Archive for insufficiency

analysing statistical and computational trade-off of estimation procedures

Posted in Books, pictures, Statistics, University life with tags , , , , , , on July 8, 2015 by xi'an

bostown1

“The collection of estimates may be determined by questions such as: How much storage is available? Can all the data be kept in memory or only a subset? How much processing power is available? Are there parallel or distributed systems that can be exploited?”

Daniel Sussman, Alexander Volfovsky, and Edoardo Airoldi from Harvard wrote a very interesting paper about setting a balance between statistical efficiency and computational efficiency, a theme that resonates with our recent work on ABC and older considerations about the efficiency of Monte Carlo algorithms. While the paper avoids drifting towards computer science even with a notion like algorithmic complexity, I like the introduction of a loss function in the comparison game, even though the way to combine both dimensions is unclear. And may limit the exercise to an intellectual game. In an ideal setting one would set the computational time, like “I have one hour to get this estimate”, and compare risks under that that computing constraint. Possibly dumping some observations from the sample to satisfy the constraint. Ideally. Which is why this also reminds me of ABC: given an intractable likelihood, one starts by throwing away some data precision by using a tolerance ε and usually more through an insufficient statistic. Hence ABC procedures could also be compared in such terms.

In the current paper, the authors only compare schemes of breaking the sample into bits to handle each observation only once. Meaning it cannot be used in both the empirical mean and the empirical variance. This sounds a bit contrived in that the optimum allocation depends on the value of the parameter the procedure attempts to estimate. Still, it could lead to a new form of bandit problems: given a bandit with as many arms as there are parameters, at each new observation, decide on the allocation towards minimising the overall risk. (There is a missing sentence at the end of Section 4.)

Any direction for turning those considerations into a practical decision machine would be fantastic, although the difficulties are formidable, from deciding between estimators and selecting a class of estimators, to computing costs and risks depending on unknown parameters.

PLoS topic page on ABC

Posted in Books, pictures, R, Statistics, University life with tags , , , , , , , , , on June 7, 2012 by xi'an

A few more comments on the specific entry on ABC written by Mikael Sunnåker et al…. The entry starts with the representation of the posterior probability of an hypothesis, rather than with the posterior density of a model parameter, which seems to lead the novice reader astray. After all, (a) ABC was not introduced for conducting model choice and (b) interchanging hypothesis and model means that the probability of an hypothesis H as used in the entry is actually the evidence in favour of the corresponding model. (There are a few typos and grammar mistakes, but I assume either PLoS or later contributors will correct those.) When the authors state that the “outcome of the ABC rejection algorithm is a set of parameter estimates distributed according to the desired posterior distribution”, I think they are misleading the readers as they forget the “approximative” aspect of this distribution. Further below, I would have used the title “Insufficient summary statistics” rather than “Sufficient summary statistics”, as it spells out more clearly the fundamental issue with the potential difficulty in using ABC. (And I am not sure the subsequent paragraph on “Choice and sufficiency of summary statistics” should bother with the sufficiency aspects… It seems to me much more relevant to assess the impact on predictive performances.)

Although this is most minor, I would not have made mention of the (rather artificial) “table for interpretation of the strength in values of the Bayes factor (…) originally published by Harold Jeffreys[6] “. I obviously appreciate very much that the authors advertise our warning about the potential lack of validity of an ABC based Bayes factor! I also like the notion of “quality control”, even though it should only appear once. And the pseudo-example is quite fine as an introduction, while it could be supplemented with the outcome resulting from a large n, to be compared with the true posterior distribution. The section “Pitfalls and remedies” is remarkable in that it details the necessary steps for validating a ABC implementation: the only entry I would remove is the one about “Prior distribution and parameter ranges”, in that this is not a problem inherent to ABC… (Granted, the authors present this as a “general risks in statistical inference exacerbated in ABC”, which makes more sense!) It may be that the section on the non-zero tolerance should emphasize more clearly the fact that ε should not be zero. As discussed in the recent Read Paper by Fearnhead and Prangle when envisioning ABC as a non-parametric method of inference.

At last, it is always possible to criticise the coverage of the historical part, since ABC is such a recent field that it is constantly evolving. But the authors correctly point out to (Don) Rubin on the one hand and to Diggle and Graton on the other. Now, I would suggest adding in this section links to the relevant softwares like our own DIY-ABC

(Those comments have also been posted on the PLoS Computational Biology wiki.)

ABC model choice [slides]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on November 7, 2011 by xi'an

Here are the slides for my talks both at CREST this afternoon (in ½ an hour!) and in Madrid [on Friday 11/11/11=16, magical day of the year, especially since I will be speaking at 11:11 CET…] for the Workshop Métodos Bayesianos 11 (no major difference with the slides from Zürich, hey!, except for the quantile distribution example]

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