Osvaldo Martin

@aloctavodia.bsky.social

Research Fellow at Aalto University. Open source contributor #ArviZ, #Bambi, #Kulprit, #PreliZ, #PyMC, #PyMC-BART. Support me at https://ko-fi.com/aloctavodia https://bayes.club/@aloctavodia

1/ Great chat with Alex Andorra aka @learnbayesstats.bsky.social about efficient inference, from amortized to surrogate-based approaches and a variety of related topics (prior-fitted networks, foundation models for inference and planning, etc.), many of which are neural processes in a trenchcoat.

Pierre-Simon Laplace@learnbayesstats.bsky.social · 3mo ago

Episode 161 is out 🎧 In which @lacerbi.bsky.social explains why transformers are secretly neural processes, how his Amortized Conditioning Engine unifies inference and prediction, and why "amortize everything" needed a rethink. 🔗 learnbayesstats.com/episode/161-... #bayesian #bayesianinference

ArviZ now has built-in tools for prior & likelihood sensitivity analysis via power-scaling! Instead of fitting multiple models with different priors, you fit once and use importance sampling to approximate the effect of perturbing the prior or likelihood.

Bild

arviz-stats exposes two APIs: • Full xarray API (default): intended for end users doing statistical data analysis. • Array-only API (NumPy/SciPy): intended for PPL developers or advanced users, who want diagnostics without xarray as a dependency.

If you have been using LOO-PIT, this is a must read for you! @herman-tesso.bsky.social has done excellent work with this paper! Thanks for @florencebockting.bsky.social and @aloctavodia.bsky.social for getting this to bayesplot and ArviZ. I'll notify when I have my casestudies updated with this

Herman@herman-tesso.bsky.social · 8mo ago

If you have been using LOO-PIT, this is a must read for you; "LOO-PIT predictive model checking" by me and @avehtari.bsky.social , doi.org/10.48550/arX.... 1/4

Title: LOO-PIT predictive  model checking , 

Authors: Herman Tesso and Aki Vehtari , 

Abstract: We consider predictive checking for Bayesian model assessment using leave-one-out
probability integral transform (LOO-PIT). LOO-PIT values are conditional cumulative predictive
probabilities given LOO predictive distributions and corresponding left out observations. For a
well-calibrated model, LOO-PIT values should be near uniformly distributed, but in the finite sample
case they are not independent, due to LOO predictive distributions being determined by nearly the
same data (all but one observation). We prove that this dependency is non-negligible in the finite
case and depends on model complexity. We propose three testing procedures that can be used for
continuous and discrete dependent uniform values. We also propose an automated graphical method
for visualizing local departures from the null. Extensive numerical experiments on simulated and real
datasets demonstrate that the proposed tests achieve competitive performance overall and have much
higher power than standard uniformity tests based on the independence assumption that inevitably
lead to lower than expected rejection rate

Now I'm also looking for a research software engineer to implement a pile of research results to R packages loo, posterior, bayesplot, projpred, priorsense, brms or/and Python packages ArviZ, Bambi and Kulprit. Apply by email with no specific deadline (see contact info at users.aalto.fi/~ave/)

Aki Vehtari@avehtari.bsky.social · 12mo ago

I'm now also looking for a postdoc with strong Bayesian background and interest in developing Bayesian cross-validation theory, methods and software. Apply by email with no specific deadline (see contact information at users.aalto.fi/~ave/). Others, please share

I'm now also looking for a postdoc with strong Bayesian background and interest in developing Bayesian cross-validation theory, methods and software. Apply by email with no specific deadline (see contact information at users.aalto.fi/~ave/). Others, please share

Aki Vehtari@avehtari.bsky.social · last yr.

I'm looking for a doctoral student with Bayesian background to work on Bayesian workflow and cross-validation (see my publication list users.aalto.fi/~ave/publica... for my recent work) at Aalto University. Apply through the ELLIS PhD program (dl October 31) ellis.eu/news/ellis-p...

"Uncertainty in Bayesian leave-one-out cross-validation based model comparison" with Tuomas Sivula, Asael Alonzo Matamoros, and @mansmag.bsky.social, has been published in Bayesian Analysis doi.org/10.1214/25-B... 🧵 1/

Uncertainty in Bayesian Leave-One-Out Cross-Validation Based Model Comparison

It is useful to estimate the expected predictive performance of models planned to be used for prediction. We focus on leave-one-out cross-validation (LOO-CV), which has become a popular method for estimating predictive performance of Bayesian models. Given two models, we are interested in comparing the predictive performances and associated uncertainty, which can also be used to compute the probability of one model having better predictive performance than the other model. We study the properties of the Bayesian LOO-CV estimator and the related uncertainty quantification for the predictive performance difference, and analyse when a normal approximation of this uncertainty is well calibrated and whether taking into account higher moments could improve the approximation. We provide new results of the properties both theoretically in the linear regression case and empirically for hierarchical linear, latent linear, and spline models and discuss the challenges. We show that problematic cases include: comparing models with similar predictions, misspecified models, and small data. In these cases, there is a weak connection between the distributions of the LOO-CV estimator and its error. We show that that the problematic skewness of the error distribution for the difference, which occurs when the models make similar predictions, does not fade away when the data size grows to infinity in certain situations. Based on the results, we also provide some practical recommendations for the users of Bayesian LOO-CV for comparing predictive performance of models.

doi.org

Our faculty is looking for PhD students in artificial intelligence and machine learning! Meet our new Principal Investigators and apply for a PhD position by the end of October: www.ellisinstitute.fi/PIs-2025 All the info about the ELLIS PhD program is below! 👇

ELLIS Institute Finland welcomes 9 new professors as principal investigators and PS Fellows | ELLIS Institute Finland

Institute's first recruitment brings nine leading researchers to Finland

ellisinstitute.fi

ELLIS@ellis.eu · last yr.

🎓 The application portal for the #ELLISPhD Program is open today! Info & link: https://bit.ly/45DSe75

The Pink Book of #MarginalEffects (aka Model to Meaning) ships next week and I've got a backlog of Zoolander memes. Hope you're hungry for some spam in your timeline. #RStats #PyData

Bild
Vincent Arel-Bundock@vincentab.bsky.social · last yr.

Whoa—my book is up for pre-order! 𝐌𝐨𝐝𝐞𝐥 𝐭𝐨 𝐌𝐞𝐚𝐧𝐢𝐧𝐠: 𝐇𝐨𝐰 𝐭𝐨 𝐈𝐧𝐭𝐞𝐫𝐩𝐫𝐞𝐭 𝐒𝐭𝐚𝐭 & 𝐌𝐋 𝐌𝐨𝐝𝐞𝐥𝐬 𝐢𝐧 #Rstats 𝐚𝐧𝐝 #PyData The book presents an ultra-simple and powerful workflow to make sense of ± any model you fit The web version will stay free forever and my proceeds go to charity. tinyurl.com/4fk56fc8