Archive for M-open inference

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).

Bayesian restricted likelihood with insufficient statistic [slides]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , on February 9, 2022 by xi'an

A great Bayesian Analysis webinar this afternoon with well-balanced presentations by Steve MacEachern and John Lewis, and original discussions by Bertrand Clarke and Fabrizio Rugieri. Which attracted 122 participants. I particularly enjoyed Bertrand’s points that likelihoods were more general than models [made in 6 different wordings!] and that this paper was closer to the M-open perspective. I think I eventually got the reason why the approach could be seen as an ABC with ε=0, since the simulated y’s all get the right statistic, but this presentation does not bring a strong argument in favour of the restricted likelihood approach, when considering the methodological and computational effort. The discussion also made me wonder if tools like VAEs could be used towards approximating the distribution of T(y) conditional on the parameter θ. This is also an opportunity to thank my friend Michele Guindani for his hard work as Editor of Bayesian Analysis and in particular for keeping the discussion tradition thriving!

La déraisonnable efficacité des mathématiques

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , on May 11, 2017 by xi'an

Although it went completely out of my mind, thanks to a rather heavy travel schedule, I gave last week a short interview about the notion of mathematical models, which got broadcast this week on France Culture, one of the French public radio channels. Within the daily La Méthode Scientifique show, which is a one-hour emission on scientific issues, always a [rare] pleasure to listen to. (Including the day they invited Claire Voisin.) The theme of the show that day was about the unreasonable effectiveness of mathematics, with the [classical] questioning of whether it is an efficient tool towards solving scientific (and inference?) problems because the mathematical objects pre-existed their use or we are (pre-)conditioned to use mathematics to solve problems. I somewhat sounded like a dog in a game of skittles, but it was interesting to listen to the philosopher discussing my relativistic perspective [provided you understand French!]. And I appreciated very much the way Céline Loozen the journalist who interviewed me sorted the chaff from the wheat in the original interview to make me sound mostly coherent! (A coincidence: Jean-Michel Marin got interviewed this morning on France Inter, the major public radio, about the Grothendieck papers.)

a unified treatment of predictive model comparison

Posted in Books, Statistics, University life with tags , , , , , , , , , on June 16, 2015 by xi'an

“Applying various approximation strategies to the relative predictive performance derived from predictive distributions in frequentist and Bayesian inference yields many of the model comparison techniques ubiquitous in practice, from predictive log loss cross validation to the Bayesian evidence and Bayesian information criteria.”

Michael Betancourt (Warwick) just arXived a paper formalising predictive model comparison in an almost Bourbakian sense! Meaning that he adopts therein a very general representation of the issue, with minimal assumptions on the data generating process (excluding a specific metric and obviously the choice of a testing statistic). He opts for an M-open perspective, meaning that this generating process stands outside the hypothetical statistical model or, in Lindley’s terms, a small world. Within this paradigm, the only way to assess the fit of a model seems to be through the predictive performances of that model. Using for instance an f-divergence like the Kullback-Leibler divergence, based on the true generated process as the reference. I think this however puts a restriction on the choice of small worlds as the probability measure on that small world has to be absolutely continuous wrt the true data generating process for the distance to be finite. While there are arguments in favour of absolutely continuous small worlds, this assumes a knowledge about the true process that we simply cannot gather. Ignoring this difficulty, a relative Kullback-Leibler divergence can be defined in terms of an almost arbitrary reference measure. But as it still relies on the true measure, its evaluation proceeds via cross-validation “tricks” like jackknife and bootstrap. However, on the Bayesian side, using the prior predictive links the Kullback-Leibler divergence with the marginal likelihood. And Michael argues further that the posterior predictive can be seen as the unifying tool behind information criteria like DIC and WAIC (widely applicable information criterion). Which does not convince me towards the utility of those criteria as model selection tools, as there is too much freedom in the way approximations are used and a potential for using the data several times.