Archive for noninformative priors

O’Bayes in action

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , , , , , on November 7, 2017 by xi'an

My next-door colleague [at Dauphine] François Simenhaus shared a paradox [to be developed in an incoming test!] with Julien Stoehr and I last week, namely that, when selecting the largest number between a [observed] and b [unobserved], drawing a random boundary on a [meaning that a is chosen iff a is larger than this boundary] increases the probability to pick the largest number above ½2…

When thinking about it in the wretched RER train [train that got immobilised for at least two hours just a few minutes after I went through!, good luck to the passengers travelling to the airport…] to De Gaulle airport, I lost the argument: if a<b, the probability [for this random bound] to be larger than a and hence for selecting b is 1-Φ(a), while, if a>b, the probability [of winning] is Φ(a). Hence the only case when the probability is ½ is when a is the median of this random variable. But, when discussing the issue further with Julien, I exposed an interesting non-informative prior characterisation. Namely, if I assume a,b to be iid U(0,M) and set an improper prior 1/M on M, the conditional probability that b>a given a is ½. Furthermore, the posterior probability to pick the right [largest] number with François’s randomised rule is also ½, no matter what the distribution of the random boundary is. Now, the most surprising feature of this coffee room derivation is that these properties only hold for the prior 1/M. Any other power of M will induce an asymmetry between a and b. (The same properties hold when a,b are iid Exp(M).)  Of course, this is not absolutely unexpected since 1/M is the invariant prior and since the “intuitive” symmetry only holds under this prior. Power to O’Bayes!

When discussing again the matter with François yesterday, I realised I had changed his wording of the puzzle. The original setting is one with two cards hiding the unknown numbers a and b and of a player picking one of the cards. If the player picks a card at random, there is indeed a probability of ½ of picking the largest number. If the decision to switch or not depends on an independent random draw being larger or smaller than the number on the observed card, the probability to get max(a,b) in the end hits 1 when this random draw falls into (a,b) and remains ½ outside (a,b). Randomisation pays.

priors without likelihoods are like sloths without…

Posted in Books, Statistics with tags , , , , , , , , , , , , on September 11, 2017 by xi'an

“The idea of building priors that generate reasonable data may seem like an unusual idea…”

Andrew, Dan, and Michael arXived a opinion piece last week entitled “The prior can generally only be understood in the context of the likelihood”. Which connects to the earlier Read Paper of Gelman and Hennig I discussed last year. I cannot state strong disagreement with the positions taken in this piece, actually, in that I do not think prior distributions ever occur as a given but are rather chosen as a reference measure to probabilise the parameter space and eventually prioritise regions over others. If anything I find myself even further on the prior agnosticism gradation.  (Of course, this lack of disagreement applies to the likelihood understood as a function of both the data and the parameter, rather than of the parameter only, conditional on the data. Priors cannot be depending on the data without incurring disastrous consequences!)

“…it contradicts the conceptual principle that the prior distribution should convey only information that is available before the data have been collected.”

The first example is somewhat disappointing in that it revolves as so many Bayesian textbooks (since Laplace!) around the [sex ratio] Binomial probability parameter and concludes at the strong or long-lasting impact of the Uniform prior. I do not see much of a contradiction between the use of a Uniform prior and the collection of prior information, if only because there is not standardised way to transfer prior information into prior construction. And more fundamentally because a parameter rarely makes sense by itself, alone, without a model that relates it to potential data. As for instance in a regression model. More, following my epiphany of last semester, about the relativity of the prior, I see no damage in the prior being relevant, as I only attach a relative meaning to statements based on the posterior. Rather than trying to limit the impact of a prior, we should rather build assessment tools to measure this impact, for instance by prior predictive simulations. And this is where I come to quite agree with the authors.

“…non-identifiabilities, and near nonidentifiabilites, of complex models can lead to unexpected amounts of weight being given to certain aspects of the prior.”

Another rather straightforward remark is that non-identifiable models see the impact of a prior remain as the sample size grows. And I still see no issue with this fact in a relative approach. When the authors mention (p.7) that purely mathematical priors perform more poorly than weakly informative priors it is hard to see what they mean by this “performance”.

“…judge a prior by examining the data generating processes it favors and disfavors.”

Besides those points, I completely agree with them about the fundamental relevance of the prior as a generative process, only when the likelihood becomes available. And simulatable. (This point is found in many references, including our response to the American Statistician paper Hidden dangers of specifying noninformative priors, with Kaniav Kamary. With the same illustration on a logistic regression.) I also agree to their criticism of the marginal likelihood and Bayes factors as being so strongly impacted by the choice of a prior, if treated as absolute quantities. I also if more reluctantly and somewhat heretically see a point in using the posterior predictive for assessing whether a prior is relevant for the data at hand. At least at a conceptual level. I am however less certain about how to handle improper priors based on their recommendations. In conclusion, it would be great to see one [or more] of the authors at O-Bayes 2017 in Austin as I am sure it would stem nice discussions there! (And by the way I have no prior idea on how to conclude the comparison in the title!)

Jeffreys priors for mixtures [or not]

Posted in Books, Statistics, University life with tags , , , , , on July 25, 2017 by xi'an

Clara Grazian and I have just arXived [and submitted] a paper on the properties of Jeffreys priors for mixtures of distributions. (An earlier version had not been deemed of sufficient interest by Bayesian Analysis.) In this paper, we consider the formal Jeffreys prior for a mixture of Gaussian distributions and examine whether or not it leads to a proper posterior with a sufficient number of observations.  In general, it does not and hence cannot be used as a reference prior. While this is a negative result (and this is why Bayesian Analysis did not deem it of sufficient importance), I find it definitely relevant because it shows that the default reference prior [in the sense that the Jeffreys prior is the primary choice in nonparametric settings] does not operate in this wide class of distributions. What is surprising is that the use of a Jeffreys-like prior on a global location-scale parameter (as in our 1996 paper with Kerrie Mengersen or our recent work with Kaniav Kamary and Kate Lee) remains legit if proper priors are used on all the other parameters. (This may be yet another illustration of the tequilla-like toxicity of mixtures!)

Francisco Rubio and Mark Steel already exhibited this difficulty of the Jeffreys prior for mixtures of densities with disjoint supports [which reveals the mixture latent variable and hence turns the problem into something different]. Which relates to another point of interest in the paper, derived from a 1988 [Valencià Conference!] paper by José Bernardo and Javier Giròn, where they show the posterior associated with a Jeffreys prior on a mixture is proper when (a) only estimating the weights p and (b) using densities with disjoint supports. José and Javier use in this paper an astounding argument that I had not seen before and which took me a while to ingest and accept. Namely, the Jeffreys prior on a observed model with latent variables is bounded from above by the Jeffreys prior on the corresponding completed model. Hence if the later leads to a proper posterior for the observed data, so does the former. Very smooth, indeed!!!

Actually, we still support the use of the Jeffreys prior but only for the mixture mixtures, because it has the property supported by Judith and Kerrie of a conservative prior about the number of components. Obviously, we cannot advocate its use over all the parameters of the mixture since it then leads to an improper posterior.

covariant priors, Jeffreys and paradoxes

Posted in Books, Statistics, University life with tags , , , , , , , , , , , on February 9, 2016 by xi'an

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

In 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”.

noninformative priors for mixtures

Posted in Books, Statistics, University life with tags , , , , , , , , on May 26, 2014 by xi'an

“A novel formulation of the mixture model is introduced, which includes the prior constraint that each Gaussian component is always assigned a minimal number of data points. This enables noninformative improper priors such as the Jeffreys prior to be placed on the component parameters. We demonstrate difficulties involved in specifying a prior for the standard Gaussian mixture model, and show how the new model can be used to overcome these. MCMC methods are given for efficient sampling from the posterior of this model.” C. Stoneking

cover of Mixture Estimation and ApplicationsFollowing in the theme of the Jeffreys’ post of two weeks ago, I spotted today a newly arXived paper about using improper priors for mixtures…and surviving it! It is entitled “Bayesian inference of Gaussian mixture models with noninformative priors” and written by Colin Stoneking at ETH Zürich. As mentioned in the previous post, one specificity of our 1990-1994 paper on mixture with Jean Diebolt was to allow for improper priors by imposing at least two observations per component. The above abstract thus puzzled me until I found on page 3 that the paper was indeed related to ours (and Larry’s 2000 validation)! Actually, I should not complain about citations of my earlier works on mixtures as they cover seven different papers, but the bibliography is somewhat missing the paper we wrote with George Casella and Marty Wells in Statistical Methodology in 2004 (this was actually the very first paper of this new journal!), where we show that conjugate priors allow for the integration of the weights, resulting in a close-form expression for the distribution of the partition vector. (This was also extended in the chapter “Exact Bayesian Analysis of Mixtures” I wrote with Kerrie Mengersen in our book Mixtures: Estimation and Applications.)

“There is no well-founded, general method to choose the parameters of a given prior to make it weakly informative for Gaussian mixtures.” C. Stoneking

The first part of the paper shows why looking for weakly informative priors is doomed to fail in this mixture setting: there is no stabilisation as hyperparameters get towards the border (between proper-ness and improper-ness), and on the opposite the frequency of appearances of empty components grows steadily to 100%…  The second part gets to the reassessment of our 1990 exclusion trick, first considering that it is not producing a true posterior, then criticising Larry’s 2000 analysis as building a data-dependent “prior”, and at last proposing a reformulation where the exclusion of the empty components and those with one allocated observation becomes part of the “prior” (albeit a prior on the allocation vector). In fine, the posterior thus constructed remains the same as ours, with a message that if we start our model as the likelihood of the sample excluding empty or single-observation terms, we can produce a proper Bayesian analysis. (Except for a missing if minor renormalisation.) This leads me to wonder about the conclusion that inference about the (unknown) number of components in the mixture being impossible from this perspective. For instance, we could define fractional Bayes factors à la O’Hagan (1995) this way, i.e. starting from the restricted likelihood and taking a fraction of the likelihood to make the posterior proper, then using the remaining fraction to compute a Bayes factor. (Fractional Bayes factors do not work for the regular likelihood of a Gaussian mixture, irrespective of the sample size.)

penalising model component complexity

Posted in Books, Mountains, pictures, Statistics, University life with tags , , , , , , , , , , on April 1, 2014 by xi'an

“Prior selection is the fundamental issue in Bayesian statistics. Priors are the Bayesian’s greatest tool, but they are also the greatest point for criticism: the arbitrariness of prior selection procedures and the lack of realistic sensitivity analysis (…) are a serious argument against current Bayesian practice.” (p.23)

A paper that I first read and annotated in the very early hours of the morning in Banff, when temperatures were down in the mid minus 20’s now appeared on arXiv, “Penalising model component complexity: A principled, practical approach to constructing priors” by Thiago Martins, Dan Simpson, Andrea Riebler, Håvard Rue, and Sigrunn Sørbye. It is a highly timely and pertinent paper on the selection of default priors! Which shows that the field of “objective” Bayes is still full of open problems and significant advances and makes a great argument for the future president [that I am] of the O’Bayes section of ISBA to encourage young Bayesian researchers to consider this branch of the field.

“On the other end of the hunt for the holy grail, “objective” priors are data-dependent and are not uniformly accepted among Bayesians on philosophical grounds.” (p.2)

Apart from the above quote, as objective priors are not data-dependent! (this is presumably a typo, used instead of model-dependent), I like very much the introduction (appreciating the reference to the very recent Kamary (2014) that just got rejected by TAS for quoting my blog post way too much… and that we jointly resubmitted to Statistics and Computing). Maybe missing the alternative solution of going hierarchical as far as needed and ending up with default priors [at the top of the ladder]. And not discussing the difficulty in specifying the sensitivity of weakly informative priors.

“Most model components can be naturally regarded as a flexible version of a base model.” (p.3)

The starting point for the modelling is the base model. How easy is it to define this base model? Does it [always?] translate into a null hypothesis formulation? Is there an automated derivation? I assume this somewhat follows from the “block” idea that I do like but how generic is model construction by blocks?

      germany-relative-risk

“Occam’s razor is the principle of parsimony, for which simpler model formulations should be preferred until there is enough support for a more complex model.” (p.4)

I also like this idea of putting a prior on the distance from the base! Even more because it is parameterisation invariant (at least at the hyperparameter level). (This vaguely reminded me of a paper we wrote with George a while ago replacing tests with distance evaluations.) And because it gives a definitive meaning to Occam’s razor. However, unless the hyperparameter ξ is one-dimensional this does not define a prior on ξ per se. I equally like Eqn (2) as it shows how the base constraint takes one away from Jeffrey’s prior. Plus, if one takes the Kullback as an intrinsic loss function, this also sounds related to Holmes’s and Walker’s substitute loss pseudopriors, no? Now, eqn (2) does not sound right in the general case. Unless one implicitly takes a uniform prior on the Kullback sphere of radius d? There is a feeling of one-d-ness in the description of the paper (at least till page 6) and I wanted to see how it extends to models with many (≥2) hyperparameters. Until I reached Section 6 where the authors state exactly that! There is also a potential difficulty in that d(ξ) cannot be computed in a general setting. (Assuming that d(ξ) has a non-vanishing Jacobian as on page 19 sounds rather unrealistic.) Still about Section 6, handling reference priors on correlation matrices is a major endeavour, which should produce a steady flow of followers..!

“The current practice of prior specification is, to be honest, not in a good shape. While there has been a strong growth of Bayesian analysis in science, the research field of “practical prior specification” has been left behind.” (*p.23)

There are still quantities to specify and calibrate in the PC priors, which may actually be deemed a good thing by Bayesians (and some modellers). But overall I think this paper and its message constitute a terrific step for Bayesian statistics and I hope the paper can make it to a major journal.

A discussion on Bayesian analysis : Selecting Noninformative Priors

Posted in Statistics with tags , , , , , , on February 26, 2014 by xi'an

Following an earlier post on the American Statistician 2013 paper by Seaman III and co-authors, Hidden dangers of specifying noninformative priors, my PhD student Kaniav Kamary wrote a paper re-analysing the examples processed by those authors and concluding to the stability of the posterior distributions of the parameters and to the effect of the noninformative prior being essentially negligible. (This is the very first paper quoting verbatim from the ‘Og!) Kaniav logically submitted the paper to the American Statistician.