Archive for asymptotics

Bayesian non-parametrics

Posted in Statistics with tags , , , , , , , , , , , on April 8, 2013 by xi'an

Here is a short discussion I wrote yesterday with Judith Rousseau of a paper by Peter Müller and Riten Mitra to appear in Bayesian Analysis.

“We congratulate the authors for this very pleasant overview of the type of problems that are currently tackled by Bayesian nonparametric inference and for demonstrating how prolific this field has become. We do share the authors viewpoint that many Bayesian nonparametric models allow for more flexible modelling than parametric models and thus capture finer details of the data. BNP can be a good alternative to complex parametric models in the sense that the computations are not necessarily more difficult in Bayesian nonparametric models. However we would like to mitigate the enthusiasm of the authors since, although we believe that Bayesian nonparametric has proved extremely useful and interesting, we think they oversell the “nonparametric side of the Force”! Our main point is that by definition, Bayesian nonparametric is based on prior probabilities that live on infinite dimensional spaces and thus are never completely swamped by the data. It is therefore crucial to understand which (or why!) aspects of the model are strongly influenced by the prior and how.

As an illustration, when looking at Example 1 with the censored zeroth cell, our reaction is that this is a problem with no proper solution, because it is lacking too much information. In other words, unless some parametric structure of the model is known, in which case the zeroth cell is related with the other cells, we see no way to infer about the size of this cell. The outcome produced by the authors is therefore unconvincing to us in that it seems to only reflect upon the prior modelling (α,G*) and not upon the information contained in the data. Now, this prior modelling may be to some extent justified based on side information about the medical phenomenon under study, however its impact on the resulting inference is palatable.

Recently (and even less recently) a few theoretical results have pointed out this very issue. E.g., Diaconis and Freedman (1986) showed that some priors could surprisingly lead to inconsistent posteriors, even though it was later shown that many priors lead to consistent posteriors and often even to optimal asymptotic frequentist estimators, see for instance van der Vaart and van Zanten (2009) and Kruijer et al. (2010). The worry about Bayesian nonparametrics truly appeared when considering (1) asymptotic frequentist properties of semi-parametric procedures; and (2) interpretation of inferential aspects of Bayesian nonparametric procedures. It was shown in various instances that some nonparametric priors which behaved very nicely for the estimation of the whole parameter could have disturbingly suboptimal behaviour for some specific functionals of interest, see for instance Arbel et al. (2013) and Rivoirard and Rousseau (2012). We do not claim here that asymptotics is the answer to everything however bad asymptotic behaviour shows that something wrong is going on and this helps understanding the impact of the prior. These disturbing bad results are an illustration that in these infinite dimensional models the impact of the prior modelling is difficult to evaluate and that although the prior looks very flexible it can in fact be highly informative and/or restrictive for some aspects of the parameter. It would thus be wrong to conclude that every aspect of the parameter is well-recovered because some are. It has been a well-known fact for Bayesian parametric models, leading to extensive research on reference and other types of objective priors. It is even more crucial in the nonparametric world. No (nonparametric) prior can be suited for every inferential aspect and it is important to understand which aspects of the parameter are well-recovered and which ones are not.

We also concur with the authors that Dirichlet mixture priors provide natural clustering mechanisms, but one may question the “natural” label as the resulting clustering is quite unstructured, growing in the number of clusters as the number of observations increases and not incorporating any prior constraint on the “definition” of a cluster, except the one implicit and well-hidden behind the non-parametric prior. In short, it is delicate to assess what is eventually estimated by this clustering methods.

These remarks are not to be taken criticisms of the overall Bayesian nonparametric approach, just the contrary. We simply emphasize (or recall) that there is no such thing as a free lunch and that we need to post the price to pay for potential customers. In these models, this is far from easy and just as far from being completed.”

References

  • Arbel, J., Gayraud, G., and Rousseau, J. (2013). Bayesian adaptive optimal estimation using a sieve prior. Scandinavian Journal of Statistics, to appear.

  • Diaconis, P. and Freedman, D. (1986). On the consistency of Bayes estimates. Ann. Statist., 14:1-26.

  • Kruijer, W., Rousseau, J., and van der Vaart, A. (2010). Adaptive Bayesian density estimation with location-scale mixtures. Electron. J. Stat., 4:1225-1257.

  • Rivoirard, V. and Rousseau, J. (2012). On the Bernstein Von Mises theorem for linear functionals of the density. Ann. Statist., 40:1489-1523.

  • van der Vaart, A. and van Zanten, J. H. (2009). Adaptive Bayesian estimation using a Gaussian random field with inverse Gamma bandwidth. Ann. Statist., 37:2655-2675.

Ibragimov in Paris

Posted in Books, Statistics, University life with tags , , , , , , , , on March 15, 2013 by xi'an

On Monday, Ildar Ibragimov (St.Petersburg Department of Steklov Mathematical Institute, Russia) will give a seminar at CREST on “The Darmois – Skitovich and Ghurye – Olkin theorems revisited“. This sounds more like probability than statistics, as those theorems state that, if two linear combinations of iid rv’s are independent, then those rv’s are normal. See those remarks by Prof. Abram Kagan for historical details. Nonetheless, I find it quite an event to have a local seminar given by one of the fathers of asymptotic Bayesian theory. Here is the abstract to the talk. (The talk will be at ENSAE, Salle S8, at 3pm on Monday, March 18.)

who’s afraid of the big B wolf?

Posted in Books, Statistics, University life with tags , , , , , , , , , , on March 13, 2013 by xi'an

Aris Spanos just published a paper entitled “Who should be afraid of the Jeffreys-Lindley paradox?” in the journal Philosophy of Science. This piece is a continuation of the debate about frequentist versus llikelihoodist versus Bayesian (should it be Bayesianist?! or Laplacist?!) testing approaches, exposed in Mayo and Spanos’ Error and Inference, and discussed in several posts of the ‘Og. I started reading the paper in conjunction with a paper I am currently writing for a special volume in  honour of Dennis Lindley, paper that I will discuss later on the ‘Og…

“…the postdata severity evaluation (…) addresses the key problem with Fisherian p-values in the sense that the severity evaluation provides the “magnitude” of the warranted discrepancy from the null by taking into account the generic capacity of the test (that includes n) in question as it relates to the observed data”(p.88)

First, the antagonistic style of the paper is reminding me of Spanos’ previous works in that it relies on repeated value judgements (such as “Bayesian charge”, “blatant misinterpretation”, “Bayesian allegations that have undermined the credibility of frequentist statistics”, “both approaches are far from immune to fallacious interpretations”, “only crude rules of thumbs”, &tc.) and rhetorical sleights of hand. (See, e.g., “In contrast, the severity account ensures learning from data by employing trustworthy evidence (…), the reliability of evidence being calibrated in terms of the relevant error probabilities” [my stress].) Connectedly, Spanos often resorts to an unusual [at least for statisticians] vocabulary that amounts to newspeak. Here are some illustrations: “summoning the generic capacity of the test”, ‘substantively significant”, “custom tailoring the generic capacity of the test”, “the fallacy of acceptance”, “the relevance of the generic capacity of the particular test”, yes the term “generic capacity” is occurring there with a truly high frequency. Continue reading →

potentially relevant

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on March 14, 2012 by xi'an

This week, freshly back from Roma, I got the reviews on our paper “Relevant statistics for Bayesian model choice” from Series B. The comments are detailed and mostly to the point, expressing concern about the relevance of the paper for statistical methodology as the major issue.  We are thus asked for a revision making a much better connection with ABC methodology.

This is not an unexpected outcome, from my point of view, because the paper is indeed quite theoretical and the mathematical assumptions required to obtain the convergence theorems are rather overwhelming… Meaning that in practical cases they cannot truly be checked. However, I think we can eventually address those concerns for two distinct reasons: first, the paper comes as a third step in a series of papers where we first identified a sufficiency property, then realised that this property was actually quite a rare occurrence, and finally made a theoretical advance as to when is a summary statistic enough (i.e. “sufficient” in the standard sense of the term!)  to conduct model choice, with a clear answer that the mean ranges of the summary statistic under each model could not intersect.  Second, my own personal view is that those assumptions needed for convergence are not of the highest importance for statistical practice (even though they are needed in the paper!) and thus that, from a methodological point of view, only the conclusion should be taken into account. It is then rather straightforward to come up with (quick-and-dirty) simulation devices to check whether a summary statistic behaves differently under both models, taking advantage of the reference table already available (instead of having to run Monte Carlo experiments with ABC basis)…

One of the comments was that maybe Bayes factors were not appropriate for conducting model choice, thus making the whole derivation irrelevant. This is a possible perspective but it can be objected that Bayes factors and posterior probabilities are used in conjunction with ABC in dozens of genetic papers. Further arguments are provided in the various replies to both of Templeton’s radical criticisms. That more empirical and model-based assessments also are available is quite correct, as demonstrated in the multicriterion approach of Olli Ratmann and co-authors. This is simply another approach, not followed by most geneticists so far…

ABC model choice [slides]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on November 7, 2011 by xi'an

Here are the slides for my talks both at CREST this afternoon (in ½ an hour!) and in Madrid [on Friday 11/11/11=16, magical day of the year, especially since I will be speaking at 11:11 CET…] for the Workshop Métodos Bayesianos 11 (no major difference with the slides from Zürich, hey!, except for the quantile distribution example]