dynamic mixtures and frequentist ABC

Posted in Statistics with tags , , , , , , , , , , , , , , , on November 30, 2022 by xi'an

This early morning in NYC, I spotted this new arXival by Marco Bee (whom I know from the time he was writing his PhD with my late friend Bernhard Flury) and found he has been working for a while on ABC related problems. The mixture model he considers therein is a form of mixture of experts, where the weights of the mixture components are not constant but functions on (0,1) of the entry as well. This model was introduced by Frigessi, Haug and Rue in 2002 and is often used as a benchmark for ABC methods, since it is missing its normalising constant as in e.g.

$f(x) \propto p(x) f_1(x) + (1-p(x)) f_2(x)$

even with all entries being standard pdfs and cdfs. Rather than using a (costly) numerical approximation of the “constant” (as a function of all unknown parameters involved), Marco follows the approximate maximum likelihood approach of my Warwick colleagues, Javier Rubio [now at UCL] and Adam Johansen. It is based on the [SAME] remark that under a uniform prior and using an approximation to the actual likelihood the MAP estimator is also the MLE for that approximation. The approximation is ABC-esque in that a pseudo-sample is generated from the true model (attached to a simulation of the parameter) and the pair is accepted if the pseudo-sample stands close enough to the observed sample. The paper proposes to use the Cramér-von Mises distance, which only involves ranks. Given this “posterior” sample, an approximation of the posterior density is constructed and then numerically optimised. From a frequentist view point, a direct estimate of the mode would be preferable. From my Bayesian perspective, this sounds like a step backwards, given that once a posterior sample is available, reconnecting with an approximate MLE does not sound highly compelling.

observed vs. complete in EM algorithm

Posted in Statistics with tags , , , , , on November 17, 2022 by xi'an

While answering a question related with the EM  algorithm on X validated, I realised a global (or generic) feature of the (objective) E function, namely that

$E(\theta'|\theta)=\mathbb E_{\theta}[\log\,f_{X,Z}(x^\text{obs},Z|\theta')|X=x^\text{obs}]$

can always be written as

$\log\,f_X(x^\text{obs};\theta')+\mathbb E_{\theta}[\log\,f_{Z|X}(Z|x^\text{obs},\theta')|X=x^\text{obs}]$

therefore always includes the (log-) observed likelihood, at least in this formal representation. While the proof that EM is monotonous in the values of the observed likelihood uses this decomposition as well, in that

$\log\,f_X(x^\text{obs};\theta')=\log\,\mathbb E_{\theta}\left[\frac{f_{X,Z}(x^\text{obs},Z;\theta')}{f_{Z|X}(Z|x^\text{obs},\theta)}\big|X=x^\text{obs}\right]$

I wonder if the appearance of the actual target in the temporary target E(θ’|θ) can be exploited any further.

EM rocks!

Posted in Statistics with tags , , , , , on October 8, 2021 by xi'an

A rare occurrence of a statistics paper in Nature!, well Nature Scientific Reports, where the authors, Jaya Prakesh, Umang Agarwal and Phaneendra K. Yalavarthy, describe using a parallel implementation of the EM algorithm, for an image reconstruction in rock tomography. Due to a 1,887,436,800 x 1,887,436,800 matrix involved in the original 3D model.

mixed feelings

Posted in Books, Kids, Statistics with tags , , , , on September 9, 2021 by xi'an

Two recent questions on X validated about mixtures:

1. One on the potential negative explosion of the E function in the EM algorithm for a mixture of components with different supports:  “I was hoping to use the EM algorithm to fit a mixture model in which the mixture components can have differing support. I’ve run into a problem during the M step because the expected log-likelihood can be [minus] infinite” Which mistake is based on a confusion between the current parameter estimate and the free parameter to optimise.
2. Another one on the Gibbs sampler apparently failing for a two-component mixture with only the weights unknown, when the components are close to one another:  “The algorithm works fine if $$σ$$ is far from $$1$$ but it does not work anymore for $$σ$$ close to $$1$$.” Which did not see a wide posterior as a possible posterior when both components are similar and hence delicate to distinguish from one another.

EM degeneracy

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , on June 16, 2021 by xi'an

At the MHC 2021 conference today (to which I biked to attend for real!, first time since BayesComp!) I listened to Christophe Biernacki exposing the dangers of EM applied to mixtures in the presence of missing data, namely that the algorithm has a rising probability to reach a degenerate solution, namely a single observation component. Rising in the proportion of missing data. This is not hugely surprising as there is a real (global) mode at this solution. If one observation components are prohibited, they should not be accepted in the EM update. Just as in Bayesian analyses with improper priors, the likelihood should bar single or double  observations components… Which of course makes EM harder to implement. Or not?! MCEM, SEM and Gibbs are obviously straightforward to modify in this case.

Judith Rousseau also gave a fascinating talk on the properties of non-parametric mixtures, from a surprisingly light set of conditions for identifiability to posterior consistency . With an interesting use of several priors simultaneously that is a particular case of the cut models. Namely a correct joint distribution that cannot be a posterior, although this does not impact simulation issues. And a nice trick turning a hidden Markov chain into a fully finite hidden Markov chain as it is sufficient to recover a Bernstein von Mises asymptotic. If inefficient. Sylvain LeCorff presented a pseudo-marginal sequential sampler for smoothing, when the transition densities are replaced by unbiased estimators. With connection with approximate Bayesian computation smoothing. This proves harder than I first imagined because of the backward-sampling operations…