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Either my intuition is misleading me or my code is wrong. In a nutshell, I have a simple logistic-regression model, and when I look at the posterior distribution of μ, a given unit's probability of succeeding on each trial, I see substantial uncertainty (i.e., variability in the posterior distribution), but when I look at the posterior predictive distribution for a sum of these trials, it looks the same as the binomial distribution implied by a point estimate of μ. Where did the variability go?

Here are the details, in R. I generate the data:

ilogit = function(x) 1 / (1 + exp(-x))

set.seed(10)
N = 20
n = 5
dat =
    transform(f = n - y,
    transform(y = rbinom(N, n, mu),
    transform(mu = ilogit(1 + x1 + x2),
    data.frame(x1 = rnorm(N), x2 = rnorm(N)))))

and fit the model:

fit = glm(data = dat, family = binomial(link = "logit"),
    cbind(y, f) ~ x1 + x2)

We'll look at inferences for the first subject (the first row of dat). To get a predictive distribution for y using only a point estimate of mu (namely, fitted(fit)[1]), we can do this:

plot(table(rbinom(5000, n, fitted(fit)[1])))

Figure 1

This procedure doesn't account for uncertainty about mu. To do that in a Bayesian fashion, we can use sim from the arm package.

library(arm)
sims = sim(fit, 5000)@coef
mu.post = ilogit(
    sims[,"(Intercept)"] +
    sims[,"x1"] * dat$x1[1] +
    sims[,"x2"] * dat$x2[1])

Here's a 95% credible interval for this subject's mu, showing substantial uncertainty.

> quantile(mu.post, c(.025, .975))
     2.5%     97.5% 
0.5528186 0.7749029

We can now plot the real posterior predictive distribution by drawing one point from a binomial distribution per sample of the posterior of mu.

plot(table(rbinom(5000, n, mu.post)))

Figure 2

Which looks the same as the first plot! What's going on?

Now, if you set N to something small, like 5, these figures will no longer match. It makes sense to me that they should indeed match for large N, large enough for mu.post to be tightly concentrated at a single point. But N = 20 isn't that large, going by quantile(mu.post, c(.025, .975)).

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Surprisingly, the variability in your mu.post is indeed small enough to cause this effect. To see this, observe that mu.post has a mean of roughly 0.66 and, if we assume it's close to normally distributed, a standard deviation of only about 0.055 (based on the 2.5th and 97.5th percentiles). That actually is not very big. Now, simulate 5000 binomials with n=5 and p=0.66 and compare with 5000 binomials with n=5 and p~N(0.66,0.055):

x <- rbinom(5000,5,0.66)
x2 <- rbinom(5000,5,rnorm(5000,0.66,0.055))
sd(x)
[1] 1.053512
sd(x2)
[1] 1.081202

table(x)/5000
x
     0      1      2      3      4      5 
0.0032 0.0450 0.1732 0.3328 0.3226 0.1232 
table(x2)/5000
x2
     0      1      2      3      4      5 
0.0050 0.0494 0.1760 0.3180 0.3242 0.1274 

The two tables differ by only 0.0148 at 3 and much less at the other possible values.

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