**A**n ‘Og’s reader pointed me to this paper by Li and Malik, which made it to arXiv after not making it to NIPS. While the NIPS reviews were not particularly informative and strongly discordant, the authors point out in the comments that they are available for the sake of promoting discussion. (As made clear in earlier posts, I am quite supportive of this attitude! *Disclaimer: I was not involved in an evaluation of this paper, neither for NIPS nor for another conference or journal!!*) Although the paper does not seem to mention ABC in the setting of implicit likelihoods and generative models, there is a reference to the early (1984) paper by Peter Diggle and Richard Gratton that is often seen as the ancestor of ABC methods. The authors point out numerous issues with solutions proposed for parameter estimation in such implicit models. For instance, for GANs, they signal that “minimizing the Jensen-Shannon divergence or the Wasserstein distance between the empirical data distribution and the model distribution does not necessarily minimize the same between the true data distribution and the model distribution.” (Not mentioning the particular difficulty with Bayesian GANs.) Their own solution is the implicit maximum likelihood estimator, which picks the value of the parameter θ bringing a simulated sample the closest to the observed sample. Closest in the sense of the Euclidean distance between both samples. Or between the minimum of several simulated samples and the observed sample. (The modelling seems to imply the availability of n>1 observed samples.) They advocate using a stochastic gradient descent approach for finding the optimal parameter θ which presupposes that the dependence between θ and the simulated samples is somewhat differentiable. (And this does not account for using a min, which would make differentiation close to impossible.) The paper then meanders in a lengthy discussion as to whether maximising the likelihood makes sense, with a rather naïve view on why using the empirical distribution in a Kullback-Leibler divergence does not make sense! What does not make sense is considering the finite sample approximation to the Kullback-Leibler divergence with the true distribution in my opinion.

## Archive for Hyvärinen score

## Implicit maximum likelihood estimates

Posted in Statistics with tags ABC, Approximate Bayesian computation, GANs, Hyvärinen score, Kullback-Leibler divergence, likelihood-free methods, maximum likelihood estimation, NIPS 2018, Peter Diggle, untractable normalizing constant, Wasserstein distance on October 9, 2018 by xi'an## Au’Bayes 17

Posted in Statistics, Travel, University life with tags ABC, Austin, BNP12, canoe, Hyvärinen score, misspecified model, NIPS 2017, O'Ba, O'Bayes 2019, O-Bayes 2017, objective Bayes, safe Bayes, Sardinia, Texas, The University of Texas at Austin, University of Oxford, University of Warwick, Wikiprevia on December 14, 2017 by xi'anSome notes scribbled during the O’Bayes 17 conference in Austin, not reflecting on the highly diverse range of talks. And many new faces and topics, meaning O’Bayes is alive and evolving. With all possible objectivity, a fantastic conference! (Not even mentioning the bars where Peter Müller hosted the poster sessions, a feat I would have loved to see duplicated for the posters of ISBA 2018… Or the Ethiopian restaurant just around the corner with the right amount of fierce spices!)

The wiki on objective, reference, vague, neutral [or whichever label one favours] priors that was suggested at the previous O’Bayes meeting in Valencià, was introduced as Wikiprevia by Gonzalo Garcia-Donato. It aims at classifying recommended priors in most of the classical models, along with discussion panels, and it should soon get an official launch, when contributors will be welcome to include articles in a wiki principle. I wish the best to this venture which, I hope, will induce O’Bayesians to contribute actively.

In a brilliant talk that quickly reverted my jetlag doziness, Peter Grünwald returned to the topic he presented last year in Sardinia, namely safe Bayes or powered-down likelihoods to handle some degree of misspecification, with a further twist of introducing an impossible value `o’ that captures missing mass (to be called Peter’s demon?!), which absolute necessity I did not perceive. Food for thoughts, definitely. (But I feel that the only safe Bayes is the dead Bayes, as protecting against all kinds of mispecifications means no action is possible.)

I also appreciated Cristiano Villa’s approach to constructing prior weights in model comparison from a principled and decision-theoretic perspective even though I felt that the notion of ranking parameter importance required too much input to be practically feasible. (Unless I missed that point.)

Laura Ventura gave her talk on using for ABC various scores or estimating equations as summary statistics, rather than the corresponding M-estimators, which offers the appealing feature of reducing computation while being asymptotically equivalent. (A feature we also exploited for the regular score function in our ABC paper with Gael, David, Brendan, and Wonapree.) She mentioned the Hyvärinen score [of which I first heard in Padova!] as a way to bypass issues related to doubly intractable likelihoods. Which is a most interesting proposal that bypasses (ABC) simulations from such complex targets by exploiting a pseudo-posterior.

Veronika Rockova presented a recent work on concentration rates for regression tree methods that produce a rigorous analysis of these methods. Showing that the spike & slab priors plus BART [equals spike & tree] achieve sparsity and optimal concentration. In an oracle sense. With a side entry on assembling partition trees towards creating a new form of BART. Which made me wonder whether or not this was also applicable to random forests. Although they are not exactly Bayes. Demanding work in terms of the theory behind but with impressive consequences!

Just before I left O’Bayes 17 for Houston airport, Nick Polson, along with Peter McCullach, proposed an intriguing notion of sparse Bayes factors, which corresponds to the limit of a Bayes factor when the prior probability υ of the null goes to zero. When the limiting prior is replaced with an exceedance measure that can be normalised into a distribution, but does it make the limit a special prior? Linking υ with the prior under the null is not an issue (this was the basis of my 1992 Lindley paradox paper) but the sequence of priors indexed by υ need be chosen. And reading from the paper at Houston airport, I could not spot a construction principle that would lead to a reference prior of sorts. One thing that Nick mentioned during his talk was that we observed directly realisations of the data marginal, but this is generally not the case as the observations are associated with a given value of the parameter, not one for each observation.The next edition of the O’Bayes conference will be in… Warwick on June 29-July 2, as I volunteered to organise this edition (16 years after O’Bayes 03 in Aussois!) just after the BNP meeting in Oxford on June 23-28, hopefully creating the environment for fruitful interactions between both communities! (And jumping from Au’Bayes to Wa’Bayes.)

## the Hyvärinen score is back

Posted in pictures, Statistics, Travel with tags Bayes factor, Bayesian model comparison, Bayesian model selection, consistency, Harvard University, Hyvärinen score, Lévy diffusion process, logarithmic score, Padova, penalisation, prior predictive, sequential Monte Carlo, SMC, SMC² on November 21, 2017 by xi'an**S**téphane Shao, Pierre Jacob and co-authors from Harvard have just posted on arXiv a new paper on Bayesian model comparison using the Hyvärinen score

which thus uses the Laplacian as a natural and normalisation-free penalisation for the score test. (Score that I first met in Padova, a few weeks before moving from X to IX.) Which brings a decision-theoretic alternative to the Bayes factor and which delivers a coherent answer when using improper priors. Thus a very appealing proposal in my (biased) opinion! The paper is mostly computational in that it proposes SMC and SMC² solutions to handle the estimation of the Hyvärinen score for models with tractable likelihoods and tractable completed likelihoods, respectively. (Reminding me that Pierre worked on SMC² algorithms quite early during his Ph.D. thesis.)

A most interesting remark in the paper is to recall that the Hyvärinen score associated with a generic model on a series must be the prequential (predictive) version

rather than the version on the joint marginal density of the whole series. (Followed by a remark within the remark that the logarithm scoring rule does not make for this distinction. And I had to write down the cascading representation

to convince myself that this unnatural decomposition, where the posterior on θ varies on each terms, is true!) For consistency reasons.

This prequential decomposition is however a plus in terms of computation when resorting to sequential Monte Carlo. Since each time step produces an evaluation of the associated marginal. In the case of state space models, another decomposition of the authors, based on measurement densities and partial conditional expectations of the latent states allows for another (SMC²) approximation. The paper also establishes that for non-nested models, the Hyvärinen score as a model selection tool asymptotically selects the closest model to the data generating process. For the divergence induced by the score. Even for state-space models, under some technical assumptions. From this asymptotic perspective, the paper exhibits an example where the Bayes factor and the Hyvärinen factor disagree, even asymptotically in the number of observations, about which mis-specified model to select. And last but not least the authors propose and assess a discrete alternative relying on finite differences instead of derivatives. Which remains a proper scoring rule.

I am quite excited by this work (call me biased!) and I hope it can induce following works as a viable alternative to Bayes factors, if only for being more robust to the [unspecified] impact of the prior tails. As in the above picture where some realisations of the SMC² output and of the sequential decision process see the wrong model being almost acceptable for quite a long while…

## Lindley’s paradox(es) and scores

Posted in Books, Statistics, University life with tags Hyvärinen score, Jeffreys-Lindley paradox, Kullback-Leibler divergence, log scores, Philosophy of Science, Rissanen on September 13, 2013 by xi'an*“In the asymptotic limit, the Bayesian cannot justify the strictly positive probability of H _{0} as an approximation to testing the hypothesis that the parameter value is close to θ_{0} — which is the hypothesis of real scientific interest”*

** W**hile revising my Jeffreys-Lindley’s paradox paper for Philosophy of Science, it was suggested (to me) that I read the incoming paper by Jan Sprenger on this paradox. The paper is entitled *Testing a Precise Null Hypothesis: The Case of Lindley’s Paradox* and it defends the thesis that the regular Bayesian approach (hence the Bayes factor used in the Jeffreys-Lindley’s paradox) is forced to put a prior on the (point) null hypothesis when all that really matters is the vicinity of the null. (I think Andrew would agree there as he positively hates point null hypotheses. See also Rissanen’s perspective about maximal precision allowed by a give sample.) Sprenger then advocates the use of the log score for comparing the full model with the point-null sub-model, i.e. the posterior expectation of the Kullback-Leibler distance between both models:

rejoining José Bernardo and Phil Dawid on this ground.

**W**hile I agree about the notion that it is impossible to distinguish a small enough departure from the null from the null (no typo!), and I also support the argument that “all models are wrong”, hence point null should eventually—meaning with enough data—rejected, I find the Bayesian solution through the Bayes factor rather appealing because it uses the prior distribution to weight the alternative values of θ in order to oppose their averaged likelihood to the likelihood in θ_{0}. (Note I did not mention Occam!) Further, while the notion of opposing a *point* null to the rest of the Universe may sound silly, what truly matters is the decisional setting, namely that we want to select a simpler model and use it for later purposes. It is therefore this issue that should be tested, rather than whether or not θ is *exactly* equal to θ_{0}. I incidentally find it amusing that Sprenger picks the ESP experiment as his illustration in that this is a (the?) clearcut case where the point null: “there is no such thing as ESP” makes sense. Now, it can be argued that what the statistical experiment is assessing is the ESP experiment, for which many objective causes (beyond ESP!) may induce a departure from the null (and from the binomial model). But then this prevents any rational analysis of the test (as is indeed the case!).

**T**he paper thus objects to the use of Bayes factors (and of p-values) to instead propose to compare scores in the Bernardo-Dawid spirit. As discussed earlier, it has several appealing features, from recovering the Kullback-Leibler divergence between models as a measure of fit to allowing for the incorporation of improper priors (a point Andrew may disagree with), to avoiding the double use of the data. It is however incomplete in that it creates a discrepancy or a disbalance between both models, thus making the comparison of more than two models difficult to fathom, and it does not readily incorporate the notion of nuisance parameters in the embedded model, seemingly forcing the inclusion of pseudo-priors as in the Bayesian analysis of Aitkin’s integrated likelihood.

## workshop a Padova (#2)

Posted in Books, Statistics with tags Bayes factors, DMVS, EMVS, Hyvärinen score, improper priors, integrated likelihood, log scores, scoring rules, spike-and-slab prior on March 23, 2013 by xi'an**T**his morning session at the workshop Recent Advances in statistical inference: theory and case studies was a true blessing for anyone working in Bayesian model choice! And it did give me ideas to complete my current paper on the Jeffreys-Lindley paradox, and more. Attending the talks in the historical Gioachino Rossini room of the fabulous Café Pedrocchi with the Italian spring blue sky as a background surely helped! *(It is only beaten by this room of Ca’Foscari overlooking the Gran Canale where we had a workshop last Fall…)*

**F**irst, Phil Dawid gave a talk on his current work with Monica Musio (who gave a preliminary talk on this in Venezia last fall) on the use of new score functions to compare statistical models. While the regular Bayes factor is based on the log score, comparing the logs of the predictives at the observed data, different functions of the predictive q can be used, like the Hyvärinen score

which offers the immense advantage of being independent of the normalising constant and hence can also be used for improper priors. As written above, a very deep finding that could at last allow for the comparison of models based on improper priors without requiring convoluted constructions (see below) to make the “constants meet”. I first thought the technique was suffering from the same shortcoming as Murray Aitkin’s integrated likelihood, but I eventually figured out (where) I was wrong!

**T**he second talk was given by Ed George, who spoke on his recent research with Veronika Rocková dealing with variable selection via an EM algorithm that proceeds much much faster to the optimal collection of variables, when compared with the DMVS solution of George and McCulloch (JASA, 1993). *(I remember discussing this paper with Ed in Laramie during the IMS meeting in the summer of 1993.)* This resurgence of the EM algorithm in this framework is both surprising (as the missing data structure represented by the variable indicators could have been exploited much earlier) and exciting, because it opens a new way to explore the most likely models in this variable selection setting and to eventually produce the median model of Berger and Barbieri (Annals of Statistics, 2004). In addition, this approach allows for a fast comparison of prior modellings on the missing variable indicators, showing in some examples a definitive improvement brought by a Markov random field structure. Given that it also produces a marginal posterior density on the indicators, values of hyperparameters can be assessed, escaping the Jeffreys-Lindley paradox (which was clearly a central piece of today’s talks and discussions). I would like to see more details on the MRF part, as I wonder which structure is part of the input and which one is part of the inference.

**T**he third talk of the morning was Susie Bayarri’s, about a collection of desiderata or criteria for building an objective prior in model comparison and achieving a manageable closed-form solution in the case of the normal linear model. While I somehow disagree with the information criterion, which states that the divergence of the likelihood ratio should imply a corresponding divergence of the Bayes factor. While I definitely agree with the invariance argument leading to using the same (improper) prior over parameters common to models under comparison, this may sound too much of a trick to outsiders, especially when accounting for the score solution of Dawid and Musio. Overall, though, I liked the outcome of a coherence reference solution for linear models that could clearly be used as a default in this setting, esp. given the availability of an R package called *BayesVarSel*. (Even if I also like our simpler solution developped in the incoming edition of *Bayesian Core*, also available in the bayess R package!) In his discussion, Guido Consonni highlighted the philosophical problem of considering “common paramaters”, a perspective I completely subscribe to, even though I think all that matters is the justification of having a common prior over formally equivalent parameters, even though this may sound like a pedantic distinction to many!

**D**ue to a meeting of the scientific committee of the incoming O’Bayes 2013 meeting *(in Duke, December, more about this soon!)*, whose most members were attending this workshop, I missed the beginning of Alan Aggresti’s talk and could not catch up with the central problem he was addressing (the pianist on the street outside started pounding on his instrument as if intent to break it apart!). A pity as problems with contingency tables are certainly of interest to me… By the end of Alan’s talk, I wished someone would shoot the pianist playing outside (even though he was reasonably gifted) as I had gotten a major headache from his background noise. Following Noel Cressie’s talk proved just as difficult, although I could see his point in comparing very diverse predictors for big Data problems without much of a model structure and even less of a and I decided to call the day off, despite wishing to stay for Eduardo Gutiérrez-Pena’s talk on conjugate predictives and entropies which definitely interested me… *Too bad really (blame the pianist!)*