Archive for MCMC algorithms

non-local priors for mixtures

Posted in Statistics, University life with tags , , , , , , , , , , , , , , , on September 15, 2016 by xi'an

[For some unknown reason, this commentary on the paper by Jairo Fúquene, Mark Steel, David Rossell —all colleagues at Warwick— on choosing mixture components by non-local priors remained untouched in my draft box…]

Choosing the number of components in a mixture of (e.g., Gaussian) distributions is a hard problem. It may actually be an altogether impossible problem, even when abstaining from moral judgements on mixtures. I do realise that the components can eventually be identified as the number of observations grows to infinity, as demonstrated foFaith, Barossa Valley wine: strange name for a Shiraz (as it cannot be a mass wine!, but nice flavoursr instance by Judith Rousseau and Kerrie Mengersen (2011). But for a finite and given number of observations, how much can we trust any conclusion about the number of components?! It seems to me that the criticism about the vacuity of point null hypotheses, namely the logical absurdity of trying to differentiate θ=0 from any other value of θ, applies to the estimation or test on the number of components of a mixture. Doubly so, one might argue, since a very small or a very close component is undistinguishable from a non-existing one. For instance, Definition 2 is correct from a mathematical viewpoint, but it does not spell out the multiple contiguities between k and k’ component mixtures.

The paper starts with a comprehensive coverage of l’état de l’art… When using a Bayes factor to compare a k-component and an h-component mixture, the behaviour of the factor is quite different depending on which model is correct. Essentially overfitted mixtures take much longer to detect than underfitted ones, which makes intuitive sense. And BIC should be corrected for overfitted mixtures by a canonical dimension λ between the true and the (larger) assumed number of parameters  into

2 log m(y) = 2 log p(y|θ) – λ log O(n) + O(log log n)

I would argue that this purely invalidates BIG in mixture settings since the canonical dimension λ is unavailable (and DIC does not provide a useful substitute as we illustrated a decade ago…) The criticism about Rousseau and Mengersen (2011) over-fitted mixture that their approach shrinks less than a model averaging over several numbers of components relates to minimaxity and hence sounds both overly technical and reverting to some frequentist approach to testing. Replacing testing with estimating sounds like the right idea.  And I am also unconvinced that a faster rate of convergence of the posterior probability or of the Bayes factor is a relevant factor when conducting

As for non local priors, the notion seems to rely on a specific topology for the parameter space since a k-component mixture can approach a k’-component mixture (when k'<k) in a continuum of ways (even for a given parameterisation). This topology seems to be summarised by the penalty (distance?) d(θ) in the paper. Is there an intrinsic version of d(θ), given the weird parameter space? Like one derived from the Kullback-Leibler distance between the models? The choice of how zero is approached clearly has an impact on how easily the “null” is detected, the more because of the somewhat discontinuous nature of the parameter space. Incidentally, I find it curious that only the distance between means is penalised… The prior also assumes independence between component parameters and component weights, which I think is suboptimal in dealing with mixtures, maybe suboptimal in a poetic sense!, as we discussed in our reparameterisation paper. I am not sure either than the speed the distance converges to zero (in Theorem 1) helps me to understand whether the mixture has too many components for the data’s own good when I can run a calibration experiment under both assumptions.

While I appreciate the derivation of a closed form non-local prior, I wonder at the importance of the result. Is it because this leads to an easier derivation of the posterior probability? I do not see the connection in Section 3, except maybe that the importance weight indeed involves this normalising constant when considering several k’s in parallel. Is there any convergence issue in the importance sampling solution of (3.1) and (3.3) since the simulations are run under the local posterior? While I appreciate the availability of an EM version for deriving the MAP, a fact I became aware of only recently, is it truly bringing an improvement when compared with picking the MCMC simulation with the highest completed posterior?

The section on prior elicitation is obviously of central interest to me! It however seems to be restricted to the derivation of the scale factor g, in the distance, and of the parameter q in the Dirichlet prior on the weights. While the other parameters suffer from being allocated the conjugate-like priors. I would obviously enjoy seeing how this approach proceeds with our non-informative prior(s). In this regard, the illustration section is nice, but one always wonders at the representative nature of the examples and the possible interpretations of real datasets. For instance, when considering that the Old Faithful is more of an HMM than a mixture.

astroABC: ABC SMC sampler for cosmological parameter estimation

Posted in Books, R, Statistics, University life with tags , , , , , , , , on September 6, 2016 by xi'an

“…the chosen statistic needs to be a so-called sufficient statistic in that any information about the parameter of interest which is contained in the data, is also contained in the summary statistic.”

Elise Jenningsa and Maeve Madigan arXived a paper on a new Python code they developed for implementing ABC-SMC, towards astronomy or rather cosmology applications. They stress the parallelisation abilities of their approach which leads to “crucial speed enhancement” against the available competitors, abcpmc and cosmoabc. The version of ABC implemented there is “our” ABC PMC where particle clouds are shifted according to mixtures of random walks, based on each and every point of the current cloud, with a scale equal to twice the estimated posterior variance. (The paper curiously refers to non-astronomy papers through their arXiv version, even when they have been published. Like our 2008 Biometrika paper.) A large part of the paper is dedicated to computing aspects that escape me, like the constant reference to MPIs. The algorithm is partly automated, except for the choice of the summary statistics and of the distance. The tolerance is chosen as a (large) quantile of the previous set of simulated distances. Getting comments from the designers of abcpmc and cosmoabc would be great.

“It is clear that the simple Gaussian Likelihood assumption in this case, which neglects the effects of systematics yields biased cosmological constraints.”

The last part of the paper compares ABC and MCMC on a supernova simulated dataset. Which is somewhat a dubious comparison since the model used for producing the data and running ABC is not the same as the Gaussian version used with MCMC. Unsurprisingly, MCMC then misses the true value of the cosmological parameters and most likely and more importantly the true posterior HPD region. While ABC SMC (or PMC) proceeds to a concentration around the genuine parameter values. (There is no additional demonstration of how accelerated the approach is.)

Assistant Professor position @ WU

Posted in Mountains, Statistics, Travel, University life, Wines with tags , , , , , , , on August 15, 2016 by xi'an

wien2There is an opening for an assistant professor non-tenure position in Vienna, WU, in Sylvia Früwirth-Schnatter’s group. With deadline September 7, 2016. The requested profile is

– PhD in applied mathematics or in statistics with a strong mathematical background
– Enthusiastic interest in research in Bayesian statistics, exemplified through publications in international journals in topics including, but not limited to, Bayesian non-parametric methods, Bayesian inference for high-dimensional and complex data, Bayesian time series analysis and state space modelling, efficient Markov chain Monte Carlo methods
– Interest in applications in economics, finance, and business
– Excellent programming skills (e.g. in R or Matlab)
– German language skills are not a prerequisite

Here are the details for those interested in this exciting opportunity!

commentaries in financial econometrics

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on April 27, 2016 by xi'an

My comment(arie)s on the moment approach to Bayesian inference by Ron Gallant have appeared, along with other comment(arie)s:

Invited Article
Reflections on the Probability Space Induced by Moment Conditions with
Implications for Bayesian Inference
A. Ronald Gallant . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Commentaries
Dante Amengual and Enrique Sentana .. . . . . . . . . . 248
John Geweke . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253
Jae-Young Kim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
Oliver Linton and Ruochen Wu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .261
Christian P. Robert . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
Christopher A. Sims . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Wei Wei and Asger Lunde . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . .278
Author Response
A. Ronald Gallant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .284

formula (4) in Gallant's paperWhile commenting on commentaries is formally bound to induce an infinite loop [or l∞p], I remain puzzled by the main point of the paper, which is that setting a structural distribution on a moment function Z(x,θ) plus a prior p(θ) induces a distribution on the pair (x,θ) in a possibly weaker σ-algebra. (The two distributions may actually be incompatible.) Handling this framework requires checking that a posterior exists, which sounds rather unnatural (even though we also have to check properness of the posterior). And the meaning of such a posterior remains unclear, as for instance in this assertion that (4) above is a likelihood, when it does not define a density in x but on the object inside the exponential.

“…it is typically difficult to determine whether there exists a p(x|θ) such that the implied distribution of m(x,θ) is the one stated, and if not, what damage is done thereby” J. Geweke (p.254)

Continue reading

Rémi Bardenet’s seminar

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , on April 7, 2016 by xi'an

Grand Palais from Esplanade des Invalides, Paris, Dec. 07, 2012Next week, Rémi Bardenet is giving a seminar in Paris, Thursday April 14, 2pm, in ENSAE [room 15] on MCMC methods for tall data. Unfortunately, I will miss this opportunity to discuss with Rémi as I will be heading to La Sapienza, Roma, for Clara Grazian‘s PhD defence the next day.  And on Monday afternoon, April 11, Nicolas Chopin will give a talk on quasi-Monte Carlo for sequential problems at Institut Henri Poincaré.

Statistical rethinking [book review]

Posted in Books, Kids, R, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , on April 6, 2016 by xi'an

Statistical Rethinking: A Bayesian Course with Examples in R and Stan is a new book by Richard McElreath that CRC Press sent me for review in CHANCE. While the book was already discussed on Andrew’s blog three months ago, and [rightly so!] enthusiastically recommended by Rasmus Bååth on Amazon, here are the reasons why I am quite impressed by Statistical Rethinking!

“Make no mistake: you will wreck Prague eventually.” (p.10)

While the book has a lot in common with Bayesian Data Analysis, from being in the same CRC series to adopting a pragmatic and weakly informative approach to Bayesian analysis, to supporting the use of STAN, it also nicely develops its own ecosystem and idiosyncrasies, with a noticeable Jaynesian bent. To start with, I like the highly personal style with clear attempts to make the concepts memorable for students by resorting to external concepts. The best example is the call to the myth of the golem in the first chapter, which McElreath uses as an warning for the use of statistical models (which almost are anagrams to golems!). Golems and models [and robots, another concept invented in Prague!] are man-made devices that strive to accomplish the goal set to them without heeding the consequences of their actions. This first chapter of Statistical Rethinking is setting the ground for the rest of the book and gets quite philosophical (albeit in a readable way!) as a result. In particular, there is a most coherent call against hypothesis testing, which by itself justifies the title of the book. Continue reading

perfect sampling, just perfect!

Posted in Books, Statistics, University life with tags , , , , , , , , on January 19, 2016 by xi'an

Great news! Mark Huber (whom I’ve know for many years, so this review may be not completely objective!) has just written a book on perfect simulation! I remember (and still share) the excitement of the MCMC community when the first perfect simulation papers of Propp and Wilson (1995) came up on the (now deceased) MCMC preprint server, as it seemed then the ideal (perfect!) answer to critics of the MCMC methodology, plugging MCMC algorithms into a generic algorithm that eliminating burnin, warmup, and convergence issues… It seemed both magical, with the simplest argument: “start at T=-∞ to reach stationarity at T=0”, and esoteric (“why forward fails while backward works?!”), requiring simple random walk examples (and a java app by Jeff Rosenthal) to understand the difference (between backward and forward), as well as Wilfrid Kendall’s kids’ coloured wood cubes and his layer of leaves falling on the ground and seen from below… These were exciting years, with MCMC still in its infancy, and no goal seemed too far away! Now that years have gone, and that the excitement has clearly died away, perfect sampling can be considered in a more sedate manner, with pros and cons well-understood. This is why Mark Huber’s book is coming at a perfect time if any! It covers the evolution of the perfect sampling techniques, from the early coupling from the past to the monotonous versions, to the coalescence principles, with applications to spatial processes, to the variations on nested sampling and their use in doubly intractable distributions, with forays into the (fabulous) Bernoulli factory problem (a surprise for me, as Bernoulli factories are connected with unbiasedness, not stationarity! Even though my only fieldwork [with Randal Douc] in such factories was addressing a way to turn MCMC into importance sampling. The key is in the notion of approximate densities, introduced in Section 2.6.). The book is quite thorough with the probabilistic foundations of the different principles, with even “a [tiny weeny] little bit of measure theory.

Any imperfection?! Rather, only a (short too short!) reflection on the limitations of perfect sampling, namely that it cannot cover the simulation of posterior distributions in the Bayesian processing of most statistical models. Which makes the quote

“Distributions where the label of a node only depends on immediate neighbors, and where there is a chance of being able to ignore the neighbors are the most easily handled by perfect simulation protocols (…) Statistical models in particular tend to fall into this category, as they often do not wish to restrict the outcome too severely, instead giving the data a chance to show where the model is incomplete or incorrect.” (p.223)

just surprising, given the very small percentage of statistical models which can be handled by perfect sampling. And the downsizing of perfect sampling related papers in the early 2000’s. Which also makes the final and short section on the future of perfect sampling somewhat restricted in its scope.

So, great indeed!, a close to perfect entry to a decade of work on perfect sampling. If you have not heard of the concept before, consider yourself lucky to be offered such a gentle guidance into it. If you have dabbled with perfect sampling before, reading the book will be like meeting old friends and hearing about their latest deeds. More formally, Mark Huber’s book should bring you a new perspective on the topic. (As for me, I had never thought of connecting perfect sampling with accept reject algorithms.)