## Bayes’ Theorem in the 21st Century, really?!

Posted in Books, Statistics with tags , , , , , , on June 20, 2013 by xi'an

“In place of past experience, frequentism considers future behavior: an optimal estimator is one that performs best in hypothetical repetitions of the current experiment. The resulting gain in scientific objectivity has carried the day…”

Julien Cornebise sent me this Science column by Brad Efron about Bayes’ theorem. I am a tad surprised that it got published in the journal, given that it does not really contain any new item of information. However, being unfamiliar with Science, it may also be that it also publishes major scientists’ opinions or warnings, a label that can fit this column in Science. (It is quite a proper coincidence that the post appears during Bayes 250.)

Efron’s piece centres upon the use of objective Bayes approaches in Bayesian statistics, for which Laplace was “the prime violator”. He argues through examples that noninformative “Bayesian calculations cannot be uncritically accepted, and should be checked by other methods, which usually means “frequentistically”. First, having to write “frequentistically” once is already more than I can stand! Second, using the Bayesian framework to build frequentist procedures is like buying top technical outdoor gear to climb the stairs at the Sacré-Coeur on Butte Montmartre! The naïve reader is then left clueless as to why one should use a Bayesian approach in the first place. And perfectly confused about the meaning of objectivity. Esp. given the above quote! I find it rather surprising that this old saw of a  claim of frequentism to objectivity resurfaces there. There is an infinite range of frequentist procedures and, while some are more optimal than others, none is “the” optimal one (except for the most baked-out examples like say the estimation of the mean of a normal observation).

“A Bayesian FDA (there isn’t one) would be more forgiving. The Bayesian posterior probability of drug A’s superiority depends only on its final evaluation, not whether there might have been earlier decisions.”

The second criticism of Bayesianism therein is the counter-intuitive irrelevance of stopping rules. Once again, the presentation is fairly biased, because a Bayesian approach opposes scenarii rather than evaluates the likelihood of a tail event under the null and only the null. And also because, as shown by Jim Berger and co-authors, the Bayesian approach is generally much more favorable to the null than the p-value.

“Bayes’ Theorem is an algorithm for combining prior experience with current evidence. Followers of Nate Silver’s FiveThirtyEight column got to see it in spectacular form during the presidential campaign: the algorithm updated prior poll results with new data on a daily basis, nailing the actual vote in all 50 states.”

It is only fair that Nate Silver’s book and column are mentioned in Efron’s column. Because it is a highly valuable and definitely convincing illustration of Bayesian principles. What I object to is the criticism “that most cutting-edge science doesn’t enjoy FiveThirtyEight-level background information”. In my understanding, the poll model of FiveThirtyEight built up in a sequential manner a weight system over the different polling companies, hence learning from the data if in a Bayesian manner about their reliability (rather than forgetting the past). This is actually what caused Larry Wasserman to consider that Silver’s approach was actually more frequentist than Bayesian…

“Empirical Bayes is an exciting new statistical idea, well-suited to modern scientific technology, saying that experiments involving large numbers of parallel situations carry within them their own prior distribution.”

My last point of contention is about the (unsurprising) defence of the empirical Bayes approach in the Science column. Once again, the presentation is biased towards frequentism: in the FDR gene example, the empirical Bayes procedure is motivated by being the frequentist solution. The logical contradiction in “estimat[ing] the relevant prior from the data itself” is not discussed and the conclusion that Brad Efron uses “empirical Bayes methods in the parallel case [in the absence of prior information”, seemingly without being cautious and “uncritically”, does not strike me as the proper last argument in the matter! Nor does it give a 21st Century vision of what nouveau Bayesianism should be, faced with the challenges of Big Data and the like…

## empirical Bayes (CHANCE)

Posted in Books, Statistics, University life with tags , , , , , , on April 23, 2012 by xi'an

As I decided to add a vignette on empirical Bayes methods to my review of Brad Efron’s Large-scale Inference in the next issue of CHANCE [25(3)], here it is.

Empirical Bayes methods can crudely be seen as the poor man’s Bayesian analysis. They start from a Bayesian modelling, for instance the parameterised prior

$x\sim f(x|\theta)\,,\quad \theta\sim\pi(\theta|\alpha)$

and then, instead of setting α to a specific value or of assigning an hyperprior to this hyperparameter α, as in a regular or a hierarchical Bayes approach, the empirical Bayes paradigm consists in estimating α from the data. Hence the “empirical” label. The reference model used for the estimation is the integrated likelihood (or conditional marginal)

$m(x|\alpha) = \int f(x|\theta) \pi(\theta|\alpha)\,\text{d}\theta$

which defines a distribution density indexed by α and thus allows for the use of any statistical estimation method (moments, maximum likelihood or even Bayesian!). A classical example is provided by the normal exchangeable sample: if

$x_i\sim \mathcal{N}(\theta_i,\sigma^2)\qquad \theta_i\sim \mathcal{N}(\mu,\tau^2)\quad i=1,\ldots,p$

then, marginally,

$x_i \sim \mathcal{N}(\mu,\tau^2+\sigma^2)$

and μ can be estimated by the empirical average of the observations. The next step in an empirical Bayes analysis is to act as if α had not been estimated from the data and to conduct a regular Bayesian processing of the data with this estimated prior distribution. In the above normal example, this means estimating the θi‘s by

$\dfrac{\sigma^2 \bar{x} + \tau^2 x_i}{\sigma^2+\tau^2}$

with the characteristic shrinkage (to the average) property of the resulting estimator (Efron and Morris, 1973).

…empirical Bayes isn’t Bayes.” B. Efron (p.90)

While using Bayesian tools, this technique is outside of the Bayesian paradigm for several reasons: (a) the prior depends on the data, hence it lacks foundational justifications; (b) the prior varies with the data, hence it lacks theoretical validations like Walk’s complete class theorem; (c) the prior uses the data once, hence the posterior uses the data twice (see the vignette about this sin in the previous issue); (d) the prior relies of an estimator, whose variability is not accounted for in the subsequent analysis (Morris, 1983). The original motivation for the approach (Robbins, 1955) was more non-parametric, however it gained popularity in the 70’s and 80’s both in conjunction with the Stein effect and as a practical mean of bypassing complex Bayesian computations. As illustrated by Efron’s book, it recently met with renewed interest in connection with multiple testing.