Archive for the ‘Contributions’ Category

The generalized fiducial distribution: A kinder, more objective posterior?

1 June 2017 Comments off


Hannig, JanIyer, HariLai, Randy C. S.Lee, Thomas C. M.
Generalized fiducial inference: a review and new results. (English summary)
J. Amer. Statist. Assoc. 111 (2016), no. 515, 1346–1361.
62A01 (62F99 62G05 62J05)
This review article introduces generalized fiducial inference, the flavor of fiducial statistics developed by the authors and their collaborators since the beginning of the millennium. This research program has been driven by a vision of fiducial distributions as posterior distributions untainted by the subjectivity seen in prior distributions.
Other approaches to fiducial inference bring subjectivity more to the forefront. For example, G. N. Wilkinson had highlighted the incoherence of fiducial distributions formulated in a more Fisherian flavor [J. Roy. Statist. Soc. Ser. B 39 (1977), no. 2, 119–171; MR0652326]. More recently, R. J. Bowater [AStA Adv. Stat. Anal. 101 (2017), no. 2, 177–197] endorsed an explicitly subjective interpretation of fiducial probability. For the place of generalized fiducial inference in the context of other fiducial approaches, see [D. L. Sonderegger and J. Hannig, in Contemporary developments in statistical theory, 155–189, Springer Proc. Math. Stat., 68, Springer, Cham, 2014; MR3149921] and the papers it {MR3149921} cites.
In addition to providing an inspiring exposition of generalized fiducial inference, the authors report these new contributions:
  1. A weak-limit definition of a generalized fiducial distribution.
  2. Sufficient conditions for a generalized fiducial distribution to have asymptotic frequentist coverage.
  3. Novel formulas for computing a generalized fiducial distribution and a fiducial probability of a model.

The fiducial probability of a model is applicable to both model selection and model averaging. A seemingly different fiducial method of averaging statistical models was independently proposed by D. R. Bickel [“A note on fiducial model averaging as an alternative to checking Bayesian and frequentist models”, preprint, Fac. Sci. Math. Stat., Univ. Ottawa, 2015].

Reviewed by David R. Bickel

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Against ideological philosophies of probability

1 May 2017 Comments off

Burdzy, Krzysztof
Resonance—from probability to epistemology and back. Imperial College Press, London, 2016. xx+408 pp. ISBN: 978-1-78326-920-4
60A05 (00A30 03A10 62A01)

Look out for an offensive against all major philosophical theories of probability. The assailant draws from an arsenal of postmodern philosophy, a command of probability theory, and a deep reverence for natural science. Disarming readers with a conversational style peppered with Wikipedia references, he confronts them with the thesis that probability depends on resonance, the indescribable intuition and common sense behind human judgments in complex situations.
Burdzy defines probability in terms of six “laws of probability”, intended as an accurate description of how probability is used in science (pp. 8–9, 217). Unlike the axiomatic systems from Kolmogorov onward that are distinct from their potential applications [see A. Rényi, Rev. Inst. Internat. Statist 33 (1965), 1–14; MR0181483], the laws require that mathematical probability by definition agree with features of objective events. Potentially subject to scientific or philosophical refutation (pp. 258–259), the laws are analogous to Maxwell’s equations (p. 222). The testable claim is that they accurately describe science’s use of epistemic probabilities as well as physical probabilities (pp. 259–261).
Laws 3, 4, and 6 are especially physical. Burdzy argues that probability theory could not be applied if symmetries such as physical independence (Law 3) could not be recognized and tentatively accepted by resonance (Section 11.4). Such symmetries do not include the law of the iterated logarithm or many other properties of Martin-Löf sequences, which he finds “totally useless from the practical point of view” (Section 4.14). Law 4, the requirement that assigning equal probabilities should be based on known physical symmetries rather than on ignorance (Section 11.25), echoes R. Chuaqui Kettlun’s Truth, possibility and probability [North-Holland Math. Stud., 166, North-Holland, Amsterdam, 1991 (Sections III.2 and XX.3); MR1159708]. Law 6 needs some qualification or further explanation since it does not apply directly to continuous random variables: “An event has probability 0 if and only if it cannot occur. An event has probability 1 if and only if it must occur” (p. 217).
There is some dissonance in applications to statistics. On the frequentist side, a confidence interval with a high level of confidence should be used to predict that the parameter value lies within the observed confidence interval (Section 11.11, as explained by pp. 292, 294). Even though that generalizes predicting that the parameter values corresponding to rejected null hypotheses are not equal to the true parameter value, Burdzy expresses doubt about how to formalize hypothesis testing in terms of prediction (Section 13.4). His predictive-testing idea may be seen as an application of Cournot’s principle (pp. 22, 278; see [M. R. Fréchet, Les mathématiques et le concret, Presses Univ. France, Paris, 1955 (pp. 201–202, 209–213, 216–217, 221); MR0075110]). On the Bayesian side, Burdzy concedes that priors based on resonance often work well and yet judges them too susceptible to prejudice for scientific use (Section 14.4.3). By ridiculing subjective Bayesian theory as if it legitimized assigning probabilities at will (Section 7.1), Burdzy calls attention to its failure to specify all criteria for rational probability assignment.
Burdzy adds color to the text with random references to religion from the perspective of an atheistic probabilist who left Catholicism (p. 178). Here are some representative examples. First, in contrast to attempts to demonstrate that an objective probability of God’s existence is low [R. Dawkins, The God delusion, Bantam Press, 2006] or high [R. Swinburne, The resurrection of God incarnate, Clarendon Press, Oxford, 2003], he denies the feasibility of computing such a probability (Section 16.7). Second, Burdzy is convinced that religions, like communism, philosophical theories of probability, and other secular ideologies, have inconsistencies to the point of hypocrisy, insisting that his “resonance’ theory” (p. 13) is not an ideology (Chapter 15), much as D. V. Lindley denied that his Bayesianism is a religion [Understanding uncertainty, revised edition, Wiley Ser. Probab. Stat., Wiley, Hoboken, NJ, 2014 (pp. 380–381); MR3236718]. Lastly, Burdzy attributes the infinite consequences of underlying Pascal’s Wager to efforts to deceive and manipulate (Section 16.2.2). However, documenting the historical origins of teachings of eternal bliss and eternal retribution on the basis of primitive Christian and pre-Christian sources lies far beyond the scope of the book.
Under the resonance banner, this probabilist rushes in with a unique barrage of controversial and well-articulated philosophical claims with implications for science and beyond. Those resisting will find themselves challenged to counter with alternative solutions to the problems raised.

Reviewed by David R. Bickel

This review first appeared at “Resonance—from probability to epistemology and back” (Mathematical Reviews) and is used with permission from the American Mathematical Society.
Categories: complexity, reviews

Entropies of a posterior of the success probability

1 February 2017 Comments off

Kelbert, M.; Mozgunov, P.
Asymptotic behaviour of the weighted Renyi, Tsallis and Fisher entropies in a Bayesian problem. (English summary)
Eurasian Math. J. 6 (2015), no. 2, 6–17.
94A17 (62B10 62C10)

This paper considers a weighted version of the differential entropy of the posterior distribution of the probability of success conditional on the observed value of a binomial random variable. The uniform (0,1)prior distribution of the success probability is used to derive large-sample results.
The weighting function allows emphasizing some values of the parameter more than other values. For example, since the success probability value of 1/2 has special importance in many applications, that parameter value may be assigned a higher weight than the others. This differs from the more common Bayesian approach of assigning more prior probability to certain parameter values.
The author proves asymptotic properties not only of the weighted differential entropy but also of weighted differential versions of the Renyi, Tsallis, and Fisher definitions of entropy or information. The results are concrete in that they are specifically derived for the posterior distribution of the success probability given the uniform prior.

Reviewed by David R. Bickel

This review first appeared at “Asymptotic behaviour of the weighted Renyi, Tsallis and Fisher entropies in a Bayesian problem” (Mathematical Reviews) and is used with permission from the American Mathematical Society.
Categories: reviews

Should simpler distributions have more prior probability?

7 January 2017 Comments off

D. R. Bickel, “Computable priors sharpened into Occam’s razors,” Working Paper, University of Ottawa, <hal-01423673> (2016). 2016 preprint

Categories: complexity, preprints

Inference after eliminating Bayesian models of insufficient evidence

1 December 2016 Comments off

“Inference under the entropy-maximizing Bayesian model of sufficient evidence”

The Third International Conference on Mathematical and Computational Medicine

Columbus, Ohio

David R. Bickel

18 May 2016

Entropy sightings

1 November 2016 Comments off
Varadhan, Srinivasa R. S.
Entropy and its many avatars. (English summary)
J. Math. Soc. Japan 67 (2015), no. 4, 1845–1857.
94A17 (37A35 60-02 60K35 82B05)

The author, a chief architect of the theory of large deviations, chronicles several manifestations of entropy. It made appearances in the realms indicated by these section headings:

  • Entropy and information theory
  • Entropy and dynamical systems
  • Relative entropy and large deviations
  • Entropy and duality
  • Log Sobolev inequality
  • Gibbs states
  • Interacting particle systems

The topics are connected whenever a concept introduced in one section is treated in more depth in a later section. In this way, relative entropy is seen to play a key role in large deviations, Gibbs states, and systems of interacting particles.
Less explicit connections are left to the reader’s enjoyment and education. For example, the relation between Boltzmann entropy and Shannon entropy in the information theory section is a special case both of Sanov’s theorem, presented in the section on large deviations, and of the relation of free energy and relative entropy, in the section on Gibbs states.
The paper ends with a tribute to Professor Kiyosi Itô.

Reviewed by David R. Bickel


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  2. L. Boltzmann, Über die Mechanische Bedeutung des Zweiten Hauptsatzes der Wärmetheorie, Wiener Berichte, 53 (1866), 195–220.
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  7. A. Feinstein, A new basic theorem of information theory, IRE Trans. Information Theory PGIT-4 (1954), 2–22.  MR0088413 
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  9. M. Z. Guo, G. C. Papanicolaou and S. R. S. Varadhan, Nonlinear diffusion limit for a system with nearest neighbor interactions, Comm. Math. Phys., 118 (1988), 31–59.  MR0954674 
  10. A. I. Khinchin, On the fundamental theorems of information theory, Translated by Morris D. Friedman, 572 California St., Newtonville MA 02460, 1956, 84 pp.  MR0082924 
  11. A. N. Kolmogorov, A new metric invariant of transitive dynamical systems and automorphisms of Lebesgue spaces, (Russian) Topology, ordinary differential equations, dynamical systems, Trudy Mat. Inst., Steklov., 169 (1985), 94–98, 254.  MR0836570 
  12. O. Lanford, Entropy and equilibrium states in classical statistical mechanics, Statistical Mechanics and Mathematical Problems, Lecture notes in Physics, 20, Springer-Verlag, Berlin and New York, 1971, 1–113.
  13. D. S. Ornstein, Ergodic theory, randomness, and dynamical systems, James K. Whittemore Lectures in Mathematics given at Yale University, Yale Mathematical Monographs, No. 5. Yale University Press, New Haven, Conn.-London, 1974, vii+141 pp. MR0447525 
  14. I. N. Sanov, On the probability of large deviations of random magnitudes, (Russian) Mat. Sb. (N. S.), 42 (84) (1957), 11–44. MR0088087 
  15. C. E. Shannon, A mathematical theory of communication, Bell System Tech. J., 27 (1948), 379–423, 623–656.  MR0026286 
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  17. H. T. Yau, Relative entropy and hydrodynamics of Ginzburg-Landau models, Lett. Math. Phys., 22 (1991), 63–80.  MR1121850 
This list reflects references listed in the original paper as accurately as possible with no attempt to correct error.
This review first appeared at “Entropy and its many avatars” (Mathematical Reviews) and is used with permission from the American Mathematical Society.
Categories: reviews

A Bayesian approach to informing decision makers

23 September 2016 Comments off