Archive for Bayes factor

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.

AppliBUGS day celebrating Jean-Louis Foulley

Posted in pictures, Statistics, University life with tags , , , , , , on June 10, 2014 by xi'an

Sunset from Paris-Dauphine, Nov. 12, 2010In case you are in Paris tomorrow and free, there will be an AppliBUGS day focussing on the contributions of our friend Jean-Louis Foulley. (And a regular contributor to the ‘Og!) The meeting takes place in the ampitheatre on second floor of  ENGREF-Montparnasse (19 av du Maine, 75015 Paris, Métro Montparnasse Bienvenüe). I will give a part of the O’Bayes tutorial on alternatives to the Bayes factor.

a refutation of Johnson’s PNAS paper

Posted in Books, Statistics, University life with tags , , , , , , , on February 11, 2014 by xi'an

Jean-Christophe Mourrat recently arXived a paper “P-value tests and publication bias as causes for high rate of non-reproducible scientific results?”, intended as a rebuttal of Val Johnson’s PNAS paper. The arguments therein are not particularly compelling. (Just as ours’ may sound so to the author.)

“We do not discuss the validity of this [Bayesian] hypothesis here, but we explain in the supplementary material that if taken seriously, it leads to incoherent results, and should thus be avoided for practical purposes.”

The refutation is primarily argued as a rejection of the whole Bayesian perspective. (Although we argue Johnson’ perspective is not that Bayesian…) But the argument within the paper is much simpler: if the probability of rejection under the null is at most 5%, then the overall proportion of false positives is also at most 5% and not 20% as argued in Johnson…! Just as simple as this. Unfortunately, the author mixes conditional and unconditional, frequentist and Bayesian probability models. As well as conditioning upon the data and conditioning upon the rejection region… Read at your own risk. Continue reading

On the use of marginal posteriors in marginal likelihood estimation via importance-sampling

Posted in R, Statistics, University life with tags , , , , , , , , , , , , , on November 20, 2013 by xi'an

Perrakis, Ntzoufras, and Tsionas just arXived a paper on marginal likelihood (evidence) approximation (with the above title). The idea behind the paper is to base importance sampling for the evidence on simulations from the product of the (block) marginal posterior distributions. Those simulations can be directly derived from an MCMC output by randomly permuting the components. The only critical issue is to find good approximations to the marginal posterior densities. This is handled in the paper either by normal approximations or by Rao-Blackwell estimates. the latter being rather costly since one importance weight involves B.L computations, where B is the number of blocks and L the number of samples used in the Rao-Blackwell estimates. The time factor does not seem to be included in the comparison studies run by the authors, although it would seem necessary when comparing scenarii.

After a standard regression example (that did not include Chib’s solution in the comparison), the paper considers  2- and 3-component mixtures. The discussion centres around label switching (of course) and the deficiencies of Chib’s solution against the current method and Neal’s reference. The study does not include averaging Chib’s solution over permutations as in Berkoff et al. (2003) and Marin et al. (2005), an approach that does eliminate the bias. Especially for a small number of components. Instead, the authors stick to the log(k!) correction, despite it being known for being quite unreliable (depending on the amount of overlap between modes). The final example is Diggle et al. (1995) longitudinal Poisson regression with random effects on epileptic patients. The appeal of this model is the unavailability of the integrated likelihood which implies either estimating it by Rao-Blackwellisation or including the 58 latent variables in the analysis.  (There is no comparison with other methods.)

As a side note, among the many references provided by this paper, I did not find trace of Skilling’s nested sampling or of safe harmonic means (as exposed in our own survey on the topic).

whetstone and alum block for Occam’s razor

Posted in Statistics, University life with tags , , , , , , on August 1, 2013 by xi'an

A strange title, if any! (The whetstone is a natural hard stone used for sharpening steel instruments, like knifes or sickles and scythes, I remember my grand-fathers handling one when cutting hay and weeds. Alum is hydrated potassium aluminium sulphate and is used as a blood coagulant. Both items are naturally related with shaving and razors, if not with Occam!) The whole title of the paper published by Guido Consonni, Jon Forster and Luca La Rocca in Statistical Science is “The whetstone and the alum block: balanced objective Bayesian comparison of nested models for discrete data“. The paper builds on the notions introduced in the last Valencia meeting by Guido and Luca (and discussed by Judith Rousseau and myself).

Beyond the pun (that forced me to look for “alum stone” on Wikipedia!, and may be lost on some other non-native readers), the point in the title is to build a prior distribution aimed at the comparison of two models such that those models are more sharply distinguished: Occam’s razor would thus cut better when the smaller model is true (hence the whetstone) and less when it is not (hence the alum block)… The solution proposed by the authors is to replace the reference prior on the larger model, π1, with a moment prior à la Johnson and Rossell (2010, JRSS B) and then to turn this moment prior into an intrinsic prior à la Pérez and Berger (2002, Biometrika), making it an “intrinsic moment”. The first transform turns π1 into a non-local prior, with the aim of correcting for the imbalanced convergence rates of the Bayes factor under the null and under the alternative (this is the whetstone). The second transform accumulates more mass in the vicinity of the null model (this is the alum block). (While I like the overall perspective on intrinsic priors, the introduction is a wee confusing about them, e.g. when it mentions fictive observations instead of predictives.)

Being a referee for this paper, I read it in detail (and also because this is one of my favourite research topics!) Further, we already engaged into a fruitful discussion with Guido since the last Valencia meeting and the current paper incorporates some of our comments (and replies to others). I find the proposal of the authors clever and interesting, but not completely Bayesian. Overall, the paper provides a clearly novel methodology that calls for further studies…

Continue reading

who’s afraid of the big B wolf?

Posted in Books, Statistics, University life with tags , , , , , , , , , , on March 13, 2013 by xi'an

Aris Spanos just published a paper entitled “Who should be afraid of the Jeffreys-Lindley paradox?” in the journal Philosophy of Science. This piece is a continuation of the debate about frequentist versus llikelihoodist versus Bayesian (should it be Bayesianist?! or Laplacist?!) testing approaches, exposed in Mayo and Spanos’ Error and Inference, and discussed in several posts of the ‘Og. I started reading the paper in conjunction with a paper I am currently writing for a special volume in  honour of Dennis Lindley, paper that I will discuss later on the ‘Og…

“…the postdata severity evaluation (…) addresses the key problem with Fisherian p-values in the sense that the severity evaluation provides the “magnitude” of the warranted discrepancy from the null by taking into account the generic capacity of the test (that includes n) in question as it relates to the observed data”(p.88)

First, the antagonistic style of the paper is reminding me of Spanos’ previous works in that it relies on repeated value judgements (such as “Bayesian charge”, “blatant misinterpretation”, “Bayesian allegations that have undermined the credibility of frequentist statistics”, “both approaches are far from immune to fallacious interpretations”, “only crude rules of thumbs”, &tc.) and rhetorical sleights of hand. (See, e.g., “In contrast, the severity account ensures learning from data by employing trustworthy evidence (…), the reliability of evidence being calibrated in terms of the relevant error probabilities” [my stress].) Connectedly, Spanos often resorts to an unusual [at least for statisticians] vocabulary that amounts to newspeak. Here are some illustrations: “summoning the generic capacity of the test”, ‘substantively significant”, “custom tailoring the generic capacity of the test”, “the fallacy of acceptance”, “the relevance of the generic capacity of the particular test”, yes the term “generic capacity” is occurring there with a truly high frequency. Continue reading

estimating a constant (not really)

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on October 12, 2012 by xi'an

Larry Wasserman wrote a blog entry on the normalizing constant paradox, where he repeats that he does not understand my earlier point…Let me try to recap here this point and the various comments I made on StackExchange (while keeping in mind all this is for intellectual fun!)

The entry is somehow paradoxical in that Larry acknowledges (in that post) that the analysis in his book, All of Statistics, is wrong. The fact that “g(x)/c is a valid density only for one value of c” (and hence cannot lead to a notion of likelihood on c) is the very reason why I stated that there can be no statistical inference nor prior distribution about c: a sample from f does not bring statistical information about c and there can be no statistical estimate of c based on this sample. (In case you did not notice, I insist upon statistical!)

To me this problem is completely different from a statistical problem, at least in the modern sense: if I need to approximate the constant c—as I do in fact when computing Bayes factors—, I can produce an arbitrarily long sample from a certain importance distribution and derive a converging (and sometimes unbiased) approximation of c. Once again, this is Monte Carlo integration, a numerical technique based on the Law of Large Numbers and the stabilisation of frequencies. (Call it a frequentist method if you wish. I completely agree that MCMC methods are inherently frequentist in that sense, And see no problem with this because they are not statistical methods. Of course, this may be the core of the disagreement with Larry and others, that they call statistics the Law of Large Numbers, and I do not. This lack of separation between both notions also shows up in a recent general public talk on Poincaré’s mistakes by Cédric Villani! All this may just mean I am irremediably Bayesian, seeing anything motivated by frequencies as non-statistical!) But that process does not mean that c can take a range of values that would index a family of densities compatible with a given sample. In this Monte Carlo integration approach, the distribution of the sample is completely under control (modulo the errors induced by pseudo-random generation). This approach is therefore outside the realm of Bayesian analysis “that puts distributions on fixed but unknown constants”, because those unknown constants parameterise the distribution of an observed sample. Ergo, c is not a parameter of the sample and the sample Larry argues about (“we have data sampled from a distribution”) contains no information whatsoever about c that is not already in the function g. (It is not “data” in this respect, but a stochastic sequence that can be used for approximation purposes.) Which gets me back to my first argument, namely that c is known (and at the same time difficult or impossible to compute)!

Let me also answer here the comments on “why is this any different from estimating the speed of light c?” “why can’t you do this with the 100th digit of π?” on the earlier post or on StackExchange. Estimating the speed of light means for me (who repeatedly flunked Physics exams after leaving high school!) that we have a physical experiment that measures the speed of light (as the original one by Rœmer at the Observatoire de Paris I visited earlier last week) and that the statistical analysis infers about c by using those measurements and the impact of the imprecision of the measuring instruments (as we do when analysing astronomical data). If, now, there exists a physical formula of the kind

c=\int_\Xi \psi(\xi) \varphi(\xi) \text{d}\xi

where φ is a probability density, I can imagine stochastic approximations of c based on this formula, but I do not consider it a statistical problem any longer. The case is thus clearer for the 100th digit of π: it is also a fixed number, that I can approximate by a stochastic experiment but on which I cannot attach a statistical tag. (It is 9, by the way.) Throwing darts at random as I did during my Oz tour is not a statistical procedure, but simple Monte Carlo à la Buffon…

Overall, I still do not see this as a paradox for our field (and certainly not as a critique of Bayesian analysis), because there is no reason a statistical technique should be able to address any and every numerical problem. (Once again, Persi Diaconis would almost certainly differ, as he defended a Bayesian perspective on numerical analysis in the early days of MCMC…) There may be a “Bayesian” solution to this particular problem (and that would nice) and there may be none (and that would be OK too!), but I am not even convinced I would call this solution “Bayesian”! (Again, let us remember this is mostly for intellectual fun!)


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