Archive for OxWaSP

revisiting marginalisation paradoxes [Bayesian reads #1]

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , on February 8, 2019 by xi'an

As a reading suggestion for my (last) OxWaSP Bayesian course at Oxford, I included the classic 1973 Marginalisation paradoxes by Phil Dawid, Mervyn Stone [whom I met when visiting UCL in 1992 since he was sharing an office with my friend Costas Goutis], and Jim Zidek. Paper that also appears in my (recent) slides as an exercise. And has been discussed many times on this  ‘Og.

Reading the paper in the train to Oxford was quite pleasant, with a few discoveries like an interesting pike at Fraser’s structural (crypto-fiducial?!) distributions that “do not need Bayesian improper priors to fall into the same paradoxes”. And a most fascinating if surprising inclusion of the Box-Müller random generator in an argument, something of a precursor to perfect sampling (?). And a clear declaration that (right-Haar) invariant priors are at the source of the resolution of the paradox. With a much less clear notion of “un-Bayesian priors” as those leading to a paradox. Especially when the authors exhibit a red herring where the paradox cannot disappear, no matter what the prior is. Rich discussion (with none of the current 400 word length constraint), including the suggestion of neutral points, namely those that do identify a posterior, whatever that means. Funny conclusion, as well:

“In Stone and Dawid’s Biometrika paper, B1 promised never to use improper priors again. That resolution was short-lived and let us hope that these two blinkered Bayesians will find a way out of their present confusion and make another comeback.” D.J. Bartholomew (LSE)

and another

“An eminent Oxford statistician with decidedly mathematical inclinations once remarked to me that he was in favour of Bayesian theory because it made statisticians learn about Haar measure.” A.D. McLaren (Glasgow)

and yet another

“The fundamentals of statistical inference lie beneath a sea of mathematics and scientific opinion that is polluted with red herrings, not all spawned by Bayesians of course.” G.N. Wilkinson (Rothamsted Station)

Lindley’s discussion is more serious if not unkind. Dennis Lindley essentially follows the lead of the authors to conclude that “improper priors must go”. To the point of retracting what was written in his book! Although concluding about the consequences for standard statistics, since they allow for admissible procedures that are associated with improper priors. If the later must go, the former must go as well!!! (A bit of sophistry involved in this argument…) Efron’s point is more constructive in this regard since he recalls the dangers of using proper priors with huge variance. And the little hope one can hold about having a prior that is uninformative in every dimension. (A point much more blatantly expressed by Dickey mocking “magic unique prior distributions”.) And Dempster points out even more clearly that the fundamental difficulty with these paradoxes is that the prior marginal does not exist. Don Fraser may be the most brutal discussant of all, stating that the paradoxes are not new and that “the conclusions are erroneous or unfounded”. Also complaining about Lindley’s review of his book [suggesting prior integration could save the day] in Biometrika, where he was not allowed a rejoinder. It reflects on the then intense opposition between Bayesians and fiducialist Fisherians. (Funny enough, given the place of these marginalisation paradoxes in his book, I was mistakenly convinced that Jaynes was one of the discussants of this historical paper. He is mentioned in the reply by the authors.)

warm stone & cold morning light [jatp]

Posted in pictures, Travel, University life with tags , , , , , , on January 30, 2019 by xi'an

annual visit to Oxford

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , on February 1, 2018 by xi'an

As in every year since 2014, I am spending a few days in Oxford to teach a module on Bayesian Statistics to our Oxford-Warwick PhD students. This time I was a wee bit under the weather due to a mild case of food poisoning and I can only hope that my more than sedate delivery did not turn definitely the students away from Bayesian pursuits!

The above picture is at St. Hugh’s College, where I was staying. Or should it be Saint Hughes, since this 12th century bishop was a pre-Brexit European worker from Avalon, France… (This college was created in 1886 for young women of poorer background. And only opened to male students a century later. The 1924 rules posted in one corridor show how these women were considered to be so “dangerous” by the institution that they had to be kept segregated from men, except their brothers!, at all times…)

Posted in Books, Kids, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , on April 12, 2017 by xi'an

The reason for my short visit to Berlin last week was an OxWaSP (Oxford and Warwick Statistics Program) workshop hosted by Amazon Berlin with talks between statistics and machine learning, plus posters from our second year students. While the workshop was quite intense, I enjoyed very much the atmosphere and the variety of talks there. (Just sorry that I left too early to enjoy the social programme at a local brewery, Brauhaus Lemke, and the natural history museum. But still managed nice runs east and west!) One thing I found most interesting (if obvious in retrospect) was the different focus of academic and production talks, where the later do not aim at a full generality or at a guaranteed improvement over the existing, provided the new methodology provides a gain in efficiency over the existing.

This connected nicely with me reading several Nature articles on quantum computing during that trip,  where researchers from Google predict commercial products appearing in the coming five years, even though the technology is far from perfect and the outcome qubit error prone. Among the examples they provided, quantum simulation (not meaning what I consider to be simulation!), quantum optimisation (as a way to overcome multimodality), and quantum sampling (targeting given probability distributions). I find the inclusion of the latest puzzling in that simulation (in that sense) shows very little tolerance for errors, especially systematic bias. It may be that specific quantum architectures can be designed for specific probability distributions, just like some are already conceived for optimisation. (It may even be the case that quantum solutions are (just next to) available for intractable constants as in Ising or Potts models!)

zurück nach Berlin [jatp]

Posted in Statistics with tags , , , , , on March 28, 2017 by xi'an

relativity is the keyword

Posted in Books, Statistics, University life with tags , , , , , , , on February 1, 2017 by xi'an

St John's College, Oxford, Feb. 23, 2012As I was teaching my introduction to Bayesian Statistics this morning, ending up with the chapter on tests of hypotheses, I found reflecting [out loud] on the relative nature of posterior quantities. Just like when I introduced the role of priors in Bayesian analysis the day before, I stressed the relativity of quantities coming out of the BBB [Big Bayesian Black Box], namely that whatever happens as a Bayesian procedure is to be understood, scaled, and relativised against the prior equivalent, i.e., that the reference measure or gauge is the prior. This is sort of obvious, clearly, but bringing the argument forward from the start avoids all sorts of misunderstanding and disagreement, in that it excludes the claims of absolute and certainty that may come with the production of a posterior distribution. It also removes the endless debate about the determination of the prior, by making each prior a reference on its own. With an additional possibility of calibration by simulation under the assumed model. Or an alternative. Again nothing new there, but I got rather excited by this presentation choice, as it seems to clarify the path to Bayesian modelling and avoid misapprehensions.

Further, the curious case of the Bayes factor (or of the posterior probability) could possibly be resolved most satisfactorily in this framework, as the [dreaded] dependence on the model prior probabilities then becomes a matter of relativity! Those posterior probabilities depend directly and almost linearly on the prior probabilities, but they should not be interpreted in an absolute sense as the ultimate and unique probability of the hypothesis (which anyway does not mean anything in terms of the observed experiment). In other words, this posterior probability does not need to be scaled against a U(0,1) distribution. Or against the p-value if anyone wishes to do so. By the end of the lecture, I was even wondering [not so loudly] whether or not this perspective was allowing for a resolution of the Lindley-Jeffreys paradox, as the resulting number could be set relative to the choice of the [arbitrary] normalising constant. Continue reading

back in Oxford

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on January 30, 2017 by xi'an

As in the previous years, I am back in Oxford (England) for my short Bayesian Statistics course in the joint Oxford-Warwick PhD programme, OxWaSP.  For some unclear reason, presumably related to the Internet connection from Oxford, I have not been able to upload my slides to Slideshare, so here the [99.9% identical] older version: