## estimation versus testing [again!]

Posted in Books, Statistics, University life with tags , , , , , , , , , , on March 30, 2017 by xi'an

The following text is a review I wrote of the paper “Parameter estimation and Bayes factors”, written by J. Rouder, J. Haff, and J. Vandekerckhove. (As the journal to which it is submitted gave me the option to sign my review.)

The opposition between estimation and testing as a matter of prior modelling rather than inferential goals is quite unusual in the Bayesian literature. In particular, if one follows Bayesian decision theory as in Berger (1985) there is no such opposition, but rather the use of different loss functions for different inference purposes, while the Bayesian model remains single and unitarian.

Following Jeffreys (1939), it sounds more congenial to the Bayesian spirit to return the posterior probability of an hypothesis H⁰ as an answer to the question whether this hypothesis holds or does not hold. This however proves impossible when the “null” hypothesis H⁰ has prior mass equal to zero (or is not measurable under the prior). In such a case the mathematical answer is a probability of zero, which may not satisfy the experimenter who asked the question. More fundamentally, the said prior proves inadequate to answer the question and hence to incorporate the information contained in this very question. This is how Jeffreys (1939) justifies the move from the original (and deficient) prior to one that puts some weight on the null (hypothesis) space. It is often argued that the move is unnatural and that the null space does not make sense, but this only applies when believing very strongly in the model itself. When considering the issue from a modelling perspective, accepting the null H⁰ means using a new model to represent the model and hence testing becomes a model choice problem, namely whether or not one should use a complex or simplified model to represent the generation of the data. This is somehow the “unification” advanced in the current paper, albeit it does appear originally in Jeffreys (1939) [and then numerous others] rather than the relatively recent Mitchell & Beauchamp (1988). Who may have launched the spike & slab denomination.

I have trouble with the analogy drawn in the paper between the spike & slab estimate and the Stein effect. While the posterior mean derived from the spike & slab posterior is indeed a quantity drawn towards zero by the Dirac mass at zero, it is rarely the point in using a spike & slab prior, since this point estimate does not lead to a conclusion about the hypothesis: for one thing it is never exactly zero (if zero corresponds to the null). For another thing, the construction of the spike & slab prior is both artificial and dependent on the weights given to the spike and to the slab, respectively, to borrow expressions from the paper. This approach thus leads to model averaging rather than hypothesis testing or model choice and therefore fails to answer the (possibly absurd) question as to which model to choose. Or refuse to choose. But there are cases when a decision must be made, like continuing a clinical trial or putting a new product on the market. Or not.

In conclusion, the paper surprisingly bypasses the decision-making aspect of testing and hence ends up with a inconclusive setting, staying midstream between Bayes factors and credible intervals. And failing to provide a tool for decision making. The paper also fails to acknowledge the strong dependence of the Bayes factor on the tail behaviour of the prior(s), which cannot be [completely] corrected by a finite sample, hence its relativity and the unreasonableness of a fixed scale like Jeffreys’ (1939).

## round-table on Bayes[ian[ism]]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , on March 7, 2017 by xi'an

In a [sort of] coincidence, shortly after writing my review on Le bayésianisme aujourd’hui, I got invited by the book editor, Isabelle Drouet, to take part in a round-table on Bayesianism in La Sorbonne. Which constituted the first seminar in the monthly series of the séminaire “Probabilités, Décision, Incertitude”. Invitation that I accepted and honoured by taking place in this public debate (if not dispute) on all [or most] things Bayes. Along with Paul Egré (CNRS, Institut Jean Nicod) and Pascal Pernot (CNRS, Laboratoire de chimie physique). And without a neuroscientist, who could not or would not attend.

While nothing earthshaking came out of the seminar, and certainly not from me!, it was interesting to hear of the perspectives of my philosophy+psychology and chemistry colleagues, the former explaining his path from classical to Bayesian testing—while mentioning trying to read the book Statistical rethinking reviewed a few months ago—and the later the difficulty to teach both colleagues and students the need for an assessment of uncertainty in measurements. And alluding to GUM, developed by the Bureau International des Poids et Mesures I visited last year. I tried to present my relativity viewpoints on the [relative] nature of the prior, to avoid the usual morass of debates on the nature and subjectivity of the prior, tried to explain Bayesian posteriors via ABC, mentioned examples from The Theorem that Would not Die, yet untranslated into French, and expressed reserves about the glorious future of Bayesian statistics as we know it. This seminar was fairly enjoyable, with none of the stress induced by the constraints of a radio-show. Just too bad it did not attract a wider audience!

## le bayésianisme aujourd’hui [book review]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , , , , on March 4, 2017 by xi'an

It is quite rare to see a book published in French about Bayesian statistics and even rarer to find one that connects philosophy of science, foundations of probability, statistics, and applications in neurosciences and artificial intelligence. Le bayésianisme aujourd’hui (Bayesianism today) was edited by Isabelle Drouet, a Reader in Philosophy at La Sorbonne. And includes a chapter of mine on the basics of Bayesian inference (à la Bayesian Choice), written in French like the rest of the book.

The title of the book is rather surprising (to me) as I had never heard the term Bayesianism mentioned before. As shown by this link, the term apparently exists. (Even though I dislike the sound of it!) The notion is one of a probabilistic structure of knowledge and learning, à la Poincaré. As described in the beginning of the book. But I fear the arguments minimising the subjectivity of the Bayesian approach should not be advanced, following my new stance on the relativity of probabilistic statements, if only because they are defensive and open the path all too easily to counterarguments. Similarly, the argument according to which the “Big Data” era makesp the impact of the prior negligible and paradoxically justifies the use of Bayesian methods is limited to the case of little Big Data, i.e., when the observations are more or less iid with a limited number of parameters. Not when the number of parameters explodes. Another set of arguments that I find both more modern and compelling [for being modern is not necessarily a plus!] is the ease with which the Bayesian framework allows for integrative and cooperative learning. Along with its ultimate modularity, since each component of the learning mechanism can be extracted and replaced with an alternative. Continue reading

## Bayesian parameter estimation versus model comparison

Posted in Books, pictures, Statistics with tags , , , , , , on December 5, 2016 by xi'an

John Kruschke [of puppies’ fame!] wrote a paper in Perspectives in Psychological Science a few years ago on the comparison between two Bayesian approaches to null hypotheses. Of which I became aware through a X validated question that seemed to confuse Bayesian parameter estimation with Bayesian hypothesis testing.

“Regardless of the decision rule, however, the primary attraction of using parameter estimation to assess null values is that the an explicit posterior distribution reveals the relative credibility of all the parameter values.” (p.302)

After reading this paper, I realised that Kruschke meant something completely different, namely that a Bayesian approach to null hypothesis testing could operate from the posterior on the corresponding parameter, rather than to engage into formal Bayesian model comparison (null versus the rest of the World). The notion is to check whether or not the null value stands within the 95% [why 95?] HPD region [modulo a buffer zone], which offers the pluses of avoiding a Dirac mass at the null value and a long-term impact of the prior tails on the decision, with the minus of replacing the null with a tolerance region around the null and calibrating the rejection level. This opposition is thus a Bayesian counterpart of running tests on point null hypotheses either by Neyman-Pearson procedures or by confidence intervals. Note that in problems with nuisance parameters this solution requires a determination of the 95% HPD region associated with the marginal on the parameter of interest, which may prove a challenge.

“…the measure provides a natural penalty for vague priors that allow a broad range of parameter values, because a vague prior dilutes credibility across a broad range of parameter values, and therefore the weighted average is also attenuated.” (p. 306)

While I agree with most of the critical assessment of Bayesian model comparison, including Kruschke’s version of Occam’s razor [and Lindley’s paradox] above, I do not understand how Bayesian model comparison fails to return a full posterior on both the model indices [for model comparison] and the model parameters [for estimation]. To state that it does not because the Bayes factor only depends on marginal likelihoods (p.307) sounds unfair if only because most numerical techniques to approximate the Bayes factors rely on preliminary simulations of the posterior. The point that the Bayes factor strongly depends on the modelling of the alternative model is well-taken, albeit the selection of the null in the “estimation” approach does depend as well on this alternative modelling. Which is an issue if one ends up accepting the null value and running a Bayesian analysis based on this null value.

“The two Bayesian approaches to assessing null values can be unified in a single hierarchical model.” (p.308)

Incidentally, the paper briefly considers a unified modelling that can be interpreted as a mixture across both models, but this mixture representation completely differs from ours [where we also advocate estimation to replace testing] since the mixture is at the likelihood x prior level, as in O’Neill and Kypriaos.

## ISBA 2016 [#4]

Posted in pictures, Running, Statistics, Travel with tags , , , , , , , , , , on June 17, 2016 by xi'an

As an organiser of the ABC session (along with Paul Fearnhead), I was already aware of most results behind the talks, but nonetheless got some new perspectives from the presentations. Ewan Cameron discussed a two-stage ABC where the first step is actually an indirect inference inference, which leads to a more efficient ABC step. With applications to epidemiology. Lu presented extensions of his work with Paul Fearnhead, incorporating regression correction à la Beaumont to demonstrate consistency and using defensive sampling to control importance sampling variance. (While we are working on a similar approach, I do not want to comment on the consistency part, but I missed how defensive sampling can operate in complex ABC settings, as it requires advanced knowledge on the target to be effective.) And Ted Meeds spoke about two directions for automatising ABC (as in the ABcruise), from incorporating the pseudo-random generator into the representation of the ABC target, to calling for deep learning advances. The inclusion of random generators in the transform is great, provided they can remain black boxes as otherwise they require recoding. (This differs from quasi-Monte Carlo ABC, which aims at reducing the variability due to sheer noise.) It took me a little while, but I eventually understood why Jan Haning saw this inclusion as a return to fiducial inference!

Merlise Clyde gave a wide-ranging plenary talk on (linear) model selection that looked at a large range of priors under the hat of generalised confluent hypergeometric priors over the mixing scale in Zellner’s g-prior. Some were consistent under one or both models, maybe even for misspecified models. Some parts paralleled my own talk on the foundations of Bayesian tests, no wonder since I mostly give a review before launching into a criticism of the Bayes factor. Since I think this may be a more productive perspective than trying to over-come the shortcomings of Bayes factors in weakly informative settings. Some comments at the end of Merlise’s talk were loosely connected to this view in that they called for an unitarian perspective [rather than adapting a prior to a specific inference problem] with decision-theoretic backup. Conveniently the next session was about priors and testing, obviously connected!, with Leo Knorr-Held considering g-priors for the Cox model, Kerrie Mengersen discussing priors for over-fitted mixtures and HMMs, and Dan Simpson entertaining us with his quest of a prior for a point process, eventually reaching PC priors.

## Using MCMC output to efficiently estimate Bayes factors

Posted in Books, R, Statistics, University life with tags , , , , on May 19, 2016 by xi'an

As I was checking for software to answer a query on X validated about generic Bayes factor derivation, I came across an R software called BayesFactor, which only applies in regression settings and relies on the Savage-Dickey representation of the Bayes factor

$B_{01}=\dfrac{f(y|\theta^0)}{m(y)}=\dfrac{\pi(\theta^0|y)}{\pi(\theta^0)}$

when the null hypothesis writes as θ=θ⁰ (and possibly additional nuisance parameters with [roughly speaking] an independent prior). As we discussed in our paper with Jean-Michel Marin [which got ignored by large!], this representation of the Bayes factor is based on picking a very specific version of the prior, or more exactly of three prior densities. Assuming such versions are selected, I wonder at the performances of this approximation, given that it involves approximating the marginal posterior at θ⁰….

“To ensure that the Bayes factor we compute using the Savage–Dickey ratio is the the ratio of marginal densities that we intend, the condition (…) is easily met by models which specify priors in which the nuisance parameters are independent of the parameters of interest.” Morey et al. (2011)

First, when reading Morey at al. (2011), I realised (a wee bit late!) that Chib’s method is nothing but a version of the Savage-Dickey representation when the marginal posterior can be estimated in a parametric (Rao-Blackwellised) way. However, outside hierarchical models based on conjugate priors such parametric approximations are intractable and non-parametric versions must be invoked instead, which necessarily degrades the quality of the method. A degradation that escalates with the dimension of the parameter θ. In addition, I am somewhat perplexed by the use of a Rao-Blackwell argument in the setting of the Dickey-Savage representation. Indeed this representation assumes that

$\pi_1(\psi|\theta_0)=\pi_0(\psi) \ \ \text{or}\quad \pi_1(\theta_0,\psi)=\pi_1(\theta_0)\pi_0(\psi)$

which means that [the specific version of] the conditional density of θ⁰ given ψ should not depend on the nuisance parameter. But relying on a Rao-Blackwellisation leads to estimate the marginal posterior via full conditionals. Of course, θ given ψ and y may depend on ψ, but still… Morey at al. (2011) advocate the recourse to Chib’s formula as optimal but this obviously requires the full conditional to be available. They acknowledge this point as moot, since it is sufficient from their perspective to specify a conjugate prior. They consider this to be a slight modification of the model (p.377). However, I see the evaluation of an estimated density at a single (I repeat, single!) point as being the direst part of the method as it is clearly more sensitive to approximations that the evaluation of a whole integral, since the later incorporates an averaging effect by definition. Hence, even if this method was truly available for all models, I would be uncertain of its worth when compared with other methods, except the harmonic mean estimator of course!

On the side, Morey at al. (2011) study a simple one-sample t test where they use an improper prior on the nuisance parameter σ, under both models. While the Savage-Dickey representation is correct in this special case, I fail to see why the identity would apply in every case under an improper prior. In particular, independence does not make sense with improper priors. The authors also indicate the possible use of this Bayes factor approximation for encompassing models. At first, I thought this could be most useful in our testing by mixture framework where we define an encompassing model as a mixture. However, I quickly realised that using a Beta Be(a,a) prior on the weight α with a<1 leads to an infinite density value at both zero and one, hence cannot be compatible with a Savage-Dickey representation of the Bayes factor.

## reversible chain[saw] massacre

Posted in Books, pictures, R, Statistics, University life with tags , , , , , , , , on May 16, 2016 by xi'an

A paper in Nature this week that uses reversible-jump MCMC, phylogenetic trees, and Bayes factors. And that looks at institutionalised or ritual murders in Austronesian cultures. How better can it get?!

“by applying Bayesian phylogenetic methods (…) we find strong support for models in which human sacrifice stabilizes social stratification once stratification has arisen, and promotes a shift to strictly inherited class systems.” Joseph Watts et al.

The aim of the paper is to establish that societies with human sacrifices are more likely to have become stratified and stable than societies without such niceties. The hypothesis to be tested is then about the evolution towards more stratified societies rather the existence of a high level of stratification.

“The social control hypothesis predicts that human sacrifice (i) co-evolves with social stratification, (ii) increases the chance of a culture gaining social stratification, and (iii) reduces the chance of a culture losing social stratification once stratification has arisen.” Joseph Watts et al.

The methodological question is then how can this be tested when considering those are extinct societies about which little is known. Grouping together moderate and high stratification societies against egalitarian societies, the authors tested independence of both traits versus dependence, with a resulting Bayes factor of 3.78 in favour of the latest. Other hypotheses of a similar flavour led to Bayes factors in the same range. Which is thus not overwhelming. Actually, given that the models are quite simplistic, I do not agree that those Bayes factors prove anything of the magnitude of such anthropological conjectures. Even if the presence/absence of human sacrifices is confirmed in all of the 93 societies, and if the stratification of the cultures is free from uncertainties, the evolutionary part is rather involved, from my neophyte point of view: the evolutionary structure (reproduced above) is based on a sample of 4,200 trees based on Bayesian analysis of Austronesian basic vocabulary items, followed by a call to the BayesTrait software to infer about evolution patterns between stratification levels, concluding (with p-values!) at a phylogenetic structure of the data. BayesTrait was also instrumental in deriving MLEs for the various transition rates, “in order to inform our choice of priors” (!). BayesTrait has an MCMC function used by the authors “to test for correlated evolution between traits” and derive the above Bayes factors. Using a stepping-stone method I am unaware of. And 10⁹ iterations (repeated 3 times for checking consistency)… Reversible jump is apparently used to move between constrained and unconstrained models, leading to the pie charts at the inner nodes of the above picture. Again a by-product of BayesTrait. The trees on the left and the right are completely identical, the difference being in the inference about stratification evolution (right) and sacrifice evolution (left). While the overall hypothesis makes sense at my layman level (as a culture has to be stratified enough to impose sacrifices from its members), I am not convinced that this involved statistical analysis brings that strong a support. (But it would make a fantastic topic for an undergraduate or a Master thesis!)