Introduction to Bayesian Methods

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

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Introduction to Bayesian Methods

  1. 1. Introduction to Bayesian Methods Theory, Computation, Inference and PredictionCorey ChiversPhD CandidateDepartment of BiologyMcGill University
  2. 2. Script to run examples inthese slides can be foundhere:bit.ly/Wnmb2WThese slides are here:bit.ly/P9Xa9G
  3. 3. Corey Chivers, 2012
  4. 4. The Likelihood Principle ● All information contained in data x, with respect to inference about the value of θ, is contained in the likelihood function: L | x ∝ P X= x |  Corey Chivers, 2012
  5. 5. The Likelihood Principle L.J. Savage R.A. FisherCorey Chivers, 2012
  6. 6. The Likelihood Function L | x ∝ P X= x |   L | x =f  | x  Where θ is(are) our parameter(s) of interest ex: Attack rate Fitness Mean body mass Mortality etc...Corey Chivers, 2012
  7. 7. The Ecologists Quarter Lands tails (caribou up) 60% of the timeCorey Chivers, 2012
  8. 8. 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
  9. 9. 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
  10. 10. 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(θ|x) !!!! t =1 h=1 = 0.03456Corey Chivers, 2012
  11. 11. 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
  12. 12. P(data | H0) P(H | data) But we both want to make inferences about our hypotheses, not the data.Corey Chivers, 2012
  13. 13. Bayes Theorem ● The posterior probability of θ, given our observation (x) is proportional to the likelihood times the prior probability of θ. P  x |   P  P | x= P  xCorey Chivers, 2012
  14. 14. The Ecologists Quarter Redux Lands tails (caribou up) 60% of the timeCorey Chivers, 2012
  15. 15. 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
  16. 16. Likelihood of data given hypothesis P( x | θ) But we want to know P(θ | x )Corey Chivers, 2012
  17. 17. ● How can we make inferences about our ecologists quarter using Bayes? P( x | θ) P(θ) P(θ | x )= P( x )Corey Chivers, 2012
  18. 18. ● How can we make inferences about our ecologists quarter using Bayes? Likelihood P  x |   P  P | x= P  xCorey Chivers, 2012
  19. 19. ● How can we make inferences about our ecologists quarter using Bayes? Likelihood Prior P( x | θ) P(θ) P(θ | x )= P( x )Corey Chivers, 2012
  20. 20. ● How can we make inferences about our ecologists quarter using Bayes? Likelihood Prior P  x |   P  P | x= Posterior P  xCorey Chivers, 2012
  21. 21. ● 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
  22. 22. Randomization to Solve Difficult Problems ` Feynman, Ulam & Von Neumann ∫ f  d Corey Chivers, 2012
  23. 23. 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
  24. 24. Your turn...Lets use Monte Carlo to estimate π- 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
  25. 25. Your turn...Estimate π using the formula: ≈4 # in circle / total
  26. 26. Now using a more powerful computer!
  27. 27. 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
  28. 28. Corey Chivers, 2012
  29. 29. 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
  30. 30. MCMC in Action!Corey Chivers, 2012
  31. 31. ● Weve solved our integration problem! P  x |   P  P | x= P  x P | x∝ P x |  P Corey Chivers, 2012
  32. 32. 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
  33. 33. ##@ 2.1 @##Corey Chivers, 2012
  34. 34. Example: Salmon Regression Model Priors Y =a+ bX +ϵ a ~ Normal (0,100) ϵ ~ Normal( 0, σ) b ~ Normal (0,100) σ ~ gamma (1,1/ 100) P( a , b , σ | X , Y )∝ P( X ,Y | a , b , σ) P( a) P(b) P( σ)Corey Chivers, 2012
  35. 35. Example: Salmon Regression Likelihood of the data (x,y), given the parameters (a,b,σ): n P( X ,Y | a , b , σ)= ∏ N ( y i ,μ=a+ b x i , sd=σ) i=1Corey Chivers, 2012
  36. 36. Corey Chivers, 2012
  37. 37. Corey Chivers, 2012
  38. 38. Corey Chivers, 2012
  39. 39. ##@ 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 =ab BL an effect on egg mass?Corey Chivers, 2012
  40. 40. 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
  41. 41. Corey Chivers, 2012
  42. 42. Example: Salmon Regression Informative Model Priors EM =ab BL a ~ Normal (−3.1,1 .2)  ~ Normal 0,  b ~ Normal (0.6,0 .1)  ~ gamma1,1 /100 Corey Chivers, 2012
  43. 43. 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
  44. 44. 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
  45. 45. Aleatory Stochasticity, randomnessEpistemic Incomplete knowledge
  46. 46. ##@ 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
  47. 47. Corey Chivers, 2012
  48. 48. P(EM>35mg | θ)Corey Chivers, 2012
  49. 49. Extensions: Clark (2005)
  50. 50. 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
  51. 51. Summary ● The output of a Bayesian analysis is not a single estimate of θ, but rather the entire posterior distribution., which represents our degree of belief about the value of θ. ● To get a posterior distribution, we need to specify our prior belief about θ. ● Complex Bayesian models can be estimated using MCMC. ● The posterior can be used to make both inference about θ, and quantitative predictions with proper accounting of uncertainty.Corey Chivers, 2012
  52. 52. Questions for Corey● You can email me! Corey.chivers@mail.mcgill.ca● I blog about statistics: bayesianbiologist.com● I tweet about statistics: @cjbayesian
  53. 53. 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

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