Archive for hypothesis testing

safe Bayes & e-values & least favourable priors

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , , on March 2, 2024 by xi'an

The paper by Peter Grünwald, Rianne de Heide and Wouter Koolen on safe testing was read before The Royal Statistical Society at a meeting organized by the Research Section on Wednesday, 24th January, 2024, after many years in the making, to the point that several papers based on this initial one have appeared in the meanwhile, incl. some submissions to Biometrika. Like this one in the current issue of Statistical Science dedicated to reproducibility and replicability. Joshua Bon and I wrote a discussion that synthesised the following and sometimes rambling remarks.

Overall, this is a mind-challenging paper with definitely original style and contents for which the authors are to be congratulated!

“…p-values are interpreted as indicating amounts of evidence against the null, and their definition does not need to refer to any specific alternative H¹. Exactly the same holds for e-values: the basic interpretation ‘a large e-value provides evidence against H⁰’ holds no matter how the e-variable is defined, as long as it satisfies (1). If they are defined relative to H¹ that is close to the actual process generating the data they will grow fast and provide a lot of evidence, but the basic interpretation holds regardless.”

About the entry section, one may ask why would a Bayesian want to test the veracity of a null hypothesis. The debate has been raging since the early days, although Jeffreys spent two chapters of his book on the topic of testing. (While appearing in Example 5 p.14 for his point estimation prior.) From an opposite viewpoint, the construction of e-values and such in the paper is highly model dependent, but all models are wrong! and more to the point both hypotheses may turn out to be wrong for misspecified cases. The notion thus seems on the opposite to be very M-close, with no idea of what is happening under misspecified models or why is rejecting H⁰ the ultimate argument.

When introducing e-values, (1) is not a definition per se, since otherwise E≡1 would be an e-value. This is unfortunate as the topic is already confusing enough. E[E] must be larger than 1 under H¹, otherwise product of e-values would always degenerate to zero (?)

The points

  1. behaviour under optional continuation [by a martingale reasoning]
  2. interpretation as ‘evidence against the null’ as gambling [unethical!]
  3. in all cases preserving frequentist Type I error guarantees
  4. e-variables turn out to be Bayes factors based on the right Haar prior [rather than sometimes with highly unusual (e.g. degenerate) priors? p.4]
  5. e-variables need more extreme data than p-values in order to reject the null

are rather worthwhile, even though 2. is vague and 3. is firmly frequentist. Any theory involving Haar priors (and even better amenability) cannot be all wrong, though, even considering that Haar priors are improper. The optional continuation in 1. is a nice argument from a Bayesian viewpoint since it has also been used to defend the Bayesian approach. Point 4. brings a formal way to define least favourable priors in the testing sense. One may then wonder at the connection with the solution of Bayarri and Garcia-Donato (Biometrika, 2007). The perspective adopted therein is somehow an inverse of the more common stance when the prior on H⁰ is the starting point [and obviously known]. So, is there any dual version of e-values where this would happen, i.e. leading to deriving the optimal prior on H¹ for a given prior on H⁰? (Which would further offer a maximin interpretation.) Theorem 1 indeed sounds like the minimax=maximin result for test settings. (In Corollary 2, why is (10) necessarily a Bayes factor, given the two models?)

While I first thought that the approach leads to finding a proper prior, the “Almost Bayesian Case” [p.17] (ABC!!) comes to justify the use of a “common” improper prior over nuisance parameters under both hypotheses, which while more justifiable than in the original objective Bayes literature, remains unsatisfactory to me. But I like the notion in 2.2 [p.10] that a prior chosen on H¹ forces one to adopt a particular corresponding prior on H⁰, as it defines a form of automated projection that we also considered in Goutis [RIP] and Robert (Biometrika, 1998). Corollary 2 is most interesting as well. However, taking the toy example of H⁰ being a normal mean standing in (-a,a) seems to lead to the optimal prior on H⁰ being a point mass at +/- a for any marginal m(y) centred at zero. Which is a disappointing outcome when compared with the point mass situation. It is another disappointment that the Bayes Factor cannot be an e-value since (6) fails to hold, but (1) is not (6) and one could argue that the BF is an e-value when integrating under the marginals!

As a marginalia, the paper made me learn about the term (and theme) tragedy of the commons, a concept developed by [the neomalthusian and eugenist] Garett Hardin.

In conclusion, we congratulate the authors on this endeavour but it remains unclear to us (as Bayesians) (i) how to construct the least favourable prior on H0 on a general basis, especially from a computational viewpoint, and, more importantly, (ii) whether it is at all of inferential interest [i.e., whether it degenerates into a point mass]. With respect to the sequential directions of the paper, we also wonder at the potential connections with sequential Monte Carlo, for instance, towards conducting sequential model choice by constructing efficiently an amalgamated evidence value when the product of Bayes factors is not a Bayes factor (see Buchholz et al., 2023).

abandon ship [value]!!!

Posted in Books, Statistics, University life with tags , , , , , , , , , on March 22, 2019 by xi'an

The Abandon Statistical Significance paper we wrote with Blakeley B. McShane, David Gal, Andrew Gelman, and Jennifer L. Tackett has now appeared in a special issue of The American Statistician, “Statistical Inference in the 21st Century: A World Beyond p < 0.05“.  A 400 page special issue with 43 papers available on-line and open-source! Food for thought likely to be discussed further here (and elsewhere). The paper and the ideas within have been discussed quite a lot on Andrew’s blog and I will not repeat them here, simply quoting from the conclusion of the paper

In this article, we have proposed to abandon statistical significance and offered recommendations for how this can be implemented in the scientific publication process as well as in statistical decision making more broadly. We reiterate that we have no desire to “ban” p-values or other purely statistical measures. Rather, we believe that such measures should not be thresholded and that, thresholded or not, they should not take priority over the currently subordinate factors.

Which also introduced in a comment by Valentin Amrhein, Sander Greenland, and Blake McShane published in Nature today (and supported by 800+ signatures). Again discussed on Andrew’s blog.

a Bayesian interpretation of FDRs?

Posted in Statistics with tags , , , , , , , , , , on April 12, 2018 by xi'an

This week, I happened to re-read John Storey’ 2003 “The positive discovery rate: a Bayesian interpretation and the q-value”, because I wanted to check a connection with our testing by mixture [still in limbo] paper. I however failed to find what I was looking for because I could not find any Bayesian flavour in the paper apart from an FRD expressed as a “posterior probability” of the null, in the sense that the setting was one of opposing two simple hypotheses. When there is an unknown parameter common to the multiple hypotheses being tested, a prior distribution on the parameter makes these multiple hypotheses connected. What makes the connection puzzling is the assumption that the observed statistics defining the significance region are independent (Theorem 1). And it seems to depend on the choice of the significance region, which should be induced by the Bayesian modelling, not the opposite. (This alternative explanation does not help either, maybe because it is on baseball… Or maybe because the sentence “If a player’s [posterior mean] is above .3, it’s more likely than not that their true average is as well” does not seem to appear naturally from a Bayesian formulation.) [Disclaimer: I am not hinting at anything wrong or objectionable in Storey’s paper, just being puzzled by the Bayesian tag!]

a null hypothesis with a 99% probability to be true…

Posted in Books, R, Statistics, University life with tags , , , , , , , , , , , on March 28, 2018 by xi'an

When checking the Python t distribution random generator, np.random.standard_t(), I came upon this manual page, which actually does not explain how the random generator works but spends instead the whole page to recall Gosset’s t test, illustrating its use on an energy intake of 11 women, but ending up misleading the readers by interpreting a .009 one-sided p-value as meaning “the null hypothesis [on the hypothesised mean] has a probability of about 99% of being true”! Actually, Python’s standard deviation estimator x.std() further returns by default a non-standard standard deviation, dividing by n rather than n-1…

admissible estimators that are not Bayes

Posted in Statistics with tags , , , , , , on December 30, 2017 by xi'an

A question that popped up on X validated made me search a little while for point estimators that are both admissible (under a certain loss function) and not generalised Bayes (under the same loss function), before asking Larry Brown, Jim Berger, or Ed George. The answer came through Larry’s book on exponential families, with the two examples attached. (Following our 1989 collaboration with Roger Farrell at Cornell U, I knew about the existence of testing procedures that were both admissible and not Bayes.) The most surprising feature is that the associated loss function is strictly convex as I would have thought that a less convex loss would have helped to find such counter-examples.