I find this xkcd entry very much in tune with my own feelings and misgivings about 2017. I like the notion that 2016 is sending us in the future without things (and people) it would have been better to keep. Like reaching out instead of building barriers, whether about staying in the EU or uniting all Americans under one’s presidency, rather than tweeting scorn, exclusion, and righteousness. Like keeping hospitals standing and operating, instead of flattening them out, in Syria, Irak, Yemen and Afghanistan. Like preserving women’s access to contraception and abortion, instead of [old men] ruling over their body and rights. No, 2017 does not look too promising.
Archive for Nate Silver
Of interest for xkcd fans: What If?: Serious Scientific Answers to Absurd Hypothetical Questions is out! Actually, it is currently the #1 bestseller on amazon! (A physics book makes it to the top of the bestseller list, a few weeks after a theoretical economics book got there. Nice! Actually, a statistics book also made it to the top: Nate Silver’s The SIgnal and the Noise….) I did not read the book, but it is made of some of the questions answered by Randall Munroe (the father of xkcd) on his what if blog. In connection with this publication, Randall Munroe is interviewed on FiveThirtyEight (Nate Silver’s website), as kindly pointed out to me by Bill Jefferys. The main message is trying to give people a feeling about numbers, a rough sense of numeracy. Which was also the purpose of the guesstimation books.
As much as I love Scotland, or because of it, I would not dream of suggesting to Scots that one side of the referendum sounds better than the other. However, I am rather annoyed at the yoyo-like reactions to the successive polls about the result, because, just like during the US elections, each poll is analysed separately rather than being pooled with the earlier ones in a reasonable meta-analysis… Where is Nate Silver when we need him?!
Although I could not stay at the RSS Annual Conference for the three days, I would have liked to do so, as there were several interesting sessions, from MCMC talks by Axel Finke, Din-Houn Lau, Anthony Lee and Michael Betancourt, to the session on Anti-fragility, the concept produced by Nassim Taleb in his latest book (reviewed before completion by Larry Wasserman). I find it rather surprising that the RSS is dedicating a whole session to this, but the usually anti-statistic stance of Taleb (esp. in The Black Swan) may explain for it (and the equally surprising debate between a “pro-Taleb” and a “pro-Silver”. I will also miss Sharon McGrayne‘s talk on the Bayesian revolution, but look forward to hear it at the Bayes-250 day in Duke next December. And I could have certainly benefited from the training session about building a package in R. It seemed, however, that one-day attendance was a choice made by many participants to the conference, judging from the ability to register for one or two days and from the (biased) sample of my friends.
Incidentally, the conference gave me the opportunity to discover Newcastle and Tynemouth, enjoying the architecture of Grey Street and running on the huge meadows almost at the city centre, among herds of cows in the morning fog. (I wish I had had more time to reach the neighbourly Hadrian wall and Durham, that I only spotted from the train to B’ham!)
“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…
It took me a while to get Nate Silver’s the signal and the noise: why so many predictions fall – but some don’t (hereafter s&n) and another while to read it (blame A Memory of Light!).
“Bayes and Price are telling Hume, don’t blame nature because you are too daft to understand it.” s&n, p.242
I find s&n highly interesting and it is rather refreshing to see the Bayesian approach so passionately promoted by a former poker player, as betting and Dutch book arguments have often been used as argument in favour of this approach. While it works well for some illustrations in the book, like poker and the stock market, as well as political polls and sports, I prefer more decision theoretic motivations for topics like weather prediction, sudden epidemics, global warming or terrorism. Of course, this passionate aspect makes s&n open to criticisms, like this one by Marcus and Davies in The New Yorker about seeing everything through the Bayesian lenses. The chapter on Bayes and Bayes’ theorem (Chapter 8) is a wee caricaturesque in this regard. Indeed, Silver sees too much in Bayes’ Essay, to the point of mistakenly attributing to Bayes a discussion of Hume’s sunrise problem. (The only remark is made in the Appendix, which was written by Price—like possibly the whole of the Essay!—, and P.S. Laplace is the one who applied Bayesian reasoning to the problem, leading to Laplace’s succession rule.) The criticisms of frequentism are also slightly over-the-levee: they are mostly directed at inadequate models that a Bayesian analysis would similarly process in the wrong way. (Some critics argue on the opposite that Bayesian analysis is too much dependent on the model being “right”! Or on the availability of a fully-specified model.) Seeing frequentism as restricted to “collecting data among just a sample of the population rather than the whole population” (p.252) is certainly not presenting a broad coverage of frequentism.
“Prediction serves a very central role in hypothesis testing, for instance, and therefore in all of science.” s&n, p.230
The book is written in a fairly enjoyable style, highly personal (no harm with that) and apart from superlativising (!) everyone making a relevant appearance—which seems the highest common denominator of all those pop’sci’ books I end up reviewing so very often!, maybe this is something like Rule #1 in Scientific Writing 101 courses: “makes the scientists sound real, turn’em into real people”—, I find it rather well-organised as it brings the reader from facts (prediction usually does poorly) to the possibility of higher quality prediction (by acknowledging prior information, accepting uncertainty, using all items of information available, further accepting uncertainty, &tc.). I am not sure the reader is the wiser by the end of the book on how one should improve one’s prediction tools, but there is a least a warning about the low quality of most predictions and predictive tools that should linger in the reader’s ears…. I enjoyed very much the chapter on chess, esp. the core about Kasparov’s misreading the computer reasons for a poor move (no further spoiler!), although I felt it was not much connected to the rest of the book.
In his review, Larry Wasserman argues that the defence Silver makes of his procedure is more frequentist than Bayesian. Because he uses calibration and long-term performances. Well… Having good calibration properties does not mean the procedure is not Bayesian or frequentist, simply that it is making efficient use of the available information. Anyway, I agree (!) with Larry on the point that Silver somehow “confuses “Bayesian inference” with “using Bayes’ theorem”. Or puts too much meaning in the use of Bayes’ theorem, not unlike the editors of Science & Vie a few months ago. To push Larry’s controversial statement a wee further, I would even wonder whether the book has anything to do about inference. Indeed, in the end, I find s&n rather uninformative about statistical modelling and even more (or less!) about model checking. The only “statistical” model that is truly discussed over the book is the power law distribution, applied to earthquakes and terrorist attack fatalities. This is not an helpful model in that (a) it does not explain anything, as it does not make use of covariates or side information, and (b) it has no predictive power, especially in the tails. On the first point, concluding that Israel’s approach to counter-terrorism is successful because it “is the only country that has been able to bend” the power-law curve (p.442) sounds rather hasty. I’d like to see the same picture for Iraq, say. Actually, I found one in this arXiv paper. And it looks about the same for Afghanistan (Fig.4). On the second point, the modelling is poor in handling extreme values (which are the ones of interest in both cases) and cannot face change-points or lacks of stationary, an issue not sufficiently covered in s&n in my opinion. The difficulty with modelling volatile concepts like the stock market, the next presidential election or the move of your poker opponents is that there is no physical, immutable, law at play. Things can change from one instant to the next. Unpredictably. Esp. in the tails.
There are plenty of graphs in s&n, which is great, but not all of them are at the Tufte quality level. For instance, Figure 11-1 about the “average time U.S. common stock was held” contains six pie charts corresponding to six decades with the average time and a percentage which could be how long compared with the 1950s a stock was held. The graph is not mentioned in the text. (I will not mention Figure 8-2!) I also spotted a minuscule typo (`probabalistic’) on Figure 10-2A.
Maybe one last and highly personal remark about the chapter on poker (feel free to skip!): while I am a very poor card player, I do not mind playing cards (and loosing) with my kids. However, I simply do not understand the rationale of playing poker. If there is no money at stake, the game does not seem to make sense since every player can keep bluffing until the end of time. And if there is money at stake, I find the whole notion unethical. This is a zero sum game, so money comes from someone else’s pocket (or more likely someone else’s retirement plan or someone else’s kids college savings plan). Not much difference with the way the stock market behaves nowadays… (Incidentally, this chapter did not discuss at all the performances of computer poker programs, unexpectedly, as the number of possibilities is very small and they should thus be fairly efficient.)
As the cold I caught in England (maybe) last week was getting more severe, I went to see my doctor yesterday and he diagnosed a flu… So expect delays on the ‘Og in the coming days. (Interestingly, I have reached the part in Nate Silver’s book, The Signal and the Noise, about epidemics and the poor predictions related to the swine flu a few years ago.) What about Bach?! Well, my doctor always has classical music in his waiting room and Bach’s 6th Brandenburg concerto was playing while I was waiting, sneezing, and coughing. This piece is associated with my early childhood as it was on the only vinyl record my parents owned for quite a while, so we ended up listening to it very regularly… (In case you wonder, I still enjoy it very much!)