Archive for R.A. Fisher

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.)

severe testing : beyond Statistics wars?!

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , on January 7, 2019 by xi'an

A timely start to my reading Deborah Mayo’s [properly printed] Statistical Inference as Severe Testing (How to get beyond the Statistics Wars) on the Armistice Day, as it seems to call for just this, an armistice! And the opportunity of a long flight to Oaxaca in addition… However, this was only the start and it took me several further weeks to peruse seriously enough the book (SIST) before writing the (light) comments below. (Receiving a free copy from CUP and then a second one directly from Deborah after I mentioned the severe sabotage!)

Indeed, I sort of expected a different content when taking the subtitle How to get beyond the Statistics Wars at face value. But on the opposite the book is actually very severely attacking anything not in the line of the Cox-Mayo severe testing line. Mostly Bayesian approach(es) to the issue! For instance, Jim Berger’s construct of his reconciliation between Fisher, Neyman, and Jeffreys is surgically deconstructed over five pages and exposed as a Bayesian ploy. Similarly, the warnings from Dennis Lindley and other Bayesians that the p-value attached with the Higgs boson experiment are not probabilities that the particle does not exist are met with ridicule. (Another go at Jim’s Objective Bayes credentials is found in the squared myth of objectivity chapter. Maybe more strongly than against staunch subjectivists like Jay Kadane. And yet another go when criticising the Berger and Sellke 1987 lower bound results. Which even extends to Vale Johnson’s UMP-type Bayesian tests.)

“Inference should provide posterior probabilities, final degrees of support, belief, probability (…) not provided by Bayes factors.” (p.443)

Another subtitle of the book could have been testing in Flatland given the limited scope of the models considered with one or at best two parameters and almost always a Normal setting. I have no idea whatsoever how the severity principle would apply in more complex models, with e.g. numerous nuisance parameters. By sticking to the simplest possible models, the book can carry on with the optimality concepts of the early days, like sufficiency (p.147) and and monotonicity and uniformly most powerful procedures, which only make sense in a tiny universe.

“The estimate is really a hypothesis about the value of the parameter.  The same data warrant the hypothesis constructed!” (p.92)

There is an entire section on the lack of difference between confidence intervals and the dual acceptance regions, although the lack of unicity in defining either of them should come as a bother. Especially outside Flatland. Actually the following section, from p.193 onward, reminds me of fiducial arguments, the more because Schweder and Hjort are cited there. (With a curve like Fig. 3.3. operating like a cdf on the parameter μ but no dominating measure!)

“The Fisher-Neyman dispute is pathological: there’s no disinterring the truth of the matter (…) Fisher grew to renounce performance goals he himself had held when it was found that fiducial solutions disagreed with them.”(p.390)

Similarly the chapter on the “myth of the “the myth of objectivity””(p.221) is mostly and predictably targeting Bayesian arguments. The dismissal of Frank Lad’s arguments for subjectivity ends up [or down] with a rather cheap that it “may actually reflect their inability to do the math” (p.228). [CoI: I once enjoyed a fantastic dinner cooked by Frank in Christchurch!] And the dismissal of loss function requirements in Ziliak and McCloskey is similarly terse, if reminding me of Aris Spanos’ own arguments against decision theory. (And the arguments about the Jeffreys-Lindley paradox as well.)

“It’s not clear how much of the current Bayesian revolution is obviously Bayesian.” (p.405)

The section (Tour IV) on model uncertainty (or against “all models are wrong”) is somewhat limited in that it is unclear what constitutes an adequate (if wrong) model. And calling for the CLT cavalry as backup (p.299) is not particularly convincing.

It is not that everything is controversial in SIST (!) and I found agreement in many (isolated) statements. Especially in the early chapters. Another interesting point made in the book is to question whether or not the likelihood principle at all makes sense within a testing setting. When two models (rather than a point null hypothesis) are X-examined, it is a rare occurrence that the likelihood factorises any further than the invariance by permutation of iid observations. Which reminded me of our earlier warning on the dangers of running ABC for model choice based on (model specific) sufficient statistics. Plus a nice sprinkling of historical anecdotes, esp. about Neyman’s life, from Poland, to Britain, to California, with some time in Paris to attend Borel’s and Lebesgue’s lectures. Which is used as a background for a play involving Bertrand, Borel, Neyman and (Egon) Pearson. Under the title “Les Miserables Citations” [pardon my French but it should be Les Misérables if Hugo is involved! Or maybe les gilets jaunes…] I also enjoyed the sections on reuniting Neyman-Pearson with Fisher, while appreciating that Deborah Mayo wants to stay away from the “minefields” of fiducial inference. With, mot interestingly, Neyman himself trying in 1956 to convince Fisher of the fallacy of the duality between frequentist and fiducial statements (p.390). Wisely quoting Nancy Reid at BFF4 stating the unclear state of affair on confidence distributions. And the final pages reawakened an impression I had at an earlier stage of the book, namely that the ABC interpretation on Bayesian inference in Rubin (1984) could come closer to Deborah Mayo’s quest for comparative inference (p.441) than she thinks, in that producing parameters producing pseudo-observations agreeing with the actual observations is an “ability to test accordance with a single model or hypothesis”.

“Although most Bayesians these days disavow classic subjective Bayesian foundations, even the most hard-nosed. “we’re not squishy” Bayesian retain the view that a prior distribution is an important if not the best way to bring in background information.” (p.413)

A special mention to Einstein’s cafe (p.156), which reminded me of this picture of Einstein’s relative Cafe I took while staying in Melbourne in 2016… (Not to be confused with the Markov bar in the same city.) And a fairly minor concern that I find myself quoted in the sections priors: a gallimaufry (!) and… Bad faith Bayesianism (!!), with the above qualification. Although I later reappear as a pragmatic Bayesian (p.428), although a priori as a counter-example!

are there a frequentist and a Bayesian likelihoods?

Posted in Statistics with tags , , , , , , , , , , on June 7, 2018 by xi'an

A question that came up on X validated and led me to spot rather poor entries in Wikipedia about both the likelihood function and Bayes’ Theorem. Where unnecessary and confusing distinctions are made between the frequentist and Bayesian versions of these notions. I have already discussed the later (Bayes’ theorem) a fair amount here. The discussion about the likelihood is quite bemusing, in that the likelihood function is the … function of the parameter equal to the density indexed by this parameter at the observed value.

“What we can find from a sample is the likelihood of any particular value of r, if we define the likelihood as a quantity proportional to the probability that, from a population having the particular value of r, a sample having the observed value of r, should be obtained.” R.A. Fisher, On the “probable error’’ of a coefficient of correlation deduced from a small sample. Metron 1, 1921, p.24

By mentioning an informal side to likelihood (rather than to likelihood function), and then stating that the likelihood is not a probability in the frequentist version but a probability in the Bayesian version, the W page makes a complete and unnecessary mess. Whoever is ready to rewrite this introduction is more than welcome! (Which reminded me of an earlier question also on X validated asking why a common reference measure was needed to define a likelihood function.)

This also led me to read a recent paper by Alexander Etz, whom I met at E.J. Wagenmakers‘ lab in Amsterdam a few years ago. Following Fisher, as Jeffreys complained about

“..likelihood, a convenient term introduced by Professor R.A. Fisher, though in his usage it is sometimes multiplied by a constant factor. This is the probability of the observations given the original information and the hypothesis under discussion.” H. Jeffreys, Theory of Probability, 1939, p.28

Alexander defines the likelihood up to a constant, which causes extra-confusion, for free!, as there is no foundational reason to introduce this degree of freedom rather than imposing an exact equality with the density of the data (albeit with an arbitrary choice of dominating measure, never neglect the dominating measure!). The paper also repeats the message that the likelihood is not a probability (density, missing in the paper). And provides intuitions about maximum likelihood, likelihood ratio and Wald tests. But does not venture into a separate definition of the likelihood, being satisfied with the fundamental notion to be plugged into the magical formula

posteriorprior×likelihood

The Seven Pillars of Statistical Wisdom [book review]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , on June 10, 2017 by xi'an

I remember quite well attending the ASA Presidential address of Stephen Stigler at JSM 2014, Boston, on the seven pillars of statistical wisdom. In connection with T.E. Lawrence’s 1926 book. Itself in connection with Proverbs IX:1. Unfortunately wrongly translated as seven pillars rather than seven sages.

As pointed out in the Acknowledgements section, the book came prior to the address by several years. I found it immensely enjoyable, first for putting the field in a (historical and) coherent perspective through those seven pillars, second for exposing new facts and curios about the history of statistics, third because of a literary style one would wish to see more often in scholarly texts and of a most pleasant design (and the list of reasons could go on for quite a while, one being the several references to Jorge Luis Borges!). But the main reason is to highlight the unified nature of Statistics and the reasons why it does not constitute a subfield of either Mathematics or Computer Science. In these days where centrifugal forces threaten to split the field into seven or more disciplines, the message is welcome and urgent.

Here are Stephen’s pillars (some comments being already there in the post I wrote after the address):

  1. aggregation, which leads to gain information by throwing away information, aka the sufficiency principle. One (of several) remarkable story in this section is the attempt by Francis Galton, never lacking in imagination, to visualise the average man or woman by superimposing the pictures of several people of a given group. In 1870!
  2. information accumulating at the √n rate, aka precision of statistical estimates, aka CLT confidence [quoting  de Moivre at the core of this discovery]. Another nice story is Newton’s wardenship of the English Mint, with musing about [his] potential exploiting this concentration to cheat the Mint and remain undetected!
  3. likelihood as the right calibration of the amount of information brought by a dataset [including Bayes’ essay as an answer to Hume and Laplace’s tests] and by Fisher in possible the most impressive single-handed advance in our field;
  4. intercomparison [i.e. scaling procedures from variability within the data, sample variation], from Student’s [a.k.a., Gosset‘s] t-test, better understood and advertised by Fisher than by the author, and eventually leading to the bootstrap;
  5. regression [linked with Darwin’s evolution of species, albeit paradoxically, as Darwin claimed to have faith in nothing but the irrelevant Rule of Three, a challenging consequence of this theory being an unobserved increase in trait variability across generations] exposed by Darwin’s cousin Galton [with a detailed and exhilarating entry on the quincunx!] as conditional expectation, hence as a true Bayesian tool, the Bayesian approach being more specifically addressed in (on?) this pillar;
  6. design of experiments [re-enters Fisher, with his revolutionary vision of changing all factors in Latin square designs], with an fascinating insert on the 18th Century French Loterie,  which by 1811, i.e., during the Napoleonic wars, provided 4% of the national budget!;
  7. residuals which again relate to Darwin, Laplace, but also Yule’s first multiple regression (in 1899), Fisher’s introduction of parametric models, and Pearson’s χ² test. Plus Nightingale’s diagrams that never cease to impress me.

The conclusion of the book revisits the seven pillars to ascertain the nature and potential need for an eight pillar.  It is somewhat pessimistic, at least my reading of it was, as it cannot (and presumably does not want to) produce any direction about this new pillar and hence about the capacity of the field of statistics to handle in-coming challenges and competition. With some amount of exaggeration (!) I do hope the analogy of the seven pillars that raises in me the image of the beautiful ruins of a Greek temple atop a Sicilian hill, in the setting sun, with little known about its original purpose, remains a mere analogy and does not extend to predict the future of the field! By its very nature, this wonderful book is about foundations of Statistics and therefore much more set in the past and on past advances than on the present, but those foundations need to move, grow, and be nurtured if the field is not to become a field of ruins, a methodology of the past!

le bayésianisme aujourd’hui [book review]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , , , , on March 4, 2017 by xi'an

It is quite rare to see a book published in French about Bayesian statistics and even rarer to find one that connects philosophy of science, foundations of probability, statistics, and applications in neurosciences and artificial intelligence. Le bayésianisme aujourd’hui (Bayesianism today) was edited by Isabelle Drouet, a Reader in Philosophy at La Sorbonne. And includes a chapter of mine on the basics of Bayesian inference (à la Bayesian Choice), written in French like the rest of the book.

The title of the book is rather surprising (to me) as I had never heard the term Bayesianism mentioned before. As shown by this link, the term apparently exists. (Even though I dislike the sound of it!) The notion is one of a probabilistic structure of knowledge and learning, à la Poincaré. As described in the beginning of the book. But I fear the arguments minimising the subjectivity of the Bayesian approach should not be advanced, following my new stance on the relativity of probabilistic statements, if only because they are defensive and open the path all too easily to counterarguments. Similarly, the argument according to which the “Big Data” era makesp the impact of the prior negligible and paradoxically justifies the use of Bayesian methods is limited to the case of little Big Data, i.e., when the observations are more or less iid with a limited number of parameters. Not when the number of parameters explodes. Another set of arguments that I find both more modern and compelling [for being modern is not necessarily a plus!] is the ease with which the Bayesian framework allows for integrative and cooperative learning. Along with its ultimate modularity, since each component of the learning mechanism can be extracted and replaced with an alternative. Continue reading

Jubilee at the University of Calcutta

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , on January 2, 2017 by xi'an

The main reason for my trip to India was taking part in the celebrations of the 75th anniversary of the Department of Statistics at the University of Calcutta and of the 100th anniversary of the birth of P.K. Bose (whom I did not know before visiting Kolkata). The Department of Statistics was created in 1941 by Mahalanobis, the very first statistics department in Asia. (Mahalanobis was also instrumental in creating the ISI in 1932. And Sankhyā in 1933.)  Fisher visited Calcutta very often and was very supportive of Mahalanobis’ efforts: in the corridor, the above picture of Fisher is displayed, with him surrounded by faculties and graduates from the Department when he came in 1941.

Although I missed the first two days of the conference (!), I enjoyed very much the exchanges I had with graduate students there, about my talk on folded MCMC and other MCMC and Bayesian issues. (With The Bayesian Choice being an easy conversational bridge-way between us as it is their Bayesian textbook.) The setting reminded me of the ISBA conference in Varanasi four years ago, with the graduate students being strongly involved and providing heavy support in the organisation, as well as eager to discuss academic and non-academic issue. (Plus offering us one evening an amazing cultural show of songs and dances.) Continue reading

JSM 2015 [day #4]

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , on August 13, 2015 by xi'an

My first session today was Markov Chain Monte Carlo for Contemporary Statistical Applications with a heap of interesting directions in MCMC research! Now, without any possible bias (!), I would definitely nominate Murray Pollock (incidentally from Warwick) as the winner for best slides, funniest presentation, and most enjoyable accent! More seriously, the scalable Langevin algorithm he developed with Paul Fearnhead, Adam Johansen, and Gareth Roberts, is quite impressive in avoiding computing costly likelihoods. With of course caveats on which targets it applies to. Murali Haran showed a new proposal to handle high dimension random effect models by a projection trick that reduces the dimension. Natesh Pillai introduced us (or at least me!) to a spectral clustering that allowed for an automated partition of the target space, itself the starting point to his parallel MCMC algorithm. Quite exciting, even though I do not perceive partitions as an ideal solution to this problem. The final talk in the session was Galin Jones’ presentation of consistency results and conditions for multivariate quantities which is a surprisingly unexplored domain. MCMC is still alive and running!

The second MCMC session of the morning, Monte Carlo Methods Facing New Challenges in Statistics and Science, was equally diverse, with Lynn Kuo’s talk on the HAWK approach, where we discovered that harmonic mean estimators are still in use, e.g., in MrBayes software employed in phylogenetic inference. The proposal to replace this awful estimator that should never be seen again (!) was rather closely related to an earlier solution of us for marginal likelihood approximation, based there on a partition of the whole space rather than an HPD region in our case… Then, Michael Betancourt brilliantly acted as a proxy for Andrew to present the STAN language, with a flashy trailer he most recently designed. Featuring Andrew as the sole actor. And with great arguments for using it, including the potential to run expectation propagation (as a way of life). In fine, Faming Liang proposed a bootstrap subsampling version of the Metropolis-Hastings algorithm, where the likelihood acknowledging the resulting bias in the limiting distribution.

My first afternoon session was another entry on Statistical Phylogenetics, somewhat continued from yesterday’s session. Making me realised I had not seen a single talk on ABC for the entire meeting! The issues discussed in the session were linked with aligning sequences and comparing  many trees. Again in settings where likelihoods can be computed more or less explicitly. Without any expertise in the matter, I wondered at a construction that would turn all trees, like  into realizations of a continuous model. For instance by growing one branch at a time while removing the MRCA root… And maybe using a particle like method to grow trees. As an aside, Vladimir Minin told me yesterday night about genetic mutations that could switch on and off phenotypes repeatedly across generations… For instance  the ability to glow in the dark for species of deep sea fish.

When stating that I did not see a single talk about ABC, I omitted Steve Fienberg’s Fisher Lecture R.A. Fisher and the Statistical ABCs, keeping the morceau de choix for the end! Even though of course Steve did not mention the algorithm! A was for asymptotics, or ancilarity, B for Bayesian (or biducial??), C for causation (or cuffiency???)… Among other germs, I appreciated that Steve mentioned my great-grand father Darmois in connection with exponential families! And the connection with Jon Wellner’s LeCam Lecture from a few days ago. And reminding us that Savage was a Fisher lecturer himself. And that Fisher introduced fiducial distributions quite early. And for defending the Bayesian perspective. Steve also set some challenges like asymptotics for networks, Bayesian model assessment (I liked the notion of stepping out of the model), and randomization when experimenting with networks. And for big data issues. And for personalized medicine, building on his cancer treatment. No trace of the ABC algorithm, obviously, but a wonderful Fisher’s lecture, also most obviously!! Bravo, Steve, keep thriving!!!