**L**ast December, Gunnar Taraldsen, Jarle Tufto, and Bo H. Lindqvist arXived a paper on using priors that lead to improper posteriors and [trying to] getting away with it! The central concept in their approach is Rényi’s generalisation of Kolmogorov’s version to define conditional probability distributions from infinite mass measures by conditioning on finite mass measurable sets. A position adopted by Dennis Lindley in his 1964 book .And already discussed in a few ‘Og’s posts. While the theory thus developed indeed allows for the manipulation of improper posteriors, I have difficulties with the inferential aspects of the construct, since one cannot condition on an arbitrary finite measurable set without prior information. Things get a wee bit more outwardly when considering “data” with infinite mass, in Section 4.2, since they cannot be properly normalised (although I find the example of the degenerate multivariate Gaussian distribution puzzling as it is not a matter of improperness, since the degenerate Gaussian has a well-defined density against the right dominating measure). The paper also discusses marginalisation paradoxes, by acknowledging that marginalisation is no longer feasible with improper quantities. And the Jeffreys-Lindley paradox, with a resolution that uses the sum of the Dirac mass at the null, δ⁰, and of the Lebesgue measure on the real line, λ, as the dominating measure. This indeed solves the issue of the arbitrary constant in the Bayes factor, since it is “the same” on the null hypothesis and elsewhere, but I do not buy the argument, as I see no reason to favour δ⁰+λ over 3.141516 δ⁰+λ or δ⁰+1.61718 λ… (This section 4.5 also illustrates that the choice of the sequence of conditioning sets has an impact on the limiting measure, in the Rényi sense.) In conclusion, after reading the paper, I remain uncertain as to how to exploit this generalisation from an inferential (Bayesian?) viewpoint, since improper posteriors do not clearly lead to well-defined inferential procedures…

## Archive for marginalisation paradoxes

## statistics with improper posteriors [or not]

Posted in Statistics with tags Alfréd Rényi, Andrei Kolmogorov, Dennis Lindley, improper posteriors, improper priors, Jeffreys-Lindley paradox, marginalisation paradoxes on March 6, 2019 by xi'an## a new paradigm for improper priors

Posted in Books, pictures, Statistics, Travel with tags Alfréd Rényi, Andrei Kolmogorov, axioms of probability, convergence of Gibbs samplers, improper priors, σ-algebra, marginalisation paradoxes, Norway, Trondheim on November 6, 2017 by xi'an**G**unnar Taraldsen and co-authors have arXived a short note on using improper priors from a new perspective. Generalising an earlier 2016 paper in JSPI on the same topic. Which both relate to a concept introduced by Rényi (who himself attributes the idea to Kolmogorov). Namely that random variables measures are to be associated with arbitrary measures [not necessarily σ-finite measures, the later defining σ-finite random variables], rather than those with total mass one. Which allows for an alternate notion of conditional probability in the case of σ-finite random variables, with the perk that this conditional probability distribution is itself of mass 1 (a.e.). Which we know happens when moving from prior to proper posterior.

I remain puzzled by the 2016 paper though as I do not follow the meaning of a *random variable* associated with an *infinite mass probability measure*. If the point is limited to construct posterior probability distributions associated with improper priors, there is little value in doing so. The argument in the 2016 paper is however that one can then define a conditional distribution in marginalisation paradoxes à la Stone, Dawid and Zidek (1973) where the marginal does not exist. Solving with this formalism the said marginalisation paradoxes as conditional distributions are only defined for σ-finite random variables. Which gives a fairly different conclusion from either Stone, Dawid and Zidek (1973) [with whom I agree, namely that there is no paradox because there is no “joint” distribution] or Jaynes (1973) [with whom I less agree!, in that the use of an invariant measure to make the discrepancy go away is not a particularly strong argument in favour of this measure]. The 2016 paper also draws an interesting connection with the study by Jim Hobert and George Casella (in Jim’s thesis) of [null recurrent or transient] Gibbs samplers with no joint [proper] distribution. Which in some situations can produce proper subchains, a phenomenon later exhibited by Alan Gelfand and Sujit Sahu (and Xiao-Li Meng as well if I correctly remember!). But I see no advantage in following this formalism, as it does not impact whether the chain is transient or null recurrent, or anything connected with its implementation. Plus a link to the approximation of improper priors by sequences of proper ones by Bioche and Druihlet I discussed a while ago.

## covariant priors, Jeffreys and paradoxes

Posted in Books, Statistics, University life with tags evidence, Harold Jeffreys, hierarchical Bayesian modelling, improper priors, inadmissibility, invariance, Jeffreys priors, marginalisation paradoxes, Neyman-Scott problem, noninformative priors, over-interpretation of improper priors, reference priors on February 9, 2016 by xi'an

“If no information is available, π(α|M) must not deliver information about α.”

**I**n a recent arXival apparently submitted to Bayesian Analysis, Giovanni Mana and Carlo Palmisano discuss of the choice of priors in metrology. Which reminded me of this meeting I attended at the Bureau des Poids et Mesures in Sèvres where similar debates took place, albeit being led by ferocious anti-Bayesians! Their reference prior appears to be the Jeffreys prior, because of its reparameterisation invariance.

“The relevance of the Jeffreys rule in metrology and in expressing uncertainties in measurements resides in the metric invariance.”

This, along with a second order approximation to the Kullback-Leibler divergence, is indeed one reason for advocating the use of a Jeffreys prior. I at first found it surprising that the (usually improper) prior is used in a marginal likelihood, as it cannot be normalised. A source of much debate [and of our alternative proposal].

“To make a meaningful posterior distribution and uncertainty assessment, the prior density must be covariant; that is, the prior distributions of different parameterizations must be obtained by transformations of variables. Furthermore, it is necessary that the prior densities are proper.”

The above quote is quite interesting both in that the notion of *covariant* is used rather than *invariant* or *equivariant*. And in that properness is indicated as a requirement. (Even more surprising is the noun associated with covariant, since it clashes with the usual notion of covariance!) They conclude that the marginal associated with an improper prior is null because the normalising constant of the prior is infinite.

“…the posterior probability of a selected model must not be null; therefore, improper priors are not allowed.”

Maybe not so surprisingly given this stance on improper priors, the authors cover a collection of “paradoxes” in their final and longest section: most of which makes little sense to me. First, they point out that the reference priors of Berger, Bernardo and Sun (2015) are not invariant, but this should not come as a surprise given that they focus on parameters of interest versus nuisance parameters. The second issue pointed out by the authors is that under Jeffreys’ prior, the posterior distribution of a given normal mean for n observations is a *t* with n degrees of freedom while it is a *t* with n-1 degrees of freedom from a frequentist perspective. This is not such a paradox since both distributions work in different spaces. Further, unless I am confused, this is one of the marginalisation paradoxes, which more straightforward explanation is that marginalisation is not meaningful for improper priors. A third paradox relates to a contingency table with a large number of cells, in that the posterior mean of a cell probability goes as the number of cells goes to infinity. (In this case, Jeffreys’ prior is proper.) Again not much of a bummer, there is simply not enough information in the data when faced with a infinite number of parameters. Paradox #4 is the Stein paradox, when estimating the squared norm of a normal mean. Jeffreys’ prior then leads to a constant bias that increases with the dimension of the vector. Definitely a bad point for Jeffreys’ prior, except that there is no Bayes estimator in such a case, the Bayes risk being infinite. Using a renormalised loss function solves the issue, rather than introducing as in the paper uniform priors on intervals, which require hyperpriors without being particularly compelling. The fifth paradox is the Neyman-Scott problem, with again the Jeffreys prior the culprit since the estimator of the variance is inconsistent. By a multiplicative factor of 2. Another stone in Jeffreys’ garden [of forking paths!]. The authors consider that the prior gives zero weight to any interval not containing zero, as if it was a proper probability distribution. And “solve” the problem by avoid zero altogether, which requires of course to specify a lower bound on the variance. And then introducing another (improper) Jeffreys prior on that bound… The last and final paradox mentioned in this paper is one of the marginalisation paradoxes, with a bizarre explanation that since the mean and variance μ and σ are not independent a posteriori, “the information delivered by x̄ should not be neglected”.

## Measuring statistical evidence using relative belief [book review]

Posted in Books, Statistics, University life with tags ABC, Bayes factor, CHANCE, CRC Press, discrepancies, Error and Inference, improper prior, integrated likelihood, Jeffreys-Lindley paradox, Likelihood Principle, marginalisation paradoxes, model checking, model validation, Monty Hall problem, Murray Aitkin, p-value, point null hypotheses, relative belief ratio, University of Toronto on July 22, 2015 by xi'an

“It is necessary to be vigilant to ensure that attempts to be mathematically general do not lead us to introduce absurdities into discussions of inference.” (p.8)

**T**his new book by Michael Evans (Toronto) summarises his views on statistical evidence (expanded in a large number of papers), which are a quite unique mix of Bayesian principles and less-Bayesian methodologies. I am quite glad I could receive a version of the book before it was published by CRC Press, thanks to Rob Carver (and Keith O’Rourke for warning me about it).* [Warning: this is a rather long review and post, so readers may chose to opt out now!]*

“The Bayes factor does not behave appropriately as a measure of belief, but it does behave appropriately as a measure of evidence.” (p.87)

## the Flatland paradox [#2]

Posted in Books, Kids, R, Statistics, University life with tags ABC, combinatorics, exact ABC, Flatland, improper priors, Larry Wasserman, marginalisation paradoxes, paradox, Pierre Druilhet, random walk, subjective versus objective Bayes, William Feller on May 27, 2015 by xi'an**A**nother trip in the métro today (to work with Pierre Jacob and Lawrence Murray in a Paris Anticafé!, as the University was closed) led me to infer—warning!, this is not the exact distribution!—the distribution of *x*, namely

since a path *x* of length *l(x)* will corresponds to N draws if N-*l(x)* is an even integer *2p* and *p* undistinguishable annihilations in 4 possible directions have to be distributed over *l(x)*+1 possible locations, with Feller’s number of distinguishable distributions as a result. With a prior π(N)=1/N on N, hence on *p*, the posterior on *p* is given by

Now, given N and *x*, the probability of no annihilation on the last round is 1 when *l(x)*=N and in general

which can be integrated against the posterior. The numerical expectation is represented for a range of values of *l(x)* in the above graph. Interestingly, the posterior probability is constant for *l(x)* large and equal to 0.8125 under a flat prior over N.

**Getting back to Pierre Druilhet’s approach, he sets a flat prior on the length of the path θ and from there derives that the probability of annihilation is about 3/4. However, “the uniform prior on the paths of lengths lower or equal to M” used for this derivation which gives a probability of length l proportional to 3**^{l} is quite different from the distribution of l(θ) given a number of draws N. Which as shown above looks much more like a Binomial B(N,1/2).

However, being not quite certain about the reasoning involving Fieller’s trick, I ran an ABC experiment under a flat prior restricted to (*l(x)*,4*l(x)*) and got the above, where the histogram is for a posterior sample associated with *l(x)*=195 and the gold curve is the potential posterior. Since ABC is exact in this case (i.e., I only picked N’s for which l(x)=195), ABC is not to blame for the discrepancy! I asked about the distribution on Stack Exchange maths forum (and a few colleagues here as well) but got no reply so far… Here is the R code that goes with the ABC implementation:

#observation: elo=195 #ABC version T=1e6 el=rep(NA,T) N=sample(elo:(4*elo),T,rep=TRUE) for (t in 1:T){ #generate a path paz=sample(c(-(1:2),1:2),N[t],rep=TRUE) #eliminate U-turns uturn=paz[-N[t]]==-paz[-1] while (sum(uturn>0)){ uturn[-1]=uturn[-1]*(1- uturn[-(length(paz)-1)]) uturn=c((1:(length(paz)-1))[uturn==1], (2:length(paz))[uturn==1]) paz=paz[-uturn] uturn=paz[-length(paz)]==-paz[-1] } el[t]=length(paz)} #subsample to get exact posterior poster=N[abs(el-elo)==0]

## the Flatland paradox [reply from the author]

Posted in Books, Statistics, University life with tags Abbot, flat prior, Flatland, Gaussian random walk, improper prior, marginalisation paradoxes, Mervyn Stone on May 15, 2015 by xi'an*[Here is a reply by Pierre Druihlet to my comments on his paper.]*

**T**here are several goals in the paper, the last one being the most important one.

The first one is to insist that considering θ as a parameter is not appropriate. We are in complete agreement on that point, but I prefer considering l(θ) as the parameter rather than N, mainly because it is much simpler. Knowing N, the law of l(θ) is given by the law of a random walk with 0 as reflexive boundary (Jaynes in his book, explores this link). So for a given prior on N, we can derive a prior on l(θ). Since the random process that generate N is completely unknown, except that N is probably large, the true law of l(θ) is completely unknown, so we may consider l(θ).

The second one is to state explicitly that a flat prior on θ implies an exponentially increasing prior on l(θ). As an anecdote, Stone, in 1972, warned against this kind of prior for Gaussian models. Another interesting anecdote is that he cited the novel by Abbot “Flatland : a romance of many dimension” who described a world where the dimension is changed. This is exactly the case in the FP since θ has to be seen in two dimensions rather than in one dimension.

The third one is to make a distinction between randomness of the parameter and prior distribution, each one having its own rule. This point is extensively discussed in Section 2.3.

– In the intuitive reasoning, the probability of no annihilation involves the true joint distribution on (θ, x) and therefore the true unknown distribution of θ,.

– In the Bayesian reasoning, the posterior probability of no annihilation is derived from the prior distribution which is improper. The underlying idea is that a prior distribution does not obey probability rules but belongs to a projective space of measure. This is especially true if the prior does not represent an accurate knowledge. In that case, there is no discontinuity between proper and improper priors and therefore the impropriety of the distribution is not a key point. In that context, the joint and marginal distributions are irrelevant, not because the prior is improper, but because it is a prior and not a true law. If the prior were the true probability law of θ,, then the flat distribution could not be considered as a limit of probability distributions.

For most applications, the distinction between prior and probability law is not necessary and even pedantic, but it may appear essential in some situations. For example, in the Jeffreys-Lindley paradox, we may note that the construction of the prior is not compatible with the projective space structure.