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In short, Below, I'm asking why the analytical way of getting the posterior for the difference between two proportions (binomial data) and simulation way of the same don't match?

(Note: All code is R code)

Details

Suppose I have the following information for two groups (g1 and g2) of binomially distributed data:

g1.trials = g2.trials = 100

g1.success = 55                   ;    g2.success = 45
g1.fail = g1.trials - g1.success  ;    g2.fail = g2.trials - g2.success 

with prior information for a beta distribution:

alpha1 = alpha2 = 1.1
 beta1 =  beta2 = 1.1

My goal is to obtain the posterior probability distribution for $\Delta~(p_1 -p_2)$ i.e., the difference between "true proportion in group 1 - true proportion in group 2".

Simulation solution:

It is widely known the the posterior for each group is:

set.seed(0)
post.p1 = rbeta(1e6, alpha1 + g1.success, beta1 + g1.fail)
post.p2 = rbeta(1e6, alpha2 + g2.success, beta2 + g2.fail)

And their difference i.e., $\Delta~(p_1 -p_2)$ is:

delta.p = post.p1 - post.p2  # the difference

hist(delta.p, freq = FALSE, xlab = bquote(Delta[~(p[1]-p[2])]))

med = median(delta.p)                    # 0.09822197
CI = quantile(delta.p, c(0.025, 0.975))  # -0.03834067  0.23272198 

Analytical solution:

We follow the usual Bayesian way (i.e., for each group: prior x likelihood):

prior1 = function(x) dbeta(x, alpha1, beta1);
 like1 = function(x) dbinom(g1.success, g1.trials, x);
    k1 = integrate(function(x) prior1(x)*like1(x), 0, 1)[[1]];
 post1 = function(x) prior1(x)*like1(x) / k1;

prior2 = function(x) dbeta(x, alpha2, beta2);
 like2 = function(x) dbinom(g2.success, g2.trials, x);
    k2 = integrate(function(x) prior2(x)*like2(x), 0, 1)[[1]];
 post2 = function(x) prior2(x)*like2(x) / k2;

kdelta = integrate(function(x) post1(x) - post2(x), 0, 1)[[1]];

postdelta = function(x) post1(x) - post2(x) / kdelta;

curve(postdelta, xlab = bquote(bold(Delta[~(p[1]-p[2])]))) # completely different!
(mode = optimize(postdelta, 0:1, maximum = TRUE)[[1]]) # 0.4500863 Completely different 
                                                       # from simulation median!!!!!
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The distribution of the difference of two random variables $X$ and $Y$, $X-Y$, is not the difference of their distributions, $f_X-f_Y$.

The general derivation of the density of $X-Y$ is the convolution formula $$f_{X-y}(z)=\int_\mathcal{X}f_X(x)f_y(x-z)\text{d}x$$

In the case of two Beta variates, $X\sim\mathcal{B}e(\alpha+n_1,\beta+n_2)$ and $Y\sim\mathcal{B}e(\alpha+m_1,\beta+m_2)$ the density of the difference $X-Y$ is thus provided by \begin{align*}f_{X-y}(z)&=\int_\mathcal{X}f_X(x)f_y(x-z)\text{d}x\\ &=\text{B}(\alpha+n_1,\beta+n_2) \text{B}(\alpha+m_1,\beta+m_2)\\ &\times\int_{\max\{0,z\}}^{\min\{1,1+z\}} x^{\alpha+n_1-1}(1-x)^{\beta+n_2-1} (x-z)^{\alpha+m_1-1}(1-x+z)^{\beta+m_2-1}\text{d}x\end{align*} for which there is a closed form expression when $\alpha$ and $\beta$ are integers, since the integrand is then a polynomial in $x$.

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  • $\begingroup$ Xi'an, OP seems to wanted to know more that what you have very briefly provided. It will be useful to provide a fuller response focused on Beta random variables. $\endgroup$ – Reza Dec 12 '17 at 22:17

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