Archive for Bayesian modelling

weakly informative reparameterisations

Posted in Books, pictures, R, Statistics, University life with tags , , , , , , , , , on February 14, 2018 by xi'an

Our paper, weakly informative reparameterisations of location-scale mixtures, with Kaniav Kamary and Kate Lee, got accepted by JCGS! Great news, which comes in perfect timing for Kaniav as she is currently applying for positions. The paper proposes a unidimensional mixture Bayesian modelling based on the first and second moment constraints, since these turn the remainder of the parameter space into a compact. While we had already developed an associated R package, Ultimixt, the current editorial policy of JCGS imposes the R code used to produce all results to be attached to the submission and it took us a few more weeks than it should have to produce a directly executable code, due to internal library incompatibilities. (For this entry, I was looking for a link to our special JCGS issue with my picture of Edinburgh but realised I did not have this picture.)

corrected MCMC samplers for multivariate probit models

Posted in Books, pictures, R, Statistics, University life with tags , , , , , , , , on May 6, 2015 by xi'an

“Moreover, IvD point out an error in Nobile’s derivation which can alter its stationary distribution. Ironically, as we shall see, the algorithms of IvD also contain an error.”

 Xiyun Jiao and David A. van Dyk arXived a paper correcting an MCMC sampler and R package MNP for the multivariate probit model, proposed by Imai and van Dyk in 2005. [Hence the abbreviation IvD in the above quote.] Earlier versions of the Gibbs sampler for the multivariate probit model by Rob McCulloch and Peter Rossi in 1994, with a Metropolis update added by Agostino Nobile, and finally an improved version developed by Imai and van Dyk in 2005. As noted in the above quote, Jiao and van Dyk have discovered two mistakes in this latest version, jeopardizing the validity of the output.

IvDykThe multivariate probit model considered here is a multinomial model where the occurrence of the k-th category is represented as the k-th component of a (multivariate) normal (correlated) vector being the largest of all components. The latent normal model being non-identifiable since invariant by either translation or scale, identifying constraints are used in the literature. This means using a covariance matrix of the form Σ/trace(Σ), where Σ is an inverse Wishart random matrix. In their 2005 implementation, relying on marginal data augmentation—which essentially means simulating the non-identifiable part repeatedly at various steps of the data augmentation algorithm—, Imai and van Dyk missed a translation term and a constraint on the simulated matrices that lead to simulations outside the rightful support, as illustrated from the above graph [snapshot from the arXived paper].

IvDyk1Since the IvD method is used in many subsequent papers, it is quite important that these mistakes are signalled and corrected. [Another snapshot above shows how much both algorithm differ!] Without much thinking about this, I [thus idly] wonder why an identifying prior is not taking the place of a hard identifying constraint, as it should solve the issue more nicely. In that it would create less constraints and more entropy (!) in exploring the augmented space, while theoretically providing a convergent approximation of the identifiable parts. I may (must!) however miss an obvious constraint preventing this implementation.

Shravan Vasishth at Bayes in Paris this week

Posted in Books, Statistics, University life with tags , , , , , , , , on October 20, 2014 by xi'an

Taking advantage of his visit to Paris this month, Shravan Vasishth, from University of Postdam, Germany, will give a talk at 10.30am, next Friday, October 24, at ENSAE on:

Using Bayesian Linear Mixed Models in Psycholinguistics: Some open issues

With the arrival of the probabilistic programming language Stan (and JAGS), it has become relatively easy to fit fairly complex Bayesian linear mixed models. Until now, the main tool that was available in R was lme4. I will talk about how we have fit these models in recently published work (Husain et al 2014, Hofmeister and Vasishth 2014). We are trying to develop a standard approach for fitting these models so that graduate students with minimal training in statistics can fit such models using Stan.

I will discuss some open issues that arose in the course of fitting linear mixed models. In particular, one issue is: should one assume a full variance-covariance matrix for random effects even when there is not enough data to estimate all parameters? In lme4, one often gets convergence failure or degenerate variance-covariance matrices in such cases and so one has to back off to a simpler model. But in Stan it is possible to assume vague priors on each parameter, and fit a full variance-covariance matrix for random effects. The advantage of doing this is that we faithfully express in the model how the data were generated—if there is not enough data to estimate the parameters, the posterior distribution will be dominated by the prior, and if there is enough data, we should get reasonable estimates for each parameter. Currently we fit full variance-covariance matrices, but we have been criticized for doing this. The criticism is that one should not try to fit such models when there is not enough data to estimate parameters. This position is very reasonable when using lme4; but in the Bayesian setting it does not seem to matter.