Introduction to Bayesian Methods

Click here to load reader

  • date post

    19-Aug-2014
  • Category

    Education

  • view

    24.618
  • download

    2

Embed Size (px)

description

A guest lecture given in advanced biostatistics (BIOL597) at McGill University. EDIT: t=Principle.

Transcript of Introduction to Bayesian Methods

  • Introduction to Bayesian Methods Theory, Computation, Inference and PredictionCorey ChiversPhD CandidateDepartment of BiologyMcGill University
  • Script to run examples inthese slides can be foundhere:bit.ly/Wnmb2WThese slides are here:bit.ly/P9Xa9G
  • Corey Chivers, 2012
  • The Likelihood Principle All information contained in data x, with respect to inference about the value of , is contained in the likelihood function: L | x P X= x | Corey Chivers, 2012
  • The Likelihood Principle L.J. Savage R.A. FisherCorey Chivers, 2012
  • The Likelihood Function L | x P X= x | L | x =f | x Where is(are) our parameter(s) of interest ex: Attack rate Fitness Mean body mass Mortality etc...Corey Chivers, 2012
  • The Ecologists Quarter Lands tails (caribou up) 60% of the timeCorey Chivers, 2012
  • The Ecologists Quarter Lands tails (caribou up) 60% of the time 1) What is the probability that I will flip tails, given that I am flipping an ecologists quarter (p(tail=0.6))? P x | =0.6 2) What is the likelihood that I am flipping an ecologists quarter, given the flip(s) that I have observed? L=0.6 | x Corey Chivers, 2012
  • The Ecologists Quarter T H L | x = 1 t=1 h=1 L=0.6 | x=H T T H T 3 2 = 0.6 0.4 t =1 h=1 = 0.03456Corey Chivers, 2012
  • The Ecologists Quarter T H L | x = 1 t=1 h=1 L=0.6 | x=H T T H T 3 2 But what does this = 0.6 0.4 mean? 0.03456 P(|x) !!!! t =1 h=1 = 0.03456Corey Chivers, 2012
  • How do we ask Statistical Questions? A Frequentist asks: What is the probability of having observed data at least as extreme as my data if the null hypothesis is true? P(data | H0) ? note: P=1 does not mean P(H0)=1 A Bayesian asks: What is the probability of hypotheses given that I have observed my data? P(H | data) ? note: here H denotes the space of all possible hypothesesCorey Chivers, 2012
  • P(data | H0) P(H | data) But we both want to make inferences about our hypotheses, not the data.Corey Chivers, 2012
  • Bayes Theorem The posterior probability of , given our observation (x) is proportional to the likelihood times the prior probability of . P x | P P | x= P xCorey Chivers, 2012
  • The Ecologists Quarter Redux Lands tails (caribou up) 60% of the timeCorey Chivers, 2012
  • The Ecologists Quarter T H L | x = 1 t=1 h=1 L=0.6 | x=H T T H T 3 2 = 0.6 0.4 t =1 h=1 = 0.03456Corey Chivers, 2012
  • Likelihood of data given hypothesis P( x | ) But we want to know P( | x )Corey Chivers, 2012
  • How can we make inferences about our ecologists quarter using Bayes? P( x | ) P() P( | x )= P( x )Corey Chivers, 2012
  • How can we make inferences about our ecologists quarter using Bayes? Likelihood P x | P P | x= P xCorey Chivers, 2012
  • How can we make inferences about our ecologists quarter using Bayes? Likelihood Prior P( x | ) P() P( | x )= P( x )Corey Chivers, 2012
  • How can we make inferences about our ecologists quarter using Bayes? Likelihood Prior P x | P P | x= Posterior P xCorey Chivers, 2012
  • How can we make inferences about our ecologists quarter using Bayes? Likelihood Prior P x | P P | x= Posterior P x P x = P x | P d Not always a closed form solution possible!!Corey Chivers, 2012
  • Randomization to Solve Difficult Problems ` Feynman, Ulam & Von Neumann f d Corey Chivers, 2012
  • Monte Carlo Throw darts at random Feynman, Ulam & Von Neumann (0,1) P(blue) = ? P(blue) = 1/2 P(blue) ~ 7/15 ~ 1/2 (0.5,0) (1,0)Corey Chivers, 2012
  • Your turn...Lets use Monte Carlo to estimate - Generate random x and y values using the number sheet- Plot those points on your graphHow many of the points fallwithin the circle? y=17 x=4
  • Your turn...Estimate using the formula: 4 #incircle / total
  • Now using a more powerful computer!
  • Posterior Integration via Markov Chain Monte Carlo A Markov Chain is a mathematical construct where given the present, the past and the future are independent. Where I decide to go next depends not on where I have been, or where I may go in the future but only on where I am right now. -Andrey Markov (maybe)Corey Chivers, 2012
  • Corey Chivers, 2012
  • Metropolis-Hastings Algorithm 1. Pick a starting location at The Markovian Explorer! random. 2. Choose a new location in your vicinity. 3. Go to the new location with probability: p=min 1, x proposal x current 4. Otherwise stay where you are. 5. Repeat.Corey Chivers, 2012
  • MCMC in Action!Corey Chivers, 2012
  • Weve solved our integration problem! P x | P P | x= P x P | x P x | P Corey Chivers, 2012
  • Ex: Bayesian Regression Regression coefficients are traditionally estimated via maximum likelihood. To obtain full posterior distributions, we can view the regression problem from a Bayesian perspective.Corey Chivers, 2012
  • ##@ 2.1 @##Corey Chivers, 2012
  • Example: Salmon Regression Model Priors Y =a+ bX + a ~ Normal (0,100) ~ Normal( 0, ) b ~ Normal (0,100) ~ gamma (1,1/ 100) P( a , b , | X , Y ) P( X ,Y | a , b , ) P( a) P(b) P( )Corey Chivers, 2012
  • Example: Salmon Regression Likelihood of the data (x,y), given the parameters (a,b,): n P( X ,Y | a , b , )= N ( y i ,=a+ b x i , sd=) i=1Corey Chivers, 2012
  • Corey Chivers, 2012
  • Corey Chivers, 2012
  • Corey Chivers, 2012
  • ##@ 2.5 @## >## Print the Bayesian Credible Intervals > BCI(mcmc_salmon) 0.025 0.975 post_mean a -13.16485 14.84092 0.9762583 b 0.127730 0.455046 0.2911597 Sigma 1.736082 3.186122 2.3303188 Inference: Does body length have EM =ab BL an effect on egg mass?Corey Chivers, 2012
  • The Prior revisited What if we do have prior information? You have done a literature search and find that a previous study on the same salmon population found a slope of 0.6mg/cm (SE=0.1), and an intercept of -3.1mg (SE=1.2). How does this prior information change your analysis?Corey Chivers, 2012
  • Corey Chivers, 2012
  • Example: Salmon Regression Informative Model Priors EM =ab BL a ~ Normal (3.1,1 .2) ~ Normal 0, b ~ Normal (0.6,0 .1) ~ gamma1,1 /100 Corey Chivers, 2012
  • If you can formulate the likelihood function, you can estimate the posterior, and we have a coherent way to incorporate prior information. Most experiments do happen in a vacuum.Corey Chivers, 2012
  • Making predictions using point estimates can be a dangerous endeavor using the posterior (aka predictive) distribution allows us to take full account of uncertainty. How sure are we about our predictions?Corey Chivers, 2012
  • Aleatory Stochasticity, randomnessEpistemic Incomplete knowledge
  • ##@ 3.1 @## Suppose you have a 90cm long individual salmon, what do you predict to be the egg mass produced by this individual? What is the posterior probability that the egg mass produced will be greater than 35mg?Corey Chivers, 2012
  • Corey Chivers, 2012
  • P(EM>35mg | )Corey Chivers, 2012
  • Extensions: Clark (2005)
  • Extensions: By quantifying our uncertainty through integration of the posterior distribution, we can make better informed decisions. Bayesian analysis provides the basis for decision theory. Bayesian analysis allows us to construct hierarchical models of arbitrary complexity.Corey Chivers, 2012
  • Summary The output of a Bayesian analysis is not a single estimate of , but rather the entire posterior distribution., which represents our degree of belief about the value of . To get a posterior distribution, we need to specify our prior belief about . Complex Bayesian models can be estimated using MCMC. The posterior can be used to make both inference about , and quantitative predictions with proper accounting of uncertainty.Corey Chivers, 2012
  • Questions for Corey You can email me! [email protected] I blog about statistics: bayesianbiologist.com I tweet about statistics: @cjbayesian
  • Resources Bayesian Updating using Gibbs Sampling http://www.mrc-bsu.cam.ac.uk/bugs/winbugs/ Just Another Gibbs Sampler http://www-ice.iarc.fr/~martyn/software/jags/ Chi-squared example, done Bayesian: http://madere.biol.mcgill.ca/cchivers/biol373/chi- squared_done_bayesian.pdfCorey Chivers, 2012