Friday, March 22, 2013

Bayesian Versus Frequentist

In 2008 I took a course from Michael Lavine called "Introduction to Statistical Thought".  Beyond delivering the material promised in the title, it also got me hooked on Bayesian inference by making the tools so readily accessible conceptually and technically.  One thing I did not get out of the class was a good understanding of how, in general, one goes about estimating things outside the Bayesian framework.  Cosma Shalizi just fixed that for me, and maybe he could for you too.  Somehow it's much easier for me to think about the technical requirements after seeing this sketch.  I am not sure why this is not part of Michael's class, but I can't repeat the class over and over just to find out if he skipped asymptotic estimation on purpose or by accident*.

* Michael's book (linked above) does have a new section on Asymptotics which was absent when I took the course!

Friday, March 15, 2013

Rcpp in NYC

Yesterday Dirk Eddelbuettel graced NYC with his presence to give a full-day workshop on Rcpp.  It was an epic in four parts (I, II, III, and IV).  I'm in the middle of putting some MCMC algorithms for mark-recapture movement data into a C++ library and writing the R interface so I thought it would be worth the effort to get down there and drink from the source of Rcpp knowledge. The source turned out to be a fire-hose, but Jared Lander plied us with bagels and Indian food (the Indian was my suggestion, but not as good as I remembered it) which helped with the endurance aspect. 

Interestingly, the overall content of the workshop was oriented toward people who had not committed much time to trying to figure out Rcpp and its associated tools on their own. Personally I would not spend that kind of money on a workshop if I weren't prepared to get the best return out of it, but hey, it's NYC. You can find $500 on the street*. Anyway, even if you walked in knowing only that you needed to interface R to a C++ library or just some small fast C++ function, you would have walked out happy.
 Some of the materials were old news to me but I did bring a long list of questions and Dirk tolerated them quite well.

The ones I asked were: