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Fiducial model averages from model checks

10 May 2015 Leave a comment

Erratum: “Simple estimators of false discovery rates given as few as one or two p-values without strong parametric assumptions”

31 March 2015 Leave a comment

Small-scale empirical Bayes & fiducial estimators

22 March 2015 Leave a comment

The likelihood principle as a relation

29 January 2015 Leave a comment

Evans, Michael
What does the proof of Birnbaum’s theorem prove? (English summary)
Electron. J. Stat. 7 (2013), 2645–2655.
62A01 (62F99)

According to Birnbaum’s theorem [A. D. Birnbaum, J. Amer. Statist. Assoc. 57 (1962), 269–326; MR0138176 (25 #1623)], compliance with the sufficiency principle and the conditionality principle of statistics would require compliance with the likelihood principle as well. The result appears paradoxical: whereas the first two principles seem reasonable in light of simple examples, the third is routinely violated in statistical practice. Although the theorem has provided ammunition for assaults on frequentist statistics [see, e.g., J. K. Ghosh, M. Delampady and T. K. Samanta, An introduction to Bayesian analysis, Springer Texts Statist., Springer, New York, 2006 (Section 2.4); MR2247439 (2007g:62003)], most Bayesian statisticians do not comply with it at all costs, as attested by current procedures of checking priors and assessing models more generally.
The author formalizes the theorem in terms of set theory to say that the likelihood relation is the equivalence relation generated by the union of the sufficiency relation and the conditionality relation. He finds the result trivial because it relies on extending the conditionality relation, itself intuitively appealing, to the equivalence relation it generates, which conflicts with usual frequentist reasoning and which may even be meaningless for statistical practice. This viewpoint is supported with a counterexample.
While some would regard the irrelevance of the theorem as repelling an attack on frequentist inference, emboldening the advancement of novel methods rooted in fiducial probability [R. Martin and C. Liu, Statist. Sci. 29 (2014), no. 2, 247–251; MR3264537; cf. J. Hannig, Statist. Sci. 29 (2014), no. 2, 254–258; MR3264539; S. Nadarajah, S. Bityukov and N. Krasnikov, Stat. Methodol. 22 (2015), 23–46; MR3261595], the author criticizes the conditionality principle as formalized by the conditionality relation. The problem he sees is that the equivalence relation generated by the conditionality relation and needed for the applicability of the theorem “is essentially equivalent to saying that it doesn’t matter which maximal ancillary we condition on and it is unlikely that this is acceptable to most frequentist statisticians”.
The author concludes by challenging frequentists to resolve the problems arising from the plurality of maximal ancillary statistics in light of the “intuitive appeal” of the conditionality relation. From the perspective of O. E. Barndorff-Nielsen [Scand. J. Statist. 22(1995), no. 4, 513–522; MR1363227 (96k:62010)], that might be accomplished by developing methods for summarizing and weighing “diverse pieces of evidence”, with some of that diversity stemming from the lack of a unique maximal ancillary statistic for conditional inference.

Reviewed by David R. Bickel

References

  1. Barndorff-Nielsen, O. E. (1995) Diversity of evidence and Birnbaum’s theorem (with discussion). Scand. J. Statist., 22(4), 513–522. MR1363227  MR1363227 (96k:62010) 
  2. Birnbaum, A. (1962) On the foundations of statistical inference (with discussion). J. Amer. Stat. Assoc., 57, 269–332. MR0138176  MR0138176 (25 #1623) 
  3. Cox, D. R. and Hinkley, D. V. (1974) Theoretical Statistics. Chapman and Hall. MR0370837  MR0370837 (51 #7060) 
  4. Durbin, J. (1970) On Birnbaum’s theorem on the relation between sufficiency, conditionality and likelihood. J. Amer. Stat. Assoc., 654, 395–398.
  5. Evans, M., Fraser, D. A. S. and Monette, G. (1986) On principles and arguments to likelihood (with discussion). Canad. J. of Statistics, 14, 3, 181–199. MR0859631  MR0859631 (87m:62017) 
  6. Gandenberger, G. (2012) A new proof of the likelihood principle. To appear in the British Journal for the Philosophy of Science.
  7. Halmos, P. (1960) Naive Set Theory. Van Nostrand Reinhold Co. MR0114756  MR0114756 (22 #5575) 
  8. Helland, I. S. (1995) Simple counterexamples against the conditionality principle. Amer. Statist., 49, 4, 351–356. MR1368487 MR1368487 (96h:62003) 
  9. Holm, S. (1985) Implication and equivalence among statistical inference rules. In Contributions to Probability and Statistics in Honour of Gunnar Blom. Univ. Lund, Lund, 143–155. MR0795054  MR0795054 (86k:62002) 
  10. Jang, G. H. (2011) The conditionality principle implies the sufficiency principle. Working paper.
  11. Kalbfleisch, J. D. (1975) Sufficiency and conditionality. Biometrika, 62, 251–259. MR0386075  MR0386075 (52 #6934) 
  12. Mayo, D. (2010) An error in the argument from conditionality and sufficiency to the likelihood principle. In Error and Inference: Recent Exchanges on Experimental Reasoning, Reliability and the Objectivity and Rationality of Science (D. Mayo and A. Spanos eds.). Cambridge University Press, Cambridge, 305–314. MR2640508  MR2640508 
  13. Robins, J. and Wasserman, L. (2000) Conditioning, likelihood, and coherence: A review of some foundational concepts. J. Amer. Stat. Assoc., 95, 452, 1340–1346. MR1825290  MR1825290

This review first appeared at “What does the proof of Birnbaum’s theorem prove?” (Mathematical Reviews) and is used with permission from the American Mathematical Society.

Model fusion & multiple testing in the likelihood paradigm

11 January 2015 Leave a comment

Fiducial error propagation for empirical Bayes set estimates

10 January 2015 Leave a comment

D. R. Bickel, “A fiducial continuum from confidence sets to empirical Bayes set estimates as the number of comparisons increases,” Working Paper, University of Ottawa, deposited in uO Research at http://hdl.handle.net/10393/31898 (2014). 2014 preprint

Two problems confronting the eclectic approach to statistics result from its lack of a unifying theoretical foundation. First, there is typically no continuity between a p-value reported as a level of evidence for a hypothesis in the absence of the information needed to estimate a relevant prior on one hand and an estimated posterior probability of a hypothesis reported in the presence of such information on the other hand. Second, the empirical Bayes methods recommended do not propagate the uncertainty due to estimating the prior.

The latter problem is addressed by applying a coherent form of fiducial inference to hierarchical models, yielding empirical Bayes set estimates that reflect uncertainty in estimating the prior. Plugging in the maximum likelihood estimator, while not propagating that uncertainty, provides continuity from single comparisons to large numbers of comparisons.

Self-consistent frequentism without fiducialism

3 September 2014 Leave a comment

Causality, Probability, and Time (by Kleinberg)—a review

8 August 2014 Leave a comment

Kleinberg, Samantha
Causality, probability, and time. Cambridge University Press, Cambridge, 2013. viii+259 pp. ISBN: 978-1-107-02648-3
60A99 (03A05 03B48 62A01 62P99 68T27 91G80 92C20)

This informative and engaging book introduces a novel method of inferring a cause of an event on the basis of the assumption that each cause changes the frequency-type probability of some effect occurring later in time. Unlike most previous approaches to causal inference, the author explicitly models time lags between causes and effects since timing is often crucial to effective prediction and control.
Arguably an equally valuable contribution of the book is its integration of relevant work in philosophy, computer science, and statistics. While the first two disciplines have benefited from the productive interactions exemplified in [J. Pearl, Probabilistic reasoning in intelligent systems: networks of plausible inference, Morgan Kaufmann Ser. Represent. Reason., Morgan Kaufmann, San Mateo, CA, 1988; MR0965765 (90g:68003)] and [J. Williamson, Bayesian nets and causality, Oxford Univ. Press, Oxford, 2005; MR2120947 (2005k:68198)], the statistics community has developed its own theory of causal inference in relative isolation. Rather than following S. L. Morgan and C. Winship [Counterfactuals and causal inference: methods and principles for social research, Cambridge Univ. Press, New York, 2007] and others in bringing that theory into conversation with that of Pearl [op. cit.], the author creatively employs recent developments in statistical inference to identify causes.
For the specific situation in which many putative causes are tested but only a few are true causes, she explains how to estimate the local rate of discovering false causes. In this context, the local false discovery rate (LFDR) corresponding to a putative cause is a posterior probability that it is not a true cause. This is an example of an empirical Bayes method in that the prior distribution is estimated from the data rather than assigned.
Building on [P. Suppes, A probabilistic theory of causality, North-Holland, Amsterdam, 1970; MR0465774 (57 #5663)], the book emphasizes the importance for prediction not only of whether something is a cause but also of the strength of a cause. A cause is εsignificant if its causal strength, defined in terms of changing the probability of its effect, is at least ε, where ε is some nonnegative number. Otherwise, it is ε-insignificant.
The author poses an important problem and comes close to solving it, i.e., the problem of inferring whether a cause is ε-significant. The solution attempted in Section 4.2 confuses causal significance (ε-significance) with statistical significance (LFDR estimate below some small positive number α). This is by no means a fatal criticism of the approach since it can be remedied in principle by defining a false discovery as a discovery of an ε-insignificant cause. This tests the null hypothesis that the cause is ε-insignificant for a specified value of ε rather than the book’s null hypothesis, which in effect asserts that the cause is limε0ε-insignificant, i.e., ε-insignificant for all ε>0. In the case of a specified value of ε, a cause should be considered ε-significant if the estimated LFDR is less than α, provided that the LFDR is defined in terms of the null hypothesis of ε-insignificance. The need to fill in the technical details and to answer more general questions arising from this distinction between causal significance and statistical significance opens up exciting opportunities for further research guided by insights from the literature on seeking substantive significance as well as statistical significance [see, e.g., M. A. van de Wiel and K. I. Kim, Biometrics 63 (2007), no. 3, 806–815; MR2395718].

Reviewed by David R. Bickel

This review first appeared at Causality, Probability, and Time (Mathematical Reviews) and is used with permission from the American Mathematical Society.

Categories: empirical Bayes, reviews

Assessing multiple models

1 June 2014 Comments off

Multivariate mode estimation

1 February 2014 Leave a comment

Hsu, Chih-Yuan; Wu, Tiee-Jian
Efficient estimation of the mode of continuous multivariate data. (English summary)
Comput. Statist. Data Anal. 63 (2013), 148–159.
62F10 (62F12)

To estimate the mode of a unimodal multivariate distribution, the authors propose the following algorithm. First, the data are transformed to become approximately multivariate normal by means of a transformation determined by maximum likelihood estimation (MLE) of a transformation parameter joint with the parameters of the multivariate normal distribution. Second, the resulting inverse transformation is applied to the MLE multivariate normal density function, yielding an estimate of the probability density function on the space of the original data. Third, the point at which that density function achieves its maximum is taken as the estimate of the multivariate mode. The paper features a theorem reporting the weak consistency of the estimator under the lognormality of the data.
The authors cite several papers indicating the need for such multivariate mode estimation in applications. They illustrate the practical use of their estimator by applying it to climatology and handwriting data sets.
Simulations indicate a large variety of distributions and dependence structures under which the proposed estimator performs substantially better than its competitors. An exception is the case of contamination with data from a distribution that has a different mode than the mode that is the target of inference.

Reviewed by David R. Bickel

This review first appeared at “Efficient estimation of the mode of continuous multivariate data” (Mathematical Reviews) and is used with permission from the American Mathematical Society.

Categories: reviews