When preparing my OxWaSP projects a few weeks ago, I came perchance on a set of slides, entitled “Hierarchical models are not Bayesian“, written by Brian Dennis (University of Idaho), where the author argues against Bayesian inference in hierarchical models in ecology, much in relation with the previously discussed paper of Subhash Lele. The argument is the same, namely a possibly major impact of the prior modelling on the resulting inference, in particular when some parameters are hardly identifiable, the more when the model is complex and when there are many parameters. And that “data cloning” being available since 2007, frequentist methods have “caught up” with Bayesian computational abilities.
Let me remind the reader that “data cloning” means constructing a sequence of Bayes estimators corresponding to the data being duplicated (or cloned) once, twice, &tc., until the point estimator stabilises. Since this corresponds to using increasing powers of the likelihood, the posteriors concentrate more and more around the maximum likelihood estimator. And even recover the Hessian matrix. This technique is actually older than 2007 since I proposed it in the early 1990’s under the name of prior feedback, with earlier occurrences in the literature like D’Epifanio (1989) and even the discussion of Aitkin (1991). A more efficient version of this approach is the SAME algorithm we developed in 2002 with Arnaud Doucet and Simon Godsill where the power of the likelihood is increased during iterations in a simulated annealing version (with a preliminary version found in Duflo, 1996).
I completely agree with the author that a hierarchical model does not have to be Bayesian: when the random parameters in the model are analysed as sources of additional variations, as for instance in animal breeding or ecology, and integrated out, the resulting model can be analysed by any statistical method. Even though one may wonder at the motivations for selecting this particular randomness structure in the model. And at an increasing blurring between what is prior modelling and what is sampling modelling as the number of levels in the hierarchy goes up. This rather amusing set of slides somewhat misses a few points, in particular the ability of data cloning to overcome identifiability and multimodality issues. Indeed, as with all simulated annealing techniques, there is a practical difficulty in avoiding the fatal attraction of a local mode using MCMC techniques. There are thus high chances data cloning ends up in the “wrong” mode. Moreover, when the likelihood is multimodal, it is a general issue to decide which of the modes is most relevant for inference. In which sense is the MLE more objective than a Bayes estimate, then? Further, the impact of a prior on some aspects of the posterior distribution can be tested by re-running a Bayesian analysis with different priors, including empirical Bayes versions or, why not?!, data cloning, in order to understand where and why huge discrepancies occur. This is part of model building, in the end.