Archive for ABC

ABC model choice by random forests [guest post]

Posted in pictures, R, Statistics, University life with tags , , , , , , , , , , on August 11, 2014 by xi'an

[Dennis Prangle sent me his comments on our ABC model choice by random forests paper. Here they are! And I appreciate very much contributors commenting on my paper or others, so please feel free to join.]

treerise6This paper proposes a new approach to likelihood-free model choice based on random forest classifiers. These are fit to simulated model/data pairs and then run on the observed data to produce a predicted model. A novel “posterior predictive error rate” is proposed to quantify the degree of uncertainty placed on this prediction. Another interesting use of this is to tune the threshold of the standard ABC rejection approach, which is outperformed by random forests.

The paper has lots of thought-provoking new ideas and was an enjoyable read, as well as giving me the encouragement I needed to read another chapter of the indispensable Elements of Statistical Learning However I’m not fully convinced by the approach yet for a few reasons which are below along with other comments.

Alternative schemes

The paper shows that random forests outperform rejection based ABC. I’d like to see a comparison to more efficient ABC model choice algorithms such as that of Toni et al 2009. Also I’d like to see if the output of random forests could be used as summary statistics within ABC rather than as a separate inference method.

Posterior predictive error rate (PPER)

This is proposed to quantify the performance of a classifier given a particular data set. The PPER is the proportion of times the classifier’s most favoured model is incorrect for simulated model/data pairs drawn from an approximation to the posterior predictive. The approximation is produced by a standard ABC analysis.

Misclassification could be due to (a) a poor classifier or (b) uninformative data, so the PPER aggregrates these two sources of uncertainty. I think it is still very desirable to have an estimate of the uncertainty due to (b) only i.e. a posterior weight estimate. However the PPER is useful. Firstly end users may sometimes only care about the aggregated uncertainty. Secondly relative PPER values for a fixed dataset are a useful measure of uncertainty due to (a), for example in tuning the ABC threshold. Finally, one drawback of the PPER is the dependence on an ABC estimate of the posterior: how robust are the results to the details of how this is obtained?


This paper illustrates an important link between ABC and machine learning classification methods: model choice can be viewed as a classification problem. There are some other links: some classifiers make good model choice summary statistics (Prangle et al 2014) or good estimates of ABC-MCMC acceptance ratios for parameter inference problems (Pham et al 2014). So the good performance random forests makes them seem a generally useful tool for ABC (indeed they are used in the Pham et al al paper).

JSM 2014, Boston [#3]

Posted in Statistics, University life with tags , , , , , , , on August 8, 2014 by xi'an

Today I gave a talk in the Advances in model selection session. Organised by Veronika Rockova and Ed George. (A bit of pre-talk stress: I actually attempted to change my slides at 5am and only managed to erase the current version! I thus left early enough to stop by the presentation room…) Here are the final slides, which have much in common with earlier versions, but also borrowed from Jean-Michel Marin’s talk in Cambridge. A posteriori, I think the talk missed one slide on the practical run of the ABC random forest algorithm, since later questions showed miscomprehension from the audience.

The other talks in this session were by Andreas Buja [whom I last met in Budapest last year] on valid post-modelling inference. A very relevant reflection on the fundamental bias in statistical modelling. Then by Nick Polson, about efficient ways to compute MAP for objective functions that are irregular.  Great entry into optimisation methods I had never heard of earlier.! (The abstract is unrelated.) And last but not least by Veronika Rockova, on mixing Indian buffet processes with spike-and-slab priors for factor analysis with unknown numbers of factors. A definitely advanced contribution to factor analysis, with a very nice idea of introducing a non-identifiable rotation to align on orthogonal designs. (Here too the abstract is unrelated, a side effect of the ASA requiring abstracts sent very long in advance.)

Although discussions lasted well into the following Bayesian Inference: Theory and Foundations session, I managed to listen to a few talks there. In particular, a talk by Keli Liu on constructing non-informative priors. A question of direct relevance. The notion of objectivity is to achieve a frequentist distribution of the Bayes factor associated with the point null that is constant. Or has a constant quantile at a given level. The second talk by Alexandra Bolotskikh related to older interests of mine’s, namely the construction of improved confidence regions in the spirit of Stein. (Not that surprising, given that a coauthor is Marty Wells, who worked with George and I on the topic.) A third talk by Abhishek Pal Majumder (jointly with Jan Hanning) dealt on a new type of fiducial distributions, with matching prior properties. This sentence popped a lot over the past days, but this is yet another area where I remain puzzled by the very notion. I mean the notion of fiducial distribution. Esp. in this case where the matching prior gets even closer to being plain Bayesian.

JSM 2014, Boston

Posted in Books, Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on August 6, 2014 by xi'an

A new Joint Statistical meeting (JSM), first one since JSM 2011 in Miami Beach. After solving [or not] a few issues on the home front (late arrival, one lost bag, morning run, flat in a purely residential area with no grocery store nearby and hence no milk for tea!), I “trekked” to [and then through] the faraway and sprawling Boston Convention Centre and was there in (plenty of) time for Mathias Drton’s Medalion Lecture on linear structural equations. (The room was small and crowded and I was glad to be there early enough!, although there were no Cerberus [Cerberi?] to prevent additional listeners to sit on the ground, as in Washington D.C. a few years ago.) The award was delivered to Mathias by Nancy Reid from Toronto (and reminded me of my Medallion Lecture in exotic Fairbanks ten years ago). I had alas missed Gareth Roberts’ Blackwell Lecture on Rao-Blackwellisation, as I was still in the plane from Paris, trying to cut on my slides and to spot known Icelandic locations from glancing sideways at the movie The Secret Life of Walter Mitty played on my neighbour’s screen. (Vik?)

Mathias started his wide-ranging lecture by linking linear structural models with graphical models and specific features of covariance matrices. I did not spot a motivation for the introduction of confounding factors, a point that always puzzles me in this literature [as I must have repeatedly mentioned here]. The “reality check” slide made me hopeful but it was mostly about causality [another of or the same among my stumbling blocks]… What I have trouble understanding is how much results from the modelling and how much follows from this “reality check”. A novel notion revealed by the talk was the “trek rule“, expressing the covariance between variables as a product of “treks” (sequence of edges) linking those variables. This is not a new notion, introduced by Wright (1921), but it is a very elegant representation of the matrix inversion of (I-Λ) as a power series. Mathias made it sound quite intuitive even though I would have difficulties rephrasing the principle solely from memory! It made me [vaguely] wonder at computational implications for simulation of posterior distributions on covariance matrices. Although I missed the fundamental motivation for those mathematical representations. The last part of the talk was a series of mostly open questions about the maximum likelihood estimation of covariance matrices, from existence to unimodality to likelihood-ratio tests. And an interesting instance of favouring bootstrap subsampling. As in random forests.

I also attended the ASA Presidential address of Stephen Stigler on the seven pillars of statistical wisdom. In connection with T.E. Lawrence’s 1927 book. (Actually, 1922.) Itself in connection with Proverbs IX:1. Unfortunately wrongly translated as seven pillars rather than seven sages.  Here are Stephen’s pillars:

  1. aggregation, which leads to gain information by throwing away information, aka the sufficiency principle [one may wonder at the extension of this principleto non-exponantial families]
  2. information accumulating at the √n rate, aka precision of statistical estimates, aka CLT confidence [quoting our friend de Moivre at the core of this discovery]
  3. likelihood as the right calibration of the amount of information brought by a dataset [including Bayes' essay]
  4. intercomparison [i.e. scaling procedures from variability within the data, sample variation], eventually leading to the bootstrap
  5. regression [linked with Darwin's evolution of species, albeit paradoxically] as conditional expectation, hence as a Bayesian tool
  6. design of experiment [enters Fisher, with his revolutionary vision of changing all factors in Latin square designs]
  7. residuals [aka goodness of fit but also ABC!]

Maybe missing the positive impact of the arbitrariness of picking or imposing a statistical model upon an observed dataset. Maybe not as it is somewhat covered by #3, #4 and #7. The reliance on the reproducibility of the data could be the ground on which those pillars stand.

likelihood-free inference via classification

Posted in Books, Mountains, pictures, Statistics, Travel, University life with tags , , , , , on August 5, 2014 by xi'an

IMG_2268Last week, Michael Gutmann, Ritabrata Dutta, Samuel Kaski, and Jukka Corander posted on arXiv the last current of the paper they had presented at MCMSki 4. As indicated by its (above) title, it suggests implementing ABC based on classification tools. Thus making it somewhat connected to our recent random forest paper.

The starting idea in the paper is that datasets generated from distributions with different parameters should be easier to classify than datasets generated from distributions with different parameters. And that classification accuracy naturally induces a distance between datasets and between the parameters behind those datasets. We had followed some of the same track when starting using random forests, before realising that for our model choice setting, proceeding the entire ABC way once the random forest procedure had been constructed was counter-productive. Random forests are just too deadly as efficient model choice machines to try to compete with them through an ABC postprocessing. Performances are just… Not. As. Good!

A side question: I have obviously never thought about that before but why is the naïve Bayes classification rule so called?! It never sounded very Bayesian to me to (a) use the true value of the parameter and (b) average the classification performances. Interestingly, the authors (i) show identical performances of other classification methods (Fig. 2) and (ii) an exception for MA time series: when we first experimented random forests, raw data from an MA(2) model was tested to select between MA(1) and  MA(2) models, and the performances of the resulting random forest were quite poor.

Now, an opposition between our two approaches is that Michael and his coauthors also include point estimation within the range of classification-based ABC inference. As we stressed in our paper, we restrict the range to classification and model choice because we do not think those machine learning tools are stable and powerful enough to perform regression and posterior probability approximation. I also see a practical weakness in the estimation scheme proposed in this new paper. Namely that the Monte Carlo gets into the way of the consistency theorem. And possibly of the simulation method itself. Another remark is that, while the authors compare the fit produced by different classification methods, there should be a way to aggregate them towards higher efficiency. Returning once more to our random forest paper, we saw improved performances each time we included a reference method, from LDA to SVMs. It would be interesting to see a (summary) variable selection version of the proposed method. A final remark is that computing time and effort do not seem to get mentioned in the paper (unless Indian jetlag confuses me more than usual). I wonder how fast the computing effort grows with the sample size to reach parametric and quadratic convergence rates.

Cancun, ISBA 2014 [½ day #2]

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on July 19, 2014 by xi'an


Half-day #2 indeed at ISBA 2014, as the Wednesday afternoon kept to the Valencia tradition of free time, and potential cultural excursions, so there were only talks in the morning. And still the core poster session at (late) night. In which my student Kaniav Kamari presented a poster on a current project we are running with Kerrie Mengersen and Judith Rousseau on the replacement of the standard Bayesian testing setting with a mixture representation. Being half-asleep by the time the session started, I did not stay long enough to collect data on the reactions to this proposal, but the paper should be arXived pretty soon. And Kate Lee gave a poster on our importance sampler for evidence approximation in mixtures (soon to be revised!). There was also an interesting poster about reparameterisation towards higher efficiency of MCMC algorithms, intersecting with my long-going interest in the matter, although I cannot find a mention of it in the abstracts. And I had a nice talk with Eduardo Gutierrez-Pena about infering on credible intervals through loss functions. There were also a couple of appealing posters on g-priors. Except I was sleepwalking by the time I spotted them… (My conference sleeping pattern does not work that well for ISBA meetings! Thankfully, both next editions will be in Europe.)

Great talk by Steve McEachern that linked to our ABC work on Bayesian model choice with insufficient statistics, arguing towards robustification of Bayesian inference by only using summary statistics. Despite this being “against the hubris of Bayes”… Obviously, the talk just gave a flavour of Steve’s perspective on that topic and I hope I can read more to see how we agree (or not!) on this notion of using insufficient summaries to conduct inference rather than trying to model “the whole world”, given the mistrust we must preserve about models and likelihoods. And another great talk by Ioanna Manolopoulou on another of my pet topics, capture-recapture, although she phrased it as a partly identified model (as in Kline’s talk yesterday). This related with capture-recapture in that when estimating a capture-recapture model with covariates, sampling and inference are biased as well. I appreciated particularly the use of BART to analyse the bias in the modelling. And the talk provided a nice counterpoint to the rather pessimistic approach of Kline’s.

Terrific plenary sessions as well, from Wilke’s spatio-temporal models (in the spirit of his superb book with Noel Cressie) to Igor Prunster’s great entry on Gibbs process priors. With the highly significant conclusion that those processes are best suited for (in the sense that they are only consistent for) discrete support distributions. Alternatives are to be used for continuous support distributions, the special case of a Dirichlet prior constituting a sort of unique counter-example. Quite an inspiring talk (even though I had a few micro-naps throughout it!).

I shared my afternoon free time between discussing the next O’Bayes meeting (2015 is getting very close!) with friends from the Objective Bayes section, getting a quick look at the Museo Maya de Cancún (terrific building!), and getting some work done (thanks to the lack of wireless…)


Get every new post delivered to your Inbox.

Join 626 other followers