automatic adaptation of MCMC algorithms

Posted in pictures, Statistics with tags , , , , , , , on March 4, 2019 by xi'an

“A typical adaptive MCMC sampler will approximately optimize performance given the kind of sampler chosen in the first place, but it will not optimize among the variety of samplers that could have been chosen.”

Last February (2018), Dao Nguyen and five co-authors arXived a paper that I missed. On a new version of adaptive MCMC that aims at selecting a wider range of proposal kernels. Still requiring a by-hand selection of this collection of kernels… Among the points addressed, beyond the theoretical guarantees that the adaptive scheme does not jeopardize convergence to the proper target, are a meta-exploration of the set of combinations of samplers and integration of the computational speed in the assessment of each sampler. Including the very difficulty of assessing mixing. One could deem the index of the proposal as an extra (cyber-)parameter to its generic parameter (like the scale in the random walk), but the discreteness of this index makes the extension more delicate than expected. And justifies the distinction between internal and external parameters. The notion of a worst-mixing dimension is quite appealing and connects with the long-term hope that one could spend the maximum fraction of the sampler runtime over the directions that are poorly mixing, while still keeping the target as should be. The adaptive scheme is illustrated on several realistic models with rather convincing gains in efficiency and time.

The convergence tools are inspired from Roberts and Rosenthal (2007), with an assumption of uniform ergodicity over all kernels considered therein which is both strong and delicate to assess in practical settings. Efficiency is rather unfortunately defined in terms of effective sample size, which is a measure of correlation or lack thereof, but which does not relate to the speed of escape from the basin of attraction of the starting point. I also wonder at the pertinence of the estimation of the effective sample size when the chain is based on different successive kernels, since the lack of correlation may be due to another kernel. Another calibration issue is the internal clock that relates to the average number of iterations required to tune properly a specific kernel, which again may be difficult to assess in a realistic situation. A last query is whether or not this scheme could be compared with an asynchronous (and valid) MCMC approach that exploits parallel capacities of the computer.

calibrating approximate credible sets

Posted in Books, Statistics with tags , , , , , , , on October 26, 2018 by xi'an

Earlier this week, Jeong Eun Lee, Geoff Nicholls, and Robin Ryder arXived a paper on the calibration of approximate Bayesian credible intervals. (Warning: all three authors are good friends of mine!) They start from the core observation that dates back to Monahan and Boos (1992) of exchangeability between θ being generated from the prior and φ being generated from the posterior associated with one observation generated from the prior predictive. (There is no name for this distribution, other than the prior, that is!) A setting amenable to ABC considerations! Actually, Prangle et al. (2014) relies on this property for assessing the ABC error, while pointing out that the test for exchangeability is not fool-proof since it works equally for two generations from the prior.

“The diagnostic tools we have described cannot be “fooled” in quite the same way checks based on the exchangeability can be.”

The paper thus proposes methods for computing the coverage [under the true posterior] of a credible set computed using an approximate posterior. (I had to fire up a few neurons to realise this was the right perspective, rather than the reverse!) A first solution to approximate the exact coverage of the approximate credible set is to use logistic regression, instead of the exact coverage, based on some summary statistics [not necessarily in an ABC framework]. And a simulation outcome that the parameter [simulated from the prior] at the source of the simulated data is within the credible set. Another approach is to use importance sampling when simulating from the pseudo-posterior. However this sounds dangerously close to resorting to an harmonic mean estimate, since the importance weight is the inverse of the approximate likelihood function. Not that anything unseemly transpires from the simulations.

what is a large Kullback-Leibler divergence?

Posted in Books, Kids, pictures, Statistics with tags , , on May 2, 2018 by xi'an

A question that came up on X validated is about scaling a Kullback-Leibler divergence. A fairly interesting question in my opinion since this pseudo-distance is neither naturally nor universally scaled. Take for instance the divergence between two Gaussian

$\text{KL}(p, q) = \log \frac{\sigma_2}{\sigma_1} + \frac{\sigma_1^2 + (\mu_1 - \mu_2)^2}{2 \sigma_2^2} - \frac{1}{2}$

which is scaled by the standard deviation of the second Normal. There is no absolute bound in this distance for which it can be seen as large. Bypassing the coding analogy from signal processing, which has never been clear to me, he only calibration I can think of is statistical, namely to figure out a value extreme for two samples from the same distribution. In the sense of the Kullback between the corresponding estimated distributions. The above is an illustration, providing the distribution of the Kullback-Leibler divergences from samples from a Gamma distribution, for sample sizes n=15 and n=150. The sample size obviously matters.

a response by Ly, Verhagen, and Wagenmakers

Posted in Statistics with tags , , , , , , , , on March 9, 2017 by xi'an

Following my demise [of the Bayes factor], Alexander Ly, Josine Verhagen, and Eric-Jan Wagenmakers wrote a very detailed response. Which I just saw the other day while in Banff. (If not in Schiphol, which would have been more appropriate!)

“In this rejoinder we argue that Robert’s (2016) alternative view on testing has more in common with Jeffreys’s Bayes factor than he suggests, as they share the same ‘‘shortcomings’’.”

Rather unsurprisingly (!), the authors agree with my position on the dangers to ignore decisional aspects when using the Bayes factor. A point of dissension is the resolution of the Jeffreys[-Lindley-Bartlett] paradox. One consequence derived by Alexander and co-authors is that priors should change between testing and estimating. Because the parameters have a different meaning under the null and under the alternative, a point I agree with in that these parameters are indexed by the model [index!]. But with which I disagree when arguing that the same parameter (e.g., a mean under model M¹) should have two priors when moving from testing to estimation. To state that the priors within the marginal likelihoods “are not designed to yield posteriors that are good for estimation” (p.45) amounts to wishful thinking. I also do not find a strong justification within the paper or the response about choosing an improper prior on the nuisance parameter, e.g. σ, with the same constant. Another a posteriori validation in my opinion. However, I agree with the conclusion that the Jeffreys paradox prohibits the use of an improper prior on the parameter being tested (or of the test itself). A second point made by the authors is that Jeffreys’ Bayes factor is information consistent, which is correct but does not solved my quandary with the lack of precise calibration of the object, namely that alternatives abound in a non-informative situation.

“…the work by Kamary et al. (2014) impressively introduces an alternative view on testing, an algorithmic resolution, and a theoretical justification.”

The second part of the comments is highly supportive of our mixture approach and I obviously appreciate very much this support! Especially if we ever manage to turn the paper into a discussion paper! The authors also draw a connection with Harold Jeffreys’ distinction between testing and estimation, based upon Laplace’s succession rule. Unbearably slow succession law. Which is well-taken if somewhat specious since this is a testing framework where a single observation can send the Bayes factor to zero or +∞. (I further enjoyed the connection of the Poisson-versus-Negative Binomial test with Jeffreys’ call for common parameters. And the supportive comments on our recent mixture reparameterisation paper with Kaniav Kamari and Kate Lee.) The other point that the Bayes factor is more sensitive to the choice of the prior (beware the tails!) can be viewed as a plus for mixture estimation, as acknowledged there. (The final paragraph about the faster convergence of the weight α is not strongly

tractable Bayesian variable selection: beyond normality

Posted in R, Statistics, University life with tags , , , , , , , on October 17, 2016 by xi'an

David Rossell and Francisco Rubio (both from Warwick) arXived a month ago a paper on non-normal variable selection. They use two-piece error models that preserve manageable inference and allow for simple computational algorithms, but also characterise the behaviour of the resulting variable selection process under model misspecification. Interestingly, they show that the existence of asymmetries or heavy tails leads to power losses when using the Normal model. The two-piece error distribution is made of two halves of location-scale transforms of the same reference density on the two sides of the common location parameter. In this paper, the density is either Gaussian or Laplace (i.e., exponential?). In both cases the (log-)likelihood has a nice compact expression (although it does not allow for a useful sufficient statistic). One is the L¹ version versus the other which is the L² version. Which is the main reason for using this formalism based on only two families of parametric distributions, I presume. (As mentioned in an earlier post, I do not consider those distributions as mixtures because the component of a given observation can always be identified. And because as shown in the current paper, maximum likelihood estimates can be easily derived.) The prior construction follows the non-local prior principles of Johnson and Rossell (2010, 2012) also discussed in earlier posts. The construction is very detailed and hence highlights how many calibration steps are needed in the process.

“Bayes factor rates are the same as when the correct model is assumed [but] model misspecification often causes a decrease in the power to detect truly active variables.”

When there are too many models to compare at once, the authors propose a random walk on the finite set of models (which does not require advanced measure-theoretic tools like reversible jump MCMC). One interesting aspect is that moving away from the normal to another member of this small family is driven by the density of the data under the marginal densities, which means moving only to interesting alternatives. But also sticking to the normal only for adequate datasets. In a sense this is not extremely surprising given that the marginal likelihoods (model-wise) are available. It is also interesting that on real datasets, one of the four models is heavily favoured against the others, be it Normal (6.3) or Laplace (6.4). And that the four model framework returns almost identical values when compared with a single (most likely) model. Although not immensely surprising when acknowledging that the frequency of the most likely model is 0.998 and 0.998, respectively.

“Our framework represents a middle-ground to add flexibility in a parsimonious manner that remains analytically and computationally tractable, facilitating applications where either p is large or n is too moderate to fit more flexible models accurately.”

Overall, I find the experiment quite conclusive and do not object [much] to this choice of parametric family in that it is always more general and generic than the sempiternal Gaussian model. That we picked in our Bayesian Essentials, following tradition. In a sense, it would be natural to pick the most general possible parametric family that allows for fast computations, if this notion does make any sense…

Validity and the foundations of statistical inference

Posted in Statistics with tags , , , , , , , , on July 29, 2016 by xi'an

Natesh pointed out to me this recent arXival with a somewhat grandiose abstract:

In this paper, we argue that the primary goal of the foundations of statistics is to provide data analysts with a set of guiding principles that are guaranteed to lead to valid statistical inference. This leads to two new questions: “what is valid statistical inference?” and “do existing methods achieve this?” Towards answering these questions, this paper makes three contributions. First, we express statistical inference as a process of converting observations into degrees of belief, and we give a clear mathematical definition of what it means for statistical inference to be valid. Second, we evaluate existing approaches Bayesian and frequentist approaches relative to this definition and conclude that, in general, these fail to provide valid statistical inference. This motivates a new way of thinking, and our third contribution is a demonstration that the inferential model framework meets the proposed criteria for valid and prior-free statistical inference, thereby solving perhaps the most important unsolved problem in statistics.

Since solving the “most important unsolved problem in statistics” sounds worth pursuing, I went and checked the paper‘s contents.

“To us, the primary goal of the foundations of statistics is to provide a set of guiding principles that, if followed, will guarantee validity of the resulting inference. Our motivation for writing this paper is to be clear about what is meant by valid inference and to provide the necessary principles to help data analysts achieve validity.”

Which can be interpreted in so many ways that it is somewhat meaningless…

“…if real subjective prior information is available, we recommend using it. However, there is an expanding collection of work (e.g., machine learning, etc) that takes the perspective that no real prior information is available. Even a large part of the literature claiming to be Bayesian has abandoned the interpretation of the prior as a serious part of the model, opting for “default” prior that “works.” Our choice to omit a prior from the model is not for the (misleading) purpose of being “objective”—subjectivity is necessary—but, rather, for the purpose of exploring what can be done in cases where a fully satisfactory prior is not available, to see what improvements can be made over the status quo.”

This is a pretty traditional criticism of the Bayesian approach, namely that if a “true” prior is provided (by whom?) then it is optimal to use it. But this amounts to turn the prior into another piece of the sampling distribution and is not in my opinion a Bayesian argument! Most of the criticisms in the paper are directed at objective Bayes approaches, with the surprising conclusion that, because there exist cases where no matching prior is available, “the objective Bayesian approach [cannot] be considered as a general framework for scientific inference.” (p.9)

Another section argues that a Bayesian modelling cannot describe a state of total ignorance. This is formally correct, which is why there is no such thing as a non-informative or the non-informative prior, as often discussed here, but is this truly relevant, in that the inference problem contains one way or another information about the parameter, for instance through a loss function or a pseudo-likelihood.

“This is a desirable property that most existing methods lack.”

The proposal central to the paper thesis is to replace posterior probabilities by belief functions b(.|X), called statistical inference, that are interpreted as measures of evidence about subsets A of the parameter space. If not necessarily as probabilities. This is not very novel, witness the works of Dempster, Shafer and subsequent researchers. And not very much used outside Bayesian and fiducial statistics because of the mostly impossible task of defining a function over all subsets of the parameter space. Because of the subjectivity of such “beliefs”, they will be “valid” only if they are well-calibrated in the sense of b(A|X) being sub-uniform, that is, more concentrated near zero than a uniform variate (i.e., small) under the alternative, i.e. when θ is not in A. At this stage, since this is a mix of a minimax and proper coverage condition, my interest started to quickly wane… Especially because the sub-uniformity condition is highly demanding, if leading to controls over the Type I error and the frequentist coverage. As often, I wonder at the meaning of a calibration property obtained over all realisations of the random variable and all values of the parameter. So for me stability is neither “desirable” nor “essential”. Overall, I have increasing difficulties in perceiving proper coverage as a relevant property. Which has no stronger or weaker meaning that the coverage derived from a Bayesian construction.

“…frequentism does not provide any guidance for selecting a particular rule or procedure.”

I agree with this assessment, which means that there is no such thing as frequentist inference, but rather a philosophy for assessing procedures. That the Gleser-Hwang paradox invalidates this philosophy sounds a bit excessive, however. Especially when the bounded nature of Bayesian credible intervals is also analysed as a failure. A more relevant criticism is the lack of directives for picking procedures.

“…we are the first to recognize that the belief function’s properties are necessary in order for the inferential output to satisfy the required validity property”

The construction of the “inferential model” proposed by the authors offers similarities withn fiducial inference, in that it builds upon the representation of the observable X as X=a(θ,U). With further constraints on the function a() to ensure the validity condition holds… An interesting point is that the functional connection X=a(θ,U) means that the nature of U changes once X is observed, albeit in a delicate manner outside a Bayesian framework. When illustrated on the Gleser-Hwang paradox, the resolution proceeds from an arbitrary choice of a one-dimensional summary, though. (As I am reading the paper, I realise it builds on other and earlier papers by the authors, papers that I cannot read for lack of time. I must have listned to a talk by one of the authors last year at JSM as this rings a bell. Somewhat.) In conclusion of a quick Sunday afternoon read, I am not convinced by the arguments in the paper and even less by the impression of a remaining arbitrariness in setting the resulting procedure.

a Nice talk

Posted in Books, Statistics, Travel, University life with tags , , , , , , , on February 20, 2015 by xi'an

Today, I give a talk on our testing paper in Nice, in a workshop run in connection with our Calibration ANR grant:

The slides are directly extracted from the paper but it still took me quite a while to translate the paper into those, during the early hours of our Czech break this week.

One added perk of travelling to Nice is the flight there, as it parallels the entire French Alps, a terrific view in nice weather!