## a Bayesian criterion for singular models [discussion]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , on October 10, 2016 by xi'an

[Here is the discussion Judith Rousseau and I wrote about the paper by Mathias Drton and Martyn Plummer, a Bayesian criterion for singular models, which was discussed last week at the Royal Statistical Society. There is still time to send a written discussion! Note: This post was written using the latex2wp converter.]

It is a well-known fact that the BIC approximation of the marginal likelihood in a given irregular model ${\mathcal M_k}$ fails or may fail. The BIC approximation has the form

$\displaystyle BIC_k = \log p(\mathbf Y_n| \hat \pi_k, \mathcal M_k) - d_k \log n /2$

where ${d_k }$ corresponds on the number of parameters to be estimated in model ${\mathcal M_k}$. In irregular models the dimension ${d_k}$ typically does not provide a good measure of complexity for model ${\mathcal M_k}$, at least in the sense that it does not lead to an approximation of

$\displaystyle \log m(\mathbf Y_n |\mathcal M_k) = \log \left( \int_{\mathcal M_k} p(\mathbf Y_n| \pi_k, \mathcal M_k) dP(\pi_k|k )\right) \,.$

A way to understand the behaviour of ${\log m(\mathbf Y_n |\mathcal M_k) }$ is through the effective dimension

$\displaystyle \tilde d_k = -\lim_n \frac{ \log P( \{ KL(p(\mathbf Y_n| \pi_0, \mathcal M_k) , p(\mathbf Y_n| \pi_k, \mathcal M_k) ) \leq 1/n | k ) }{ \log n}$

when it exists, see for instance the discussions in Chambaz and Rousseau (2008) and Rousseau (2007). Watanabe (2009} provided a more precise formula, which is the starting point of the approach of Drton and Plummer:

$\displaystyle \log m(\mathbf Y_n |\mathcal M_k) = \log p(\mathbf Y_n| \hat \pi_k, \mathcal M_k) - \lambda_k(\pi_0) \log n + [m_k(\pi_0) - 1] \log \log n + O_p(1)$

where ${\pi_0}$ is the true parameter. The authors propose a clever algorithm to approximate of the marginal likelihood. Given the popularity of the BIC criterion for model choice, obtaining a relevant penalized likelihood when the models are singular is an important issue and we congratulate the authors for it. Indeed a major advantage of the BIC formula is that it is an off-the-shelf crierion which is implemented in many softwares, thus can be used easily by non statisticians. In the context of singular models, a more refined approach needs to be considered and although the algorithm proposed by the authors remains quite simple, it requires that the functions ${ \lambda_k(\pi)}$ and ${m_k(\pi)}$ need be known in advance, which so far limitates the number of problems that can be thus processed. In this regard their equation (3.2) is both puzzling and attractive. Attractive because it invokes nonparametric principles to estimate the underlying distribution; puzzling because why should we engage into deriving an approximation like (3.1) and call for Bayesian principles when (3.1) is at best an approximation. In this case why not just use a true marginal likelihood?

1. Why do we want to use a BIC type formula?

The BIC formula can be viewed from a purely frequentist perspective, as an example of penalised likelihood. The difficulty then stands into choosing the penalty and a common view on these approaches is to choose the smallest possible penalty that still leads to consistency of the model choice procedure, since it then enjoys better separation rates. In this case a ${\log \log n}$ penalty is sufficient, as proved in Gassiat et al. (2013). Now whether or not this is a desirable property is entirely debatable, and one might advocate that for a given sample size, if the data fits the smallest model (almost) equally well, then this model should be chosen. But unless one is specifying what equally well means, it does not add much to the debate. This also explains the popularity of the BIC formula (in regular models), since it approximates the marginal likelihood and thus benefits from the Bayesian justification of the measure of fit of a model for a given data set, often qualified of being a Bayesian Ockham’s razor. But then why should we not compute instead the marginal likelihood? Typical answers to this question that are in favour of BIC-type formula include: (1) BIC is supposingly easier to compute and (2) BIC does not call for a specification of the prior on the parameters within each model. Given that the latter is a difficult task and that the prior can be highly influential in non-regular models, this may sound like a good argument. However, it is only apparently so, since the only justification of BIC is purely asymptotic, namely, in such a regime the difficulties linked to the choice of the prior disappear. This is even more the case for the sBIC criterion, since it is only valid if the parameter space is compact. Then the impact of the prior becomes less of an issue as non informative priors can typically be used. With all due respect, the solution proposed by the authors, namely to use the posterior mean or the posterior mode to allow for non compact parameter spaces, does not seem to make sense in this regard since they depend on the prior. The same comments apply to the author’s discussion on Prior’s matter for sBIC. Indeed variations of the sBIC could be obtained by penalizing for bigger models via the prior on the weights, for instance as in Mengersen and Rousseau (2011) or by, considering repulsive priors as in Petralia et al. (20120, but then it becomes more meaningful to (again) directly compute the marginal likelihood. Remains (as an argument in its favour) the relative computational ease of use of sBIC, when compared with the marginal likelihood. This simplification is however achieved at the expense of requiring a deeper knowledge on the behaviour of the models and it therefore looses the off-the-shelf appeal of the BIC formula and the range of applications of the method, at least so far. Although the dependence of the approximation of ${\log m(\mathbf Y_n |\mathcal M_k)}$ on ${\mathcal M_j }$, \$latex {j \leq k} is strange, this does not seem crucial, since marginal likelihoods in themselves bring little information and they are only meaningful when compared to other marginal likelihoods. It becomes much more of an issue in the context of a large number of models.

2. Should we care so much about penalized or marginal likelihoods ?

Marginal or penalized likelihoods are exploratory tools in a statistical analysis, as one is trying to define a reasonable model to fit the data. An unpleasant feature of these tools is that they provide numbers which in themselves do not have much meaning and can only be used in comparison with others and without any notion of uncertainty attached to them. A somewhat richer approach of exploratory analysis is to interrogate the posterior distributions by either varying the priors or by varying the loss functions. The former has been proposed in van Havre et l. (2016) in mixture models using the prior tempering algorithm. The latter has been used for instance by Yau and Holmes (2013) for segmentation based on Hidden Markov models. Introducing a decision-analytic perspective in the construction of information criteria sounds to us like a reasonable requirement, especially when accounting for the current surge in studies of such aspects.

[Posted as arXiv:1610.02503]

## revenge, death penalty, prisons, &tc.

Posted in Books, Kids, University life with tags , , , , , , , , , on May 17, 2014 by xi'an

In the latest Sunday Review of the New York Times, the Norwegian novelist Jo Nesbo has a tribune on revenge against misdeeds and law as institutionalized revenge. Somewhat hidden in the current justifications of the legal system(s). (As an aside, he mentions the example of the Icelandic Alþingi where justice was dispensed once a year, resulting in beheadings, stake burnings, and drowning in the pond depicted above…) This came a few days after another tribune on a similar topic by Charles Blow, following the “botched Oklahoma execution of Clayton Lockett”, entitled “Eye-for-eye incivility” (an understatement if any!), and arguing  about the economic inefficiency of the death penalty. Besides the basic moral quandaries of taking someone else’s life, perfectly summarised by Franquin in the following dark strip:

This sequence of tribunes links to one of my pet theories, which is that imprisonment is the most inadequate way of addressing crime and law breaking in (modern?) societies.  Setting fully aside the moral notions of revenge and punishment, which aim more at the victim or victim’s relatives than at the perpetrator, and of redemption and remorse, which are at best hypothetical and inspired by religious considerations,  I do wonder why economists have not tried to come up with more rational and game-theoretic ways of dealing with law-breakers than locking them up all together and expecting them to behave forever after the end of their term. More globally, I find it quite surprising that no one ever seems to question the very notion of sending people to jail. Indeed, it does bring any clear benefit to society as a whole. One of the usual arguments I receive in those occasions is that imprisonment keeps dangerous people away. But that seems a fairly weak notion: (i) most violent offenders are not dangerous in an absolute berserker sense but only because local circumstances made them violent at a given occurrence in space and time, (ii) those offenders are only put away for a while (in most civilised countries), (iii) they are not getting any less dangerous while in prison, and (iv) it does not apply to the vast majority of people jailed. Furthermore, from a pure offer-versus-demand perspective, this may be counterproductive: e.g., putting some thieves away in jail for a while simply gives an opportunity to other thieves to take advantage of the “thieving market”.

The Freakonomics blog has some entries on the topic—somewhat supportive of my notion that most criminals act in an overall rational way for which incentives and decentives could be considered—, but still fails to address the larger picture… I showed this post to Andrew who pointed me (of course!) to his blog, as several entries therein also consider the issue, like this one on the puzzles of criminal justice. Or prison terms for financial fraud? But I would push the argument further and call for an ultimate abolishment of the carceral system, seeking efficient and generalised alternatives to imprisonment. As detailed in this U.N. report I just came across. As I think a time will come when imprisonment will be seen as irrational as witch-burning is considered today.