## estimating the marginal likelihood (or an information criterion)

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , on December 28, 2019 by xi'an

Tory Imai (from Kyoto University) arXived a paper last summer on what first looked like a novel approximation of the marginal likelihood. Based on the variance of thermodynamic integration. The starting argument is that there exists a power 0<t⁰<1 such that the expectation of the logarithm of the product of the prior by the likelihood to the power t⁰ or t⁰-powered likelihood  is equal to the standard log-marginal

$\log m(x) = \mathbb{E}^{t^0}[ \log f(X|\theta) ]$

when the expectation is under the posterior corresponding to the t⁰-powered likelihood (rather than the full likelihood). By an application of the mean value theorem. Watanabe’s (2013) WBIC replaces the optimum t⁰ with 1/log(n), n being the sample size. The issue in terms of computational statistics is of course that the error of WBIC (against the true log m(x)) is only characterised as an order of n.

The second part of the paper is rather obscure to me, as the motivation for the real log canonical threshold is missing, even though the quantity is connected with the power likelihood. And the DIC effective dimension. It then goes on to propose a new approximation of sBIC, where s stands for singular, of Drton and Plummer (2017) which I had missed (and may ask my colleague Martin later today at Warwick!). Quickly reading through the later however brings explanations about the real log canonical threshold being simply the effective dimension in Schwarwz’s BIC approximation to the log marginal,

$\log m(x) \approx= \log f(x|\hat{\theta}_n) - \lambda \log n +(m-1)\log\log n$

(as derived by Watanabe), where m is called the multiplicity of the real log canonical threshold. Both λ and m being unknown, Drton and Plummer (2017) estimate the above approximation in a Bayesian fashion, which leads to a double indexed marginal approximation for a collection of models. Since this thread leads me further and further from a numerical resolution of the marginal estimation, but brings in a different perspective on mixture Bayesian estimation, I will return to this highly  in a later post. The paper of Imai discusses a different numerical approximation to sBIC, With a potential improvement in computing sBIC. (The paper was proposed as a poster to BayesComp 2020, so I am looking forward discussing it with the author.)

## WBIC, practically

Posted in Statistics with tags , , , , , , , , , on October 20, 2017 by xi'an

“Thus far, WBIC has received no more than a cursory mention by Gelman et al. (2013)”

I had missed this 2015  paper by Nial Friel and co-authors on a practical investigation of Watanabe’s WBIC. Where WBIC stands for widely applicable Bayesian information criterion. The thermodynamic integration approach explored by Nial and some co-authors for the approximation of the evidence, thermodynamic integration that produces the log-evidence as an integral between temperatures t=0 and t=1 of a powered evidence, is eminently suited for WBIC, as the widely applicable Bayesian information criterion is associated with the specific temperature t⁰ that makes the power posterior equidistant, Kullback-Leibler-wise, from the prior and posterior distributions. And the expectation of the log-likelihood under this very power posterior equal to the (genuine) evidence. In fact, WBIC is often associated with the sub-optimal temperature 1/log(n), where n is the (effective?) sample size. (By comparison, if my minimalist description is unclear!, thermodynamic integration requires a whole range of temperatures and associated MCMC runs.) In an ideal Gaussian setting, WBIC improves considerably over thermodynamic integration, the larger the sample the better. In more realistic settings, though, including a simple regression and a logistic [Pima Indians!] model comparison, thermodynamic integration may do better for a given computational cost although the paper is unclear about these costs. The paper also runs a comparison with harmonic mean and nested sampling approximations. Since the integral of interest involves a power of the likelihood, I wonder if a safe version of the harmonic mean resolution can be derived from simulations of the genuine posterior. Provided the exact temperature t⁰ is known…