Archive for MAP estimators

mixture models [book review]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , , , on August 14, 2024 by xi'an

Strangely enough, I became aware of this new book on mixtures through one of these annoying emails “Your work has been cited n times this week“… Mixture Models (Parametric, Semiparametric, and New Directions) by Weixin Yao and Sijia Wang got published by CRC Press earlier this year, within the Monographs on Statistics and Applied Probability green series (#175), and covers across 380 pages most aspects of mixture (and hidden Markov) estimation, if with strong emphasis on maximum likelihood estimation, while the new directions are unsurprisingly those pursued by the authors, namely robust and semi-parametric estimation, as well as model selection by testing.

An early warning about this book review is that I co-edited a Handbook of Mixture Analysis with my friends Sylvia Früwirth-Schnatter and Gilles Celeux a few years ago. I am therefore biased in what I would have included in a new book on the topic, the more because I find the available literature already plentiful, even though the early (1984) book of Titterington et al. that was my entry to the field may have become an historical reference. For instance, Finite Mixtures by McLachlan and Peel (2000) remains relevant, with similar emphasis on maximum likelihood and the EM algorithm, while Sylvia’s Finite Mixture and Markov Switching Models is still a reference to this day.

And an additional warning on me not being a massive fan of semi- and non-parametric estimation in this setting…

Preliminaries that may explain my limited enthusiasm about the book and its limited originality. Not that I found significant errors there (even though “improper priors [do not always] yield improper posteriors” [p.145] as we demonstrated in several papers), however, I had trouble with the uneven pace adopted by the authors that often skim some topics of importance while spending an inconsiderate amount of space on less relevant once. Some items get many bibliographical references, while others do not. For instance, EM receives a lion’s share (see, e..g, Sections 6.6 and 6.7). Or the 12 pages of proof in Chapter 10. Declination of sections into mixtures, mixtures of regressions, multivariate mixtures, hidden Markov models, and so on feels somewhat repetitive. This is particularly the case for the “mixture regression models” chapter.

The book also contains Bayesian entries, with a first introduction (p.105) in the discrete data chapter that precedes the short Bayesian chapter #4 (p.145), the same issue arising for related algorithms like Gibbs (p.107) that “estimate properties of the joint posterior” and MCMC (p.112). Which sort of erases the specificity of a Bayesian approach by reducing it to one item in the toolbox (with the wrong stress on MAP estimates). In this Bayesian chapter, MCMC validation is handled for discrete state spaces while applied in general spaces. The focus is mostly on relabelling for the following label switching chapter, albeit a large collection of methods are compared if not mentioned.

Handing an unknown number of components by hypothesis testing is supported in the next short chapter, although very little is said about reversible jump MCMC. And there is no general discussion on the consistency of these tests, in particular with bootstrap. Or at least on the regularity conditions they request. An puzzling paradox (p.191) is the existence of an unbounded Fisher information of an exponential mixture

\pi\mathcal Exp(1)+(1-\pi)\mathcal Exp(2)

when the weight π is the parameter (and close to 1).

High-dimensional mixtures in Chapter 8 are mostly handled by linear projections in smaller subspaces, which is natural given that they preserve the mixture structure but open a Pandora box of a wide range of proposed methods, again with little comparison available. Except in the R final section opposing several R functions on the same dataset (if unconclusively).

The semi-parametric chapters mention Dirichlet process priors, albeit briefly, but fail to relate to the recent works on using these when inferring about the number of components. Or failing to do so. There is also a very limited connection pointed out with machine learning but little can be gathered from the three page presentation (pp.308-310). These chapters also have significant overlap with the review paper of Xiang et al. (2019) in Statistical Science.

Most chapters end up with an R section, which usually reads as a quick demo of a related R package, like BayesLCA or our own mixtool. Hence not massively helpful beyond pointers to these packages. The numerical illustrations also are unevenly distributed between chapters, from nothing at all to four pages of small font tables on an MSE comparison between more or less robust approaches undertaken by Yu et al. (2020).

The above thus explains why I am not particularly excited about this bibliographical addition to the analysis of mixtures. It does offer a reference for researchers in the field by adding recent references and approaches to the existing books mentioned above, but I could not recommend it as a textbook (as suggested on p.xiii).

[Disclaimer about potential self-plagiarism: this post or an edited version may eventually appear in my Books Review section in CHANCE.]

ABC-SAEM

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , on October 8, 2019 by xi'an

In connection with the recent PhD thesis defence of Juliette Chevallier, in which I took a somewhat virtual part for being physically in Warwick, I read a paper she wrote with Stéphanie Allassonnière on stochastic approximation versions of the EM algorithm. Computing the MAP estimator can be done via some adapted for simulated annealing versions of EM, possibly using MCMC as for instance in the Monolix software and its MCMC-SAEM algorithm. Where SA stands sometimes for stochastic approximation and sometimes for simulated annealing, originally developed by Gilles Celeux and Jean Diebolt, then reframed by Marc Lavielle and Eric Moulines [friends and coauthors]. With an MCMC step because the simulation of the latent variables involves an untractable normalising constant. (Contrary to this paper, Umberto Picchini and Adeline Samson proposed in 2015 a genuine ABC version of this approach, paper that I thought I missed—although I now remember discussing it with Adeline at JSM in Seattle—, ABC is used as a substitute for the conditional distribution of the latent variables given data and parameter. To be used as a substitute for the Q step of the (SA)EM algorithm. One more approximation step and one more simulation step and we would reach a form of ABC-Gibbs!) In this version, there are very few assumptions made on the approximation sequence, except that it converges with the iteration index to the true distribution (for a fixed observed sample) if convergence of ABC-SAEM is to happen. The paper takes as an illustrative sequence a collection of tempered versions of the true conditionals, but this is quite formal as I cannot fathom a feasible simulation from the tempered version and not from the untempered one. It is thus much more a version of tempered SAEM than truly connected with ABC (although a genuine ABC-EM version could be envisioned).

the most probable cluster

Posted in Books, Statistics with tags , , , , , , on July 11, 2019 by xi'an

In the last issue of Bayesian Analysis, Lukasz Rajkowski studies the most likely (MAP) cluster associated with the Dirichlet process mixture model. Reminding me that most Bayesian estimates of the number of clusters are not consistent (when the sample size grows to infinity). I am always puzzled by this problem, as estimating the number of clusters sounds like an ill-posed problem, since it is growing with the number of observations, by definition of the Dirichlet process. For instance, the current paper establishes that the number of clusters intersecting a given compact set remains bounded. (The setup is one of a Normal Dirichlet process mixture with constant and known covariance matrix.)

Since the posterior probability of a given partition of {1,2,…,n} can be (formally) computed, the MAP estimate can be (formally) derived. I inserted formally in the previous sentence as the derivation of the exact MAP is an NP hard problem in the number n of observations. As an aside, I have trouble with the author’s argument that the convex hulls of the clusters should be disjoin: I do not see why they should when the mixture components are overlapping. (More generally, I fail to relate to notions like “bad clusters” or “overestimation of the number of clusters” or a “sensible choice” of the covariance matrix.) More globally, I am somewhat perplexed by the purpose of the paper and the relevance of the MAP estimate, even putting aside my generic criticisms of the MAP approach. No uncertainty is attached to the estimator, which thus appears as a form of penalised likelihood strategy rather than a genuinely Bayesian (Analysis) solution.

The first example in the paper is using data from a Uniform over (-1,1), concluding at a “misleading” partition by the MAP since it produces more than one cluster. I find this statement flabbergasting as the generative model is not the estimated model. To wit, the case of an exponential Exp(1) sample that cannot reach a maximum of the target function with a finite number of sample. Which brings me back full-circle to my general unease about clustering in that much more seems to be assumed about this notion than what the statistical model delivers.

risk-adverse Bayes estimators

Posted in Books, pictures, Statistics with tags , , , , , , , , , , on January 28, 2019 by xi'an

An interesting paper came out on arXiv in early December, written by Michael Brand from Monash. It is about risk-adverse Bayes estimators, which are defined as avoiding the use of loss functions (although why avoiding loss functions is not made very clear in the paper). Close to MAP estimates, they bypass the dependence of said MAPs on parameterisation by maximising instead π(θ|x)/√I(θ), which is invariant by reparameterisation if not by a change of dominating measure. This form of MAP estimate is called the Wallace-Freeman (1987) estimator [of which I never heard].

The formal definition of a risk-adverse estimator is still based on a loss function in order to produce a proper version of the probability to be “wrong” in a continuous environment. The difference between estimator and true value θ, as expressed by the loss, is enlarged by a scale factor k pushed to infinity. Meaning that differences not in the immediate neighbourhood of zero are not relevant. In the case of a countable parameter space, this is essentially producing the MAP estimator. In the continuous case, for “well-defined” and “well-behaved” loss functions and estimators and density, including an invariance to parameterisation as in my own intrinsic losses of old!, which the author calls likelihood-based loss function,  mentioning f-divergences, the resulting estimator(s) is a Wallace-Freeman estimator (of which there may be several). I did not get very deep into the study of the convergence proof, which seems to borrow more from real analysis à la Rudin than from functional analysis or measure theory, but keep returning to the apparent dependence of the notion on the dominating measure, which bothers me.

MAP as Bayes estimators

Posted in Books, Kids, Statistics with tags , , , , on November 30, 2016 by xi'an

screenshot_20161122_123607Robert Bassett and Julio Deride just arXived a paper discussing the position of MAPs within Bayesian decision theory. A point I have discussed extensively on the ‘Og!

“…we provide a counterexample to the commonly accepted notion of MAP estimators as a limit of Bayes estimators having 0-1 loss.”

The authors mention The Bayesian Choice stating this property without further precautions and I completely agree to being careless in this regard! The difficulty stands with the limit of the maximisers being not necessarily the maximiser of the limit. The paper includes an example to this effect, with a prior as above,  associated with a sampling distribution that does not depend on the parameter. The sufficient conditions proposed therein are that the posterior density is almost surely proper or quasiconcave.

This is a neat mathematical characterisation that cleans this “folk theorem” about MAP estimators. And for which the authors are to be congratulated! However, I am not very excited by the limiting property, whether it holds or not, as I have difficulties conceiving the use of a sequence of losses in a mildly realistic case. I rather prefer the alternate characterisation of MAP estimators by Burger and Lucka as proper Bayes estimators under another type of loss function, albeit a rather artificial one.