paper into only one category. Also, I’ve included work that has been published in 2013 as well as work that has been completed this year and might appear in 2014 or later. So you can can think of this list as representing roughly two years’ work. Political […]
From a response on the Stan help list: Yes, indeed, I think it would be a good idea to reduce the scale on priors of the form U(0,100) or N(0,100^2). This won’t solve all problems but it can’t hurt. If the issue is that the variance parameter can be very small in the estimation, yes, […]
This came up already but I’m afraid the point got lost in the middle of our long discussion of Rachel and Cathy’s book. So I’ll say it again: There’s so much that goes on with data that is about computing, not statistics. I do think it would be fair to consider statistics (which includes sampling, […]
OK, fine. Maybe they could work Stan on to the show next? I thought I could retire once I’d successfully inserted the phrase “multilevel regression and poststratification” into the NYT, but now I want more more more. Maybe a cage match between Stan and Mister P on the Itchy and Scratchy show?
The Stan meeting today reminded me of Joel Spolsky’s recasting of the Yiddish joke about Shlemiel the Painter. Joel retold it on his blog, Joel on Software, in the post Back to Basics: Shlemiel gets a job as a street painter, painting the dotted lines down the middle of the road. On the first day […]