Archive for Bayesian inference

a concise introduction to statistical inference [book review]

Posted in Statistics with tags , , , , , , , , , , on February 16, 2017 by xi'an

[Just to warn readers and avoid emails about Xi’an plagiarising Christian!, this book was sent to me by CRC Press for a review. To be published in CHANCE.]

This is an introduction to statistical inference. And with 180 pages, it indeed is concise! I could actually stop the review at this point as a concise review of a concise introduction to statistical inference, as I do not find much originality in this introduction, intended for “mathematically sophisticated first-time student of statistics”. Although sophistication is in the eye of the sophist, of course, as this book has margin symbols in the guise of integrals to warn of section using “differential or integral calculus” and a remark that the book is still accessible without calculus… (Integral calculus as in Riemann integrals, not Lebesgue integrals, mind you!) It even includes appendices with the Greek alphabet, summation notations, and exponential/logarithms.

“In statistics we often bypass the probability model altogether and simply specify the random variable directly. In fact, there is a result (that we won’t cover in detail) that tells us that, for any random variable, we can find an appropriate probability model.” (p.17)

Given its limited mathematical requirements, the book does not get very far in the probabilistic background of statistics methods, which makes the corresponding chapter not particularly helpful as opposed to a prerequisite on probability basics. Since not much can be proven without “all that complicated stuff about for any ε>0” (p.29). And makes defining correctly notions like the Central Limit Theorem impossible. For instance, Chebychev’s inequality comes within a list of admitted results. There is no major mistake in the chapter, even though mentioning that two correlated Normal variables are jointly Normal (p.27) is inexact.

“The power of a test is the probability that you do not reject a null that is in fact correct.” (p.120)

Most of the book follows the same pattern as other textbooks at that level, covering inference on a mean and a probability, confidence intervals, hypothesis testing, p-values, and linear regression. With some words of caution about the interpretation of p-values. (And the unfortunate inversion of the interpretation of power above.) Even mentioning the Cult [of Significance] I reviewed a while ago.

Given all that, the final chapter comes as a surprise, being about Bayesian inference! Which should make me rejoice, obviously, but I remain skeptical of introducing the concept to readers with so little mathematical background. And hence a very shaky understanding of a notion like conditional distributions. (Which reminds me of repeated occurrences on X validated when newcomers hope to bypass textbooks and courses to grasp the meaning of posteriors and such. Like when asking why Bayes Theorem does not apply for expectations.) I can feel the enthusiasm of the author for this perspective and it may diffuse to some readers, but apart from being aware of the approach, I wonder how much they carry away from this brief (decent) exposure. The chapter borrows from Lee (2012, 4th edition) and from Berger (1985) for the decision-theoretic part. The limitations of the exercise are shown for hypothesis testing (or comparison) by the need to restrict the parameter space to two possible values. And for decision making. Similarly, introducing improper priors and the likelihood principle [distinguished there from the law of likelihood] is likely to get over the head of most readers and clashes with the level of the previous chapters. (And I do not think this is the most efficient way to argue in favour of a Bayesian approach to the problem of statistical inference: I have now dropped all references to the likelihood principle from my lectures. Not because of the controversy, but simply because the students do not get it.) By the end of the chapter, it is unclear a neophyte would be able to spell out how one could specify a prior for one of the problems processed in the earlier chapters. The appendix on de Finetti’s formalism on personal probabilities is very much unlikely to help in this regard. While it sounds so far beyond the level of the remainder of the book.

MAP as Bayes estimators

Posted in Books, Kids, Statistics with tags , , , , on November 30, 2016 by xi'an

screenshot_20161122_123607Robert Bassett and Julio Deride just arXived a paper discussing the position of MAPs within Bayesian decision theory. A point I have discussed extensively on the ‘Og!

“…we provide a counterexample to the commonly accepted notion of MAP estimators as a limit of Bayes estimators having 0-1 loss.”

The authors mention The Bayesian Choice stating this property without further precautions and I completely agree to being careless in this regard! The difficulty stands with the limit of the maximisers being not necessarily the maximiser of the limit. The paper includes an example to this effect, with a prior as above,  associated with a sampling distribution that does not depend on the parameter. The sufficient conditions proposed therein are that the posterior density is almost surely proper or quasiconcave.

This is a neat mathematical characterisation that cleans this “folk theorem” about MAP estimators. And for which the authors are to be congratulated! However, I am not very excited by the limiting property, whether it holds or not, as I have difficulties conceiving the use of a sequence of losses in a mildly realistic case. I rather prefer the alternate characterisation of MAP estimators by Burger and Lucka as proper Bayes estimators under another type of loss function, albeit a rather artificial one.

postdoc on missing data at École Polytechnique

Posted in Kids, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , on November 18, 2016 by xi'an

Julie Josse contacted me for advertising a postdoc position at École Polytechnique, in Palaiseau, south of Paris. “The fellowship is focusing on missing data. Interested graduates should apply as early as possible since the position will be filled when a suitable candidate is found. The Centre for Applied Mathematics (CMAP) is  looking for highly motivated individuals able to develop a general multiple imputation method for multivariate continuous and categorical variables and its implementation in the free R software. The successful candidate will be part of research group in the statistical team on missing values. The postdoc will also have excellent opportunities to collaborate with researcher in public health with partners on the analysis of a large register from the Paris Hospital (APHP) to model the decisions and events when severe trauma patients are handled by emergency doctors. Candidates should contact Julie Josse at”

Nature snapshot [Volume 539 Number 7627]

Posted in Books, Statistics, University life with tags , , , , , , , , , , on November 15, 2016 by xi'an

A number of entries of interest [to me] in that Nature issue: from the Capuchin monkeys that break stones in a way that resembles early hominins biface tools, to the persistent association between some sounds and some meanings across numerous languages, to the use of infected mosquitoes in South America to fight Zika, to the call for more maths in psychiatry by the NIMH director, where since prevision is mentioned I presumed stats is included, to the potentially earthshaking green power revolution in Africa, to the reconstruction of the first HIV strains in North America, along with the deconstruction of the “Patient 0” myth, helped by Bayesian phylogenetic analyses, to a cover of the Open Syllabus Project, with Monte Carlo Statistical Methods arriving first [in the Monte Carlo list]….

“Observations should not converge on one model but aim to find anomalies that carry clues about the nature of dark matter, dark energy or initial conditions of the Universe. Further observations should be motivated by testing unconventional interpretations of those anomalies (such as exotic forms of dark matter or modified theories of gravity). Vast data sets may contain evidence for unusual behaviour that was unanticipated when the projects were conceived.” Avi Loeb

One editorial particularly drew my attention, Good data are not enough, by the astronomer Avi Loeb. as illustrated  by the quote above, Loeb objects to data being interpreted and even to data being collected towards the assessment of the standard model. While I agree that this model contains a lot of fudge factors like dark matter and dark energy, which apparently constitutes most of the available matter, the discussion is quite curious, in that interpreting data according to alternative theories sounds impossible and certainly beyond the reach of most PhD students [as Loeb criticises the analysis of some data in a recent thesis he evaluated].

“modern cosmology is augmented by unsubstantiated, mathematically sophisticated ideas — of the multiverse, anthropic reasoning and string theory.

The author argues to always allow for alternative interpretations of the data, which sounds fine at a primary level but again calls for the conception of such alternative models. When discrepancies are found between the standard model and the data, they can be due to errors in the measurement itself, in the measurement model, or in the theoretical model. However, they may be impossible to analyse outside the model, in the neutral way called and wished by Loeb. Designing neutral experiments sounds even less meaningful. Which is why I am fairly taken aback by the call to “a research frontier [that] should maintain at least two ways of interpreting data so that new experiments will aim to select the correct one”! Why two and not more?! And which ones?! I am not aware of fully developed alternative theories and cannot see how experiments designed under one model could produce indications about a new and incomplete model.

“Such simple, off-the-shelf remedies could help us to avoid the scientific fate of the otherwise admirable Mayan civilization.”

Hence I am bemused by the whole exercise, which deepest arguments seem to be a paper written by the author last year and an interdisciplinary centre on black holes also launched recently by the same author.

copy code at your own peril

Posted in Books, Kids, R, Statistics, University life with tags , , , , , on November 14, 2016 by xi'an

I have come several times upon cases of scientists [I mean, real, recognised, publishing, senior scientists!] from other fields blindly copying MCMC code from a paper or website, and expecting the program to operate on their own problem… One illustration is from last week, when I read a X Validated question [from 2013] about an attempt of that kind, on a rather standard Normal posterior, but using an R code where the posterior function was not even defined. (I foolishly replied, despite having no expectation of a reply from the person asking the question.)

Lindley’s paradox as a loss of resolution

Posted in Books, pictures, Statistics with tags , , , , , , , , on November 9, 2016 by xi'an

“The principle of indifference states that in the absence of prior information, all mutually exclusive models should be assigned equal prior probability.”

lindleypColin LaMont and Paul Wiggins arxived a paper on Lindley’s paradox a few days ago. The above quote is the (standard) argument for picking (½,½) partition between the two hypotheses, which I object to if only because it does not stand for multiple embedded models. The main point in the paper is to argue about the loss of resolution induced by averaging against the prior, as illustrated by the picture above for the N(0,1) versus N(μ,1) toy problem. What they call resolution is the lowest possible mean estimate for which the null is rejected by the Bayes factor (assuming a rejection for Bayes factors larger than 1). While the detail is missing, I presume the different curves on the lower panel correspond to different choices of L when using U(-L,L) priors on μ… The “Bayesian rejoinder” to the Lindley-Bartlett paradox (p.4) is in tune with my interpretation, namely that as the prior mass under the alternative gets more and more spread out, there is less and less prior support for reasonable values of the parameter, hence a growing tendency to accept the null. This is an illustration of the long-lasting impact of the prior on the posterior probability of the model, because the data cannot impact the tails very much.

“If the true prior is known, Bayesian inference using the true prior is optimal.”

This sentence and the arguments following is meaningless in my opinion as knowing the “true” prior makes the Bayesian debate superfluous. If there was a unique, Nature provided, known prior π, it would loose its original meaning to become part of the (frequentist) model. The argument is actually mostly used in negative, namely that since it is not know we should not follow a Bayesian approach: this is, e.g., the main criticism in Inferential Models. But there is no such thing as a “true” prior! (Or a “true’ model, all things considered!) In the current paper, this pseudo-natural approach to priors is utilised to justify a return to the pseudo-Bayes factors of the 1990’s, when one part of the data is used to stabilise and proper-ise the (improper) prior, and a second part to run the test per se. This includes an interesting insight on the limiting cases of partitioning corresponding to AIC and BIC, respectively, that I had not seen before. With the surprising conclusion that “AIC is the derivative of BIC”!

SAS on Bayes

Posted in Books, Kids, pictures, R, Statistics, University life with tags , , , , , , , on November 8, 2016 by xi'an

Following a question on X Validated, I became aware of the following descriptions of the pros and cons of Bayesian analysis, as perceived by whoever (Tim Arnold?) wrote SAS/STAT(R) 9.2 User’s Guide, Second Edition. I replied more specifically on the point

It [Bayesian inference] provides inferences that are conditional on the data and are exact, without reliance on asymptotic approximation. Small sample inference proceeds in the same manner as if one had a large sample. Bayesian analysis also can estimate any functions of parameters directly, without using the “plug-in” method (a way to estimate functionals by plugging the estimated parameters in the functionals).

which I find utterly confusing and not particularly relevant. The other points in the list are more traditional, except for this one

It provides interpretable answers, such as “the true parameter θ has a probability of 0.95 of falling in a 95% credible interval.”

that I find somewhat unappealing in that the 95% probability has only relevance wrt to the resulting posterior, hence has no absolute (and definitely no frequentist) meaning. The criticisms of the prior selection

It does not tell you how to select a prior. There is no correct way to choose a prior. Bayesian inferences require skills to translate subjective prior beliefs into a mathematically formulated prior. If you do not proceed with caution, you can generate misleading results.

It can produce posterior distributions that are heavily influenced by the priors. From a practical point of view, it might sometimes be difficult to convince subject matter experts who do not agree with the validity of the chosen prior.

are traditional but nonetheless irksome. Once acknowledged there is no correct or true prior, it follows naturally that the resulting inference will depend on the choice of the prior and has to be understood conditional on the prior, which is why the credible interval has for instance an epistemic rather than frequentist interpretation. There is also little reason for trying to convince a fellow Bayesian statistician about one’s prior. Everything is conditional on the chosen prior and I see less and less why this should be an issue.