Archive for summary statistics

learning optimal summary statistics

Posted in Books, pictures, Statistics with tags , , , , , , , , , on July 27, 2022 by xi'an

Despite the pursuit of the holy grail of sufficient statistics, most applications will have to settle for the weakest concept of optimal statistics.”Quiz #1: How does Bayes sufficiency [which preserves the posterior density] differ from sufficiency [which preserves the likelihood function]?

Quiz #2: How does Fisher-information sufficiency [which preserves the information matrix] differ from standard sufficiency [which preserves the likelihood function]?

Read a recent arXival by Till Hoffmann and Jukka-Pekka Onnela that I frankly found most puzzling… Maybe due to the Norman train where I was traveling being particularly noisy.

The argument in the paper is to find a summary statistic that minimises the [empirical] expected posterior entropy, which equivalently means minimising the expected Kullback-Leibler distance to the full posterior.  And maximizing the mutual information between parameters θ and summaries t(.). And maximizing the expected surprise. Which obviously requires breaking the sample into iid components and hence considering the gain brought by a specific transform of a single observation. The paper also contains a long comparison with other criteria for choosing summaries.

“Minimizing the posterior entropy would discard the sufficient statistic t such that the posterior is equal to the prior–we have not learned anything from the data.”

Furthermore, the expected aspect of the criterion takes us away from a proper Bayes analysis (and exhibits artifacts as the one above), which somehow makes me question the relevance of comparing entropies under different distributions. It took me a long while to realise that the collection of summaries was set by the user and quite limited. Like a neural network representation of the posterior mean. And the intractable posterior is further approximated by a closed-form function of the parameter θ and of the summary t(.). Using there a neural density estimator. Or a mixture density network.

prior elicitation

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , , , , , , on January 13, 2022 by xi'an

“We believe that an elicitation method should support elicitation both in the parameter and observable space, should be model-agnostic, and should be sample-efficient since human effort is costly.”

Petrus Mikkola et al. arXived a long paper on prior elicitation addressing the (most relevant) question: Why are we not widely use prior elicitation? With a massive bibliography that could be (partly) commented (and corrected as some references are incomplete, as eg my book chapter on priors!). I think the paper would make a terrific discussion paper.

The absence of a general procedure for prior elicitation is indeed hindering the adoption of Bayesian methods outside our core community and is thus eventually detrimental to their wider development. It also carries the dangers of misled or misleading prior choices. The authors put forward the absence of “software that integrates well with the current probabilistic programming tools used for other parts of the modelling workflow.” This requires setting principles that avoid “just-press-key” solutions. (Aside: This reminds me of my very first prospective PhD student, who was then working in a startup [although the name was not yet in use in the early 1990’s!] and had build such a software in a discretised, low dimension, conjugate prior, environment by returning a form of decision-theoretic impact of the chosen hyperparameters. He alas aborted his PhD attempt due to the short-term pressing matters in the under-staffed company…)

“We inspect prior elicitation from the perspectives of (1) properties of the prior distribution itself, (2) the model family and the prior elicitation method’s dependence on it, (3) the underlying elicitation space, (4) how the method interprets the information provided by the expert, (5) computation, (6) the form and quantity of interaction with the expert(s), and (7) the assumed capability of the expert (…)”

Prior elicitation is indeed a delicate balance between incorporating expert opinion(s) and avoiding over-standardisation. In my limited experience, experts tend to be over-confident about their own opinion and unwilling to attach uncertainty to their assessments. Even when being inconsistent. When several experts are involved (as, very briefly, in Section 3.6), building a common prior quickly becomes a challenge, esp. if their interests (or utility functions) diverge. As illustrated in the case of the whaling commission analysed by Adrian Raftery in the late 1990’s. (The above quote involves a single expert.) Actually, I dislike the term expert altogether, as it comes without any grading of the reliability of the person.To hit (!) at an early statement in the paper (p.5), should the prior elicitation always depend on the (sampling) model, as experts may ignore or misapprehend the model? The posterior already accounts for the likelihood and the parameter may pre-exist wrt the model, as eg cosmological constants or vaccine efficiency… In a sense, the model should be involved as little as possible in the elicitation as the expert could confuse her beliefs about the parameter with those about the accuracy of the model. (I realise this is not necessarily a mainstream position as illustrated by this paper by Andrew and friends!)

And isn’t the first stumbling block the inability of most to represent one’s prior knowledge in probabilistic terms? Innumeracy is a shared shortcoming in the general population (and since everyone’s an expert!), as repeatedly demonstrated since the start of the Covid-19 pandemic. (See also the above point about inconsistency. Accounting for such inconsistencies in a Bayesian way is a natural answer, albeit requiring the degree of expertise and reliability to be tested.)

Is prior elicitation feasible beyond a few dimensions? Even when using the constrictive tool of copulas one hits a wall after a few dimensions, assuming the expert is willing to set a prior correlation matrix.  Most of the methods described in Section 3.1 only apply to textbook examples. In their third dimension (!), the authors mention neural network parameters but later fail to cover this type of issue. (This was the example I had in mind indeed.) And they move from parameter space to observable space. Distinguishing predictive elicitation from observational elicitation, the former being what I would have suggested from scratch. Obviously, the curse of dimensionality strikes again unless one considers summary statistics (like in ABC).

While I am glad conjugate priors do not get the lion’s share, using as in Section 3.3.. non-parametric or machine learning solutions to construct the prior sounds unrealistic. (And including maximum entropy priors into that category seems wrong since they are definitely parametric.)

The proposed Bayesian treatment of the expert’s “data” (Section 4.1) is rational but requires an additional model construct to link the expert’s data with the parameter to reach a Bayes formula like (4.1). Plus a primary prior (which could then be one of the reference priors.) Reducing the expert’s input to imaginary observations may prove too narrow, though. The notion of an iterative elicitation is most appealing and its sequential aspect may not be particularly problematic in opposition to posteriors relying on using the data twice or more. I am much less buying the hierarchical construct of Section 4.3 because they imply a return to conjugate priors and hyperpriors, are not necessarily correctly understood by experts, do not always cater to observational elicitation, and are not an answer to high-dimension challenges.

Given the state of the art, it sounds like we are still far from seeing prior elicitation as a natural part of Bayesian software and probabilistic programming. Even when using a modular, model-agnostic strategy. But this is most certainly a worthy prospect!

conditioning on insufficient statistics in Bayesian regression

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , on October 23, 2021 by xi'an

“…the prior distribution, the loss function, and the likelihood or sampling density (…) a healthy skepticism encourages us to question each of them”

A paper by John Lewis, Steven MacEachern, and Yoonkyung Lee has recently appeared in Bayesian Analysis. Starting with the great motivation of a misspecified model requiring the use of a (thus necessarily) insufficient statistic and moving to their central concern of simulating the posterior based on that statistic.

Model misspecification remains understudied from a B perspective and this paper is thus most welcome in addressing the issue. However, when reading through, one of my criticisms is in defining misspecification as equivalent to outliers in the sample. An outlier model is an easy case of misspecification, in the end, since the original model remains meaningful. (Why should there be “good” versus “bad” data) Furthermore, adding a non-parametric component for the unspecified part of the data would sound like a “more Bayesian” alternative. Unrelated, I also idly wondered at whether or not normalising flows could be used in this instance..

The problem in selecting a T (Darjeeling of course!) is not really discussed there, while each choice of a statistic T leads to a different signification to what misspecified means and suggests a comparison with Bayesian empirical likelihood.

“Acceptance rates of this [ABC] algorithm can be intolerably low”

Erm, this is not really the issue with ABC, is it?! Especially when the tolerance is induced by the simulations themselves.

When I reached the MCMC (Gibbs?) part of the paper, I first wondered at its relevance for the mispecification issues before realising it had become the focus of the paper. Now, simulating the observations conditional on a value of the summary statistic T is a true challenge. I remember for instance George Casella mentioning it in association with a Student’s t sample in the 1990’s and Kerrie and I having an unsuccessful attempt at it in the same period. Persi Diaconis has written several papers on the problem and I am thus surprised at the dearth of references here, like the rather recent Byrne and Girolami (2013), Florens and Simoni (2015), or Bornn et al. (2019). In the present case, the  linear model assumed as the true model has the exceptional feature that it leads to a feasible transform of an unconstrained simulation into a simulation with fixed statistics, with no measure theoretic worries if not free from considerable efforts to establish the operation is truly valid… And, while simulating (θ,y) makes perfect sense in an insufficient setting, the cost is then precisely the same as when running a vanilla ABC. Which brings us to the natural comparison with ABC. While taking ε=0 may sound as optimal for being “exact”, it is not from an ABC perspective since the convergence rate of the (summary) statistic should be roughly the one of the tolerance (Fearnhead and Liu, Frazier et al., 2018).

“[The Borel Paradox] shows that the concept of a conditional probability with regard to an isolated given hypothesis whose probability equals 0 is inadmissible.” A. Колмого́ров (1933)

As a side note for measure-theoretic purists, the derivation of the conditional of y given T(y)=T⁰ is arbitrary since the event has probability zero (ie, the conditioning set is of measure zero). See the Borel-Kolmogorov paradox. The computations in the paper are undoubtedly correct, but this is only one arbitrary choice of a transform (or conditioning σ-algebra).

Metropolis-Hastings via Classification [One World ABC seminar]

Posted in Statistics, University life with tags , , , , , , , , , , , , , , , on May 27, 2021 by xi'an

Today, Veronika Rockova is giving a webinar on her paper with Tetsuya Kaji Metropolis-Hastings via classification. at the One World ABC seminar, at 11.30am UK time. (Which was also presented at the Oxford Stats seminar last Feb.) Please register if not already a member of the 1W ABC mailing list.

ABC on brain networks

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , on April 16, 2021 by xi'an

Research Gate sent me an automated email pointing out a recent paper citing some of our ABC papers. The paper is written by Timothy West et al., neuroscientists in the UK, comparing models of Parkinsonian circuit dynamics. Using SMC-ABC. One novelty is the update of the tolerance by a fixed difference, unless the acceptance rate is too low, in which case the tolerance is reinitialised to a starting value.

“(…) the proposal density P(θ|D⁰) is formed from the accepted parameters sets. We use a density approximation to the marginals and a copula for the joint (…) [i.e.] a nonparametric estimation of the marginal densities overeach parameter [and] the t-copula(…) Data are transformed to the copula scale (unit-square) using the kernel density estimator of the cumulative distribution function of each parameter and then transformed to the joint space with the t-copula.”

The construct of the proposal is quite involved, as described in the above quote. The model choice approach is standard (à la Grelaud et al.) but uses the median distance as a tolerance.

“(…) test whether the ABC estimator will: a) yield parameter estimates that are unique to the data from which they have been optimized; and b) yield consistent estimation of parameters across multiple instances (…) test the face validity of the model comparison framework (…) [and] demonstrate the scalability of the optimization and model comparison framework.”

The paper runs a fairly extensive test of the above features, concluding that “the ABC optimized posteriors are consistent across multiple initializations and that the output is determined by differences in the underlying model generating the given data.” Concerning model comparison, the authors mix the ABC Bayes factor with a post-hoc analysis of divergence to discriminate against overfitting. And mention the potential impact of the summary statistics in the conclusion section, albeit briefly, and the remark that the statistics were “sufficient to recover known parameters” is not supporting their use for model comparison. The additional criticism of sampling strategies for approximating Bayes factors is somewhat irrelevant, the main issue with ABC model choice being a change of magnitude in the evidence.

“ABC has established itself as a key tool for parameter estimation in systems biology (…) but is yet to see wide adoption in systems neuroscience. It is known that ABC will not perform well under certain conditions (Sunnåker et al., 2013). Specifically, it has been shown that the
simplest form of ABC algorithm based upon an rejection-sampling approach is inefficient in the case where the prior densities lie far from the true posterior (…) This motivates the use of neurobiologically grounded models over phenomenological models where often the ranges of potential parameter values are unknown.”

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