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Bayesian Statistical Concepts Bielefeld2

In addition to their ambiguity, Bayes factors provide an incoherent framework for evidential support because of their high sensitivity to the prior and because they penalize hypotheses that contain values with low likelihoods [3, 4, 8]. In short, while there are many “Bayesian” approaches, Bayes factors in particular “have no direct foundational meaning to a Bayesian”, as only posterior probabilities have a proper Bayesian interpretation ([8], p. 56). Although the value of Bayesian inference has been noted before (e.g., [9, 10]), the approach remains underappreciated in psychological science. A formal Bayesian estimation approach finds the entire posterior distribution of a parameter given the data, such as the (pooled) proportions of hotel towel reuse in all control and experiment groups. We show that doing so provides a much simpler and more intuitive Bayesian interpretation of the evidence.

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67 views35 pages

Bayesian Statistical Concepts Bielefeld2

In addition to their ambiguity, Bayes factors provide an incoherent framework for evidential support because of their high sensitivity to the prior and because they penalize hypotheses that contain values with low likelihoods [3, 4, 8]. In short, while there are many “Bayesian” approaches, Bayes factors in particular “have no direct foundational meaning to a Bayesian”, as only posterior probabilities have a proper Bayesian interpretation ([8], p. 56). Although the value of Bayesian inference has been noted before (e.g., [9, 10]), the approach remains underappreciated in psychological science. A formal Bayesian estimation approach finds the entire posterior distribution of a parameter given the data, such as the (pooled) proportions of hotel towel reuse in all control and experiment groups. We show that doing so provides a much simpler and more intuitive Bayesian interpretation of the evidence.

Uploaded by

isaias.prestes
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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BAYESIAN STATISTICAL

CONCEPTS
A gentle introduction

Alex Etz
@alxetz ßTwitter (no ‘e’ in alex)
alexanderetz.com ßBlog
November 5th 2015
Why do we do statistics?
•  Deal with uncertainty
•  Will it rain today? How much?
•  When will my train arrive?

•  Describe phenomena
•  It rained 4cm today
•  My arrived between at 1605

•  Make predictions
•  It will rain between 3-8 cm today
•  My train will arrive between 1600 and 1615
Prediction is key
•  Description is boring
•  Description:
•  On this IQ test, these women averaged 3 points higher than these men

•  Prediction is interesting
•  Prediction:
•  On this IQ test, the average woman will score above the average man

•  Quantitative (precise) prediction is gold


•  Quantitative prediction:
•  On this IQ test, women will score between 1-3 pts higher than men
Evidence is prediction
•  Not just prediction in isolation

•  Competing prediction
•  Statistical evidence is comparative
Candy bags

5 orange, 5 blue 10 blue


Candy bags
•  I propose a game

•  Draw a candy from one of the bags

•  You guess which one it came from

•  After each draw (up to 6) you can bet (if you want)
Candy bags
•  If orange
•  Bag A predicts orange with probability .5
•  Bag B predicts orange with probability 0

•  Given orange, there is evidence for A over B


•  How much?
•  Infinity
•  Why?
•  Outcome is impossible for bag B, yet happened
•  Therefore, it cannot be bag B
Candy bags
•  If blue
•  Bag A predicts blue with probability .5 (5 out of 10)
•  Bag B predicts blue with probability 1.0 (10 out of 10)

•  Cannot rule out either bag

•  Given blue, there is evidence for B over A


•  How much?
•  Ratio of their predictions
•  1.0 divided by .5 = 2 per draw
Evidence is prediction
•  There is evidence for A over B if:
•  Prob. of observations given by A exceeds that given by B

•  Strength of the evidence for A over B:


•  The ratio of the probabilities (very simple!)
•  This is true for all of Bayesian statistics
•  More complicated math, but same basic idea
•  This is not true of classical statistics
Candy bag and a deck of cards
•  Same game, 1 extra step

•  I draw one card from a deck


•  Red suit (Heart, Diamond) I draw from bag A
•  Black suit (Spade, Club) I draw from bag B

•  Based on the card, draw a candy from one of the bags

•  You guess which one it came from

•  After each draw (up to 6) you can bet


•  (if you want)
Candy bags and a deck of cards
•  If orange, it came from bag A 100%. Game ends

•  If blue
•  Both bags had 50% chance of being selected
•  Bag A predicts blue with probability .5 (5 out of 10)
•  Bag B predicts blue with probability 1.0 (10 out of 10)

•  Evidence for B over A


•  How much?
•  Ratio of their predictions
•  1.0 divided by .5 = 2 per blue draw
Candy bags and a deck of cards
•  Did I add any information by drawing a card?
•  Did it affect your bet at all?

•  If the prior information doesn’t affect your conclusion,


it adds no information to the evidence
•  “Non-informative”
Candy bags and a deck of cards
•  Same game, 1 extra step

•  I draw one card from a deck


•  King of hearts I draw from bag B
•  Any other card I draw from bag A

•  I draw a ball from one of the bags

•  You guess which one it came from

•  After each draw (up to 6) you can bet


Candy bags and a deck of cards
•  Did I add any information by drawing a card?
•  Did it affect your bet at all?

•  Observations (evidence) the same


•  But conclusions can differ

•  Evidence is separate from conclusions


Betting on the odds
•  The 1 euro bet
•  If orange draw
•  Bet on bag A, you win 100%
•  We have ruled out bag B

•  If blue draw
•  Bet on bag A, chance you win is x%
•  Bet on bag B, chance you win is (1-x)%
Betting on the odds
•  Depends on:
•  Evidence from sample (candies drawn)
•  Other information (card drawn, etc.)

•  A study only provides the evidence contained in the


sample

•  You must provide the outside information


•  Is the hypothesis initially implausible?
•  Is this surprising? Expected?
Betting on the odds
•  If initially fair odds
•  (Draw red suit vs. black suit)
•  Same as adding no information
•  Conclusion based only on evidence

•  For 1 blue draw


•  Initial (prior) odds 1 to 1
•  Evidence 2 to 1 in favor of bag B
•  Final (posterior) odds 2 to 1 in favor of bag B
•  Probability of bag B = 67%
Betting on the odds
•  If initially fair odds
•  (Draw red suit vs. black suit)
•  Same as adding no information
•  Conclusion based only on evidence

•  For 6 blue draws


•  Initial (prior) odds 1 to 1
•  Evidence 64 to 1 in favor of bag B
•  Final (posterior) odds 64 to 1 in favor of bag B
•  Probability of bag B = 98%
Betting on the odds
•  If initially unfair odds
•  (Draw King of Hearts vs. any other card)
•  Adding relevant outside information
•  Conclusion based on evidence combined with outside information

•  For 1 blue draw


•  Initial (prior) odds 1 to 51 in favor of bag A
•  Evidence 2 to 1 in favor of bag B
•  Final (posterior) odds 1 to 26 in favor of bag A
•  Probability of bag B = 4%
Betting on the odds
•  If initially unfair odds
•  (Draw King of Hearts vs. any other card)
•  Adding relevant outside information
•  Conclusion based on evidence combined with outside information

•  For 6 blue draws


•  Initial (prior) odds 1 to 51 in favor of bag A
•  Evidence 64 to 1 in favor of bag B
•  Final (posterior) odds 1.3 to 1 in favor of bag B
•  Probability of bag B = 55%
Betting on the odds
•  The evidence was the same
•  2 to 1 in favor of B (1 blue draw)
•  64 to 1 in favor of B (6 blue draws)

•  Outside information changed conclusion


•  Fair initial odds
•  Initial prob. of bag B = 50%
•  Final prob. of bag B = 67% (98%)

•  Unfair initial odds


•  Initial prob. of bag B = 2%
•  Final prob. of bag B = 4% (55%)
Should you take the bet?
•  If I offer you a 1 euro bet:
•  Bet on the bag that has the highest probability

•  For other bets, decide based on final odds


Evidence is comparative
•  What if I had many more candy bag options?
Graphing the evidence
•  What if I wanted to compare every possible option at
once?
•  Graph it!
Graphing the evidence (1 blue)
Graphing the evidence (1 blue)
Graphing the evidence (6 blue)
Graphing the evidence (6 blue)
Graphing the evidence
•  This is called a Likelihood function

•  Ranks probability of the observations for all possible


candy bag proportions

•  Evidence is the ratio of heights on the curve


•  A above B, evidence for A over B
Graphing the evidence
•  Where does prior information enter?
•  Prior rankings for each possibility

•  Just as it did before


•  But now as a prior distribution
Prior information
•  “Non-informative” prior information
•  All possibilities ranked equally
•  i.e. no value preferred over another

•  Weak prior information; vague knowledge


•  “The bag has some blue candy, but not all blue candy”
•  After Halloween, for example
•  Saw some blue candy given out, but also other candies

•  Strong prior information


•  “Proportion of women in the population is between 40% and 60%”
Non-informative

No preference for any values


Weakly-informative

Some blue candy, but not all


Strongly-informative

Only middle values have any weight


Information and context
•  Your prior information depends on context!
•  And depends on what you know!

•  Just like drawing cards in the game


•  Just harder to specify
•  Intuitive, personal

•  Conclusions must take context into account

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