# Bayesian analysis with histogram prior. Why draw simulations from the posterior?

This is a beginner’s question on an exercise in Jim Albert’s “Bayesian Computation with R”. Note that while this might be homework, in my case it is not, as I am learning Bayesian methods in R because I think I might use it in my future analyses.

Anyways, while this is a specific question, it probably involves basic understanding of Bayesian methods.

So, in exercise 2.2, Jim Albert asks us to analyse the experiment of a penny throw. See here. We are to use a histogram prior, that is, divide the space of possible p values in 10 intervals of length .1 and assign a prior probability to these.

Since I know that the true probability will be .5, and I think it is highly unlikely that the universe has changed laws of probability or the penny is rugged, my priors are:

prior <- c(1,5,20,100,5000,5000,100,20,5,1)
prior <- prior/sum(prior)


along the interval midpoints

midpt <- seq(0.05, 0.95, by=0.1)


So far so good. Next, we spin the penny 20 times and record the number of successes (heads) and failures (tail). Easily done:

y <- rbinom(n=20,p=.5,size=1)
s <- sum(y==1)
f <- sum(y==0)


In my expeniment, s == 7 and f == 13. Next comes the part that I do not understand:

Simulate from the posterior distribution by (1) computing the posterior density of p on a grid of values on (0,1) and (2) taking a simulated sample with replacement from the grid. (The function histprior and sample are helpful in this computation). How have the interval probabilities changed on the basis of your data?

This is how it is done:

p <- seq(0,1, length=500)
post <- histprior(p,midpt,prior) * dbeta(p,s+1,f+1)
post <- post/sum(post)

ps <- sample(p, replace=TRUE, prob = post)


But why do we do that?

We can easily obtain the posterior density by multiplying the prior with the appropriate likelihood, as done in line two of the block above. This is a plot of the posterior distribution: As the posterior distribution is ordered, we can obtain results for the intervals introduced in the histogram prior by summarizing over elements of the posterior density:

post.vector <- vector()
post.vector <- sum(post[p < 0.1])
post.vector <- sum(post[p > 0.1 & p <= 0.2])
post.vector <- sum(post[p > 0.2 & p <= 0.3])
post.vector <- sum(post[p > 0.3 & p <= 0.4])
post.vector <- sum(post[p > 0.4 & p <= 0.5])
post.vector <- sum(post[p > 0.5 & p <= 0.6])
post.vector <- sum(post[p > 0.6 & p <= 0.7])
post.vector <- sum(post[p > 0.7 & p <= 0.8])
post.vector <- sum(post[p > 0.8 & p <= 0.9])
post.vector <- sum(post[p > 0.9 & p <= 1])


(R experts might find a better way to create that vector. I guess it might have something to do with sweep?)

round(cbind(midpt,prior,post.vector),3)

midpt prior post.vector
[1,]  0.05 0.000       0.000
[2,]  0.15 0.000       0.000
[3,]  0.25 0.002       0.003
[4,]  0.35 0.010       0.022
[5,]  0.45 0.488       0.737
[6,]  0.55 0.488       0.238
[7,]  0.65 0.010       0.001
[8,]  0.75 0.002       0.000
[9,]  0.85 0.000       0.000
[10,]  0.95 0.000       0.000


Furthermore, we have 500 draws from the posterior distribution that tell us nothing different. Here is a plot of the density of the simulated draws: Now we use the simulated data to obtain probabilities for our intervals by counting what proportion of simulations are within the interval:

sim.vector <- vector()
sim.vector <- length(ps[ps < 0.1])/length(ps)
sim.vector <- length(ps[ps > 0.1 & ps <= 0.2])/length(ps)
sim.vector <- length(ps[ps > 0.2 & ps <= 0.3])/length(ps)
sim.vector <- length(ps[ps > 0.3 & ps <= 0.4])/length(ps)
sim.vector <- length(ps[ps > 0.4 & ps <= 0.5])/length(ps)
sim.vector <- length(ps[ps > 0.5 & ps <= 0.6])/length(ps)
sim.vector <- length(ps[ps > 0.6 & ps <= 0.7])/length(ps)
sim.vector <- length(ps[ps > 0.7 & ps <= 0.8])/length(ps)
sim.vector <- length(ps[ps > 0.8 & ps <= 0.9])/length(ps)
sim.vector <- length(ps[ps > 0.9 & ps <= 1])/length(ps)


(Again: Is there a more efficient way to do this?)

Summarize results:

round(cbind(midpt,prior,post.vector,sim.vector),3)

midpt prior post.vector sim.vector
[1,]  0.05 0.000       0.000      0.000
[2,]  0.15 0.000       0.000      0.000
[3,]  0.25 0.002       0.003      0.000
[4,]  0.35 0.010       0.022      0.026
[5,]  0.45 0.488       0.737      0.738
[6,]  0.55 0.488       0.238      0.236
[7,]  0.65 0.010       0.001      0.000
[8,]  0.75 0.002       0.000      0.000
[9,]  0.85 0.000       0.000      0.000
[10,]  0.95 0.000       0.000      0.000


It comes to no surprise that the simultion produces no other results than the posterior, on which it was based. Thus, why did we draw those simulations in the first place?

• I'm not totally sure, since I'm also a Bayes newbie. But my guess would be that simulations of posterior densities are introduced early in Bayesian texts so that more advanced techniques like MCMC are more intuitive. Just a guess, though. – Sycorax May 2 '13 at 12:02
• Bayesian specialist here. DJE's guess is 100% correct. – Cyan May 2 '13 at 15:58
• Alright. So if I assume, later on simulations well be used instead of the posterior distributions. But the simulations can only be drawn if the posterior distribution is known, as seen in ps <- sample(p, replace=TRUE, prob = post)! Am I right in assuming that this will change for more advanced simulation techniques? – mzuba May 3 '13 at 8:17

post.vector <- vector()
post.vector <- sum(post[p < 0.1])
post.vector <- sum(post[p > 0.1 & p <= 0.2])
post.vector <- sum(post[p > 0.2 & p <= 0.3])
post.vector <- sum(post[p > 0.3 & p <= 0.4])
post.vector <- sum(post[p > 0.4 & p <= 0.5])
post.vector <- sum(post[p > 0.5 & p <= 0.6])
post.vector <- sum(post[p > 0.6 & p <= 0.7])
post.vector <- sum(post[p > 0.7 & p <= 0.8])
post.vector <- sum(post[p > 0.8 & p <= 0.9])
post.vector <- sum(post[p > 0.9 & p <= 1])


The easiest way to do it using base R is:

group <- cut(p, breaks=seq(0,1,0.1), include.lowest = T)
post.vector.alt <- aggregate(post, FUN=sum, by=list(group))


Note that the breaks go from 0 to 1. This yields:

     Group.1            x
1    [0,0.1] 3.030528e-13
2  (0.1,0.2] 1.251849e-08
3  (0.2,0.3] 6.385088e-06
4  (0.3,0.4] 6.732672e-04
5  (0.4,0.5] 2.376448e-01
6  (0.5,0.6] 7.372805e-01
7  (0.6,0.7] 2.158296e-02
8  (0.7,0.8] 2.691182e-03
9  (0.8,0.9] 1.205200e-04
10   (0.9,1] 3.345072e-07


And we have:

> all.equal (post.vector.alt\$x, post.vector)
 TRUE


My understanding is that since the posterior density obtained from the product of prior density and likelihood is just an APPROXIMATE of the posterior density, thus we cannot make any EXACT inference from it directly.

Consequently, we need to take a random sample from it, and conduct inference from the sample, just like the simulation method for the posterior from beta family.

• The posterior density obtained from the product of the prior and likelihood IS the posterior density, not an approximation thereto, except insofar as the prior and likelihood functions are themselves approximations - an issue which simulation from the posterior won't fix. – jbowman Sep 23 '18 at 17:15