Skip to main content

Questions tagged [bayesian]

Bayesian inference is a method of statistical inference that relies on treating the model parameters as random variables and applying Bayes' theorem to deduce subjective probability statements about the parameters or hypotheses, conditional on the observed dataset.

2,721 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
13 votes
0 answers
704 views

Help me understand the Bayesian kernel density estimation (Sibisi and Skilling, 1996)

Sibisi and Skilling (1996, also mentioned in the 1997 paper) define Bayesian kernel density as $$ f(x) = \int dx' \,\phi(x')\, K(x, x') \tag{2} $$ Here the kernel $K$ is an assigned smooth ...
Tim's user avatar
  • 139k
12 votes
0 answers
405 views

Official name of a common type of Bayesian simulation study

There is a kind of simulation study that is commonly used to validate an implementation of a Bayesian model: For independent replication $i = 1, ..., n$: Draw a set of "true" parameters ...
landau's user avatar
  • 267
11 votes
2 answers
687 views

Hypergeometric: how do I construct a credibility interval around K (population successes) in R?

I have a problem for which I believe I should use the hypergeometric distribution, but I can't figure out how to do it in R. Say I have a bag of marbles with known number ($N$) of marbles, but the ...
nsheff's user avatar
  • 211
10 votes
3 answers
188 views

How to guess the size of a set?

Assume we have a set of unique words and draw a number $n$ of them using simple-random-sampling without replacement independently in each round. We have several rounds and try to guess the set size ...
timtam's user avatar
  • 203
10 votes
0 answers
178 views

Pope effect on pizza - Regression with presence absence and similarity data as dependent variables

I'm trying to figure out the right way to set up a regression when the dependent variables are presence absence data (of pizzas), and the similarity between the present pizzas. Bear with the story: ...
elsherbini's user avatar
10 votes
0 answers
3k views

Fourier transform of a Gaussian process

I would like to discuss and ask a question regarding the Fourier transform of a Gaussian process, if it makes sense. For that purpose, let me describe the following situation. Let $z(s)$ be a ...
LeFlan's user avatar
  • 101
10 votes
0 answers
146 views

Rationale behind Good–Turing frequency estimation?

Good–Turing frequency estimation is a smoothing estimator for estimating a multinomial distribution. It seems very convoluted. From mathematical statistics point of view, what is the rationale ...
Tim's user avatar
  • 19.6k
9 votes
1 answer
2k views

PyMC3 implementation of Bayesian MMM: poor posterior inference

Google released a whitepaper on Media Mix Modelling (MMM) in 2017; vanilla MMM (established in the 1960s) uses multivariate regression. It's a decent mechanism to understand which of your marketing ...
jbuddy_13's user avatar
  • 3,298
9 votes
0 answers
11k views

Singular fit with simplest random structure in lmer (lme4), is a Bayesian approach the only option?

I'm running a mixed model with the lmer function from the lme4 package in R and ran into some issues with singular fits. I get the warning message 'singular fit', ...
Urs's user avatar
  • 91
9 votes
0 answers
3k views

Implementing Predictive Posterior Distribution Using Stan

Background I had an example that sought to demonstrate the posterior predictive distribution in the context of a normal measurement model. The data that was used is as follows: ...
The Pointer's user avatar
  • 2,002
9 votes
0 answers
3k views

Mean, median, or mode of skewed posterior?

I'm estimating an ICC from 2 and 3-level hierarchical models using rstanarm. The simplest models are: y ~ (1|group) or ...
bjw's user avatar
  • 435
9 votes
0 answers
1k views

Density estimation/approximation from MCMC samples

I'm looking to accurately describe the density function of a multivariate posterior probability distribution based on samples from MCMC. As far as I know, in most cases this is done either with a ...
user3025882's user avatar
9 votes
0 answers
203 views

Generalization of degrees of freedom for t distribution for coefficients after multiple imputation

Donald Rubin has shown that regression coefficient estimates have fatter tails after multiple imputation and has provided a formula for the degrees of freedom to use as a t-distribution approximation ...
Frank Harrell's user avatar
9 votes
0 answers
3k views

Horseshoe priors and random slope/intercept regressions

I'm interested in using the horseshoe prior (or the related hierarchical-shrinkage family of priors) for regression coefficients of a traditional multilevel regression (e.g., random slopes/intercepts)....
C.R. Peterson's user avatar
8 votes
0 answers
62 views

Priors as Controls : Bayesian Regression

I have a general question about Bayesian Regression Modeling and how a prior might be used as a means to control for (close to) simultaneous events. I often face a situation where I have a time series ...
B_Miner's user avatar
  • 8,780
8 votes
0 answers
383 views

Why does Quadratic (Normal/Laplace) Approximation fail on multilevel models?

In Statistical Rethinking, 2nd Edition, section 13.1, Richard McElreath says: Why doesn’t simple quadratic approximation, using for example quap, work with multilevel models? When a prior is itself a ...
January Board's user avatar
8 votes
0 answers
108 views

Trouble replicating simple example of Bayesian inference

On pages 20-21 of John Kruschke's Doing Bayesian Data Analysis book (2nd ed.), there is an introductory illustration of Bayesian inference. We know that balls can have four sizes: 1, 2, 3 and 4, but ...
Wojciech Walczak's user avatar
8 votes
0 answers
1k views

Are Log Predictive Likelihood, Log Predictive Probability, Log Marginal Likelihood and Log Predictive Density same?

I have seen different papers use different terms to express the scoring rules that they used to compare Bayesian models. Some of those terms are, Log Predictive Density (Bayesian Data Analysis - by ...
Nadheesh's user avatar
  • 153
8 votes
1 answer
450 views

Bayesian inference on mean of statistic from population

Suppose that a collection of time intervals $t_i$ have occurred, for $i=1,...,n$. These should be considered as samples from a population governed by some distribution. During these time intervals, ...
Helmut's user avatar
  • 415
8 votes
1 answer
381 views

How to make Bayesian-style inference for a Poisson process?

I am working on a fleet management software recently. Normally, the arrival of merchant request is a Poisson process. That is to say, on average we have a new merchant request every 10 minutes, but ...
user152503's user avatar
  • 1,499
8 votes
0 answers
301 views

Time evolution of a Bayesian posterior

I have a question regarding the time evolution of a quantity related to a Bayesian posterior. Suppose we have binary parameter space $\{ s_1, s_2 \}$ with prior $(p, 1-p)$, The data generating ...
Michael's user avatar
  • 3,328
8 votes
0 answers
568 views

Dealing with dependent data in a Bayesian model

Background: Consider a series of dependent data points, $$ y_1,y_2,y_3,\cdots,y_N. $$ In cases where the dependence is well described by an exponentially decaying auto-correlation function, it is ...
jonalm's user avatar
  • 131
8 votes
0 answers
277 views

Cox's Theorem: ignorance, objective priors, and the Mind Projection Fallacy

I've been trying to understand Cox's Theorem and the problems surrounding it. There's so much information on this topic that I've become confused as to the exact state of the theorem. I've gathered ...
Timsey's user avatar
  • 551
8 votes
0 answers
1k views

Is my OpenBUGS / WinBUGS model well specified?

I've just started trying to use OpenBUGS for Bayesian analysis of stochastic volatility models. In particular, I'm trying to calculate stochastic covariance, similar to the DC-MSV model specified by ...
ch-pub's user avatar
  • 771
8 votes
0 answers
190 views

Question 10.9 from Bayesian Data Analysis, what does accuracy mean here?

I'm doing an independent study in Bayesian Statistics following some chapters from BDA3. When solving the first question from Ch 10 I got stuck. It says: [If] a scalar variable $\theta$ is ...
Fernando Hoces De La Guardia's user avatar
8 votes
0 answers
1k views

Predict random effects in a multilevel model with Empirical Bayes

In multilevel models, it is possible to predict (not estimate) the random effects by Empirical Bayes after the model parameters have been estimated. I know how to use the ...
majom's user avatar
  • 1,032
8 votes
1 answer
6k views

Unscented Kalman filter-negative covariance matrix

I have recently started working on the unscented Kalman filter. I coded the numerically stable version (i.e., square root Kalman filter) and used MATLAB for implementing. In the final update step, ...
Sharad's user avatar
  • 81
8 votes
1 answer
994 views

Generate Posterior predictive distribution at every step in the MCMC chain for a hierarchical regression model

I'm trying to fit a Bayesian Hierarchical regression model with a random correlated coefficients using R ,I'm using data having 160 groups (schools) to fit a model of math score as a function of one ...
Bahgat Nassour's user avatar
7 votes
1 answer
166 views

Posterior consistency for scale-mixture shrinkage priors in low dimension?

Consider the model [1] $$y_n=X_n\beta_n+\epsilon_n$$ $$\beta_i|\sigma^2,v_i \sim \mathcal{N}(0,\sigma^2 v_i), i=1,\ldots,p$$ $$v_i \sim \beta^\prime(a,b)$$ $$\sigma^2 \sim \mathcal{IG}(c,d)$$ where $\...
MrDi's user avatar
  • 129
7 votes
0 answers
142 views

How many sides and what are the probabilities of each side for an unfair die?

Problem I would like to run an inference that predicts from a series of die rolls, how many sides the die has, and what is the probability of landing on each side. Example For example, imagine a die ...
astroH's user avatar
  • 71
7 votes
0 answers
678 views

How to explain the difference between confidence and credible interval?

The key difference between Bayesian statistical inference and frequentist statistical methods concerns the nature of the unknown parameters that you are trying to estimate. In the frequentist ...
amarykya_ishtmella's user avatar
7 votes
0 answers
413 views

Robust Gamma Regression

I am modeling some spectroscopic data where the response of the instrument to the size of the input is strictly positive and non-linear. Gamma regression seems like a good choice to explain the data, ...
udushu's user avatar
  • 223
7 votes
0 answers
192 views

Including feature-dependent priors on output class, in bayesian logistic regression

When doing logistic regression with data $D_N = \{(x_i, y_i)\}_i^N$ with $x_i \in \mathbf{X}^N$ (each data point has N features) and $y_i \in \mathbf{Y}$ being assigned output classes, in a Bayesian ...
hirschme's user avatar
  • 1,130
7 votes
0 answers
144 views

A puzzling observation by Bradley Efron in his article in Science regarding Bayes’ Theorem in the 21st Century

Mr. Effron has published an interesting article in Science magazine with the enticing title "Bayes' Theorem in the 21st Century". The article is quite short and can be found here: http://web.ipac....
user8270077's user avatar
7 votes
0 answers
2k views

How to use LDA to predict topic proportion for new document?

I'm interested to learn how I can use a trained LDA (Latent Dirichlet Allocation) model to make predictions on the topic proportion of a new, unseen document using Naive Bayes. Let $z \in \{1, 2, ......
zzhengnan's user avatar
  • 171
7 votes
1 answer
712 views

Adding a magnitude penalty to a GAM

This is a follow-up to a previous question of mine, explaining the problem in more detail in the hopes of getting more precise advice. Consider the following structured additive regression model or ...
Paul's user avatar
  • 10.9k
7 votes
0 answers
92 views

Bayesian prior over long probability vectors

Suppose you have i.i.d. variables $x_i$ in ${1,\ldots,K}$ modeled as $$P(x_i = k) = \theta_k$$ and and you want to infer the probability vector $\theta$. A Bayesian approach puts a prior over $\...
Kevin S. Van Horn's user avatar
7 votes
0 answers
146 views

Bayesian inference via approximate data likelihood

Suppose that we have a very large i.i.d. sample $x_1,...,x_n$ and a data likelihood defined by $$p(x | \theta,\beta) = \prod_ip(x_i | \theta,\beta)$$. Further suppose that $\theta$ is the parameter ...
rasta's user avatar
  • 176
7 votes
0 answers
2k views

Dealing with auxiliary random variables for Mean-Field Variational Inference in Bayesian Poisson factorization

I am studying as a part of a class assignment a recent paper on Poisson factorization. Some points of the paper regarding the usage of some auxiliary variables are not clear to me. I would like to ...
Alex Crychek's user avatar
7 votes
0 answers
279 views

Cox's Theorem: the necessity of (un)countably additivity

I've been trying to understand Cox's Theorem and the problems surrounding it. There's so much information on this topic that I've become confused as to the exact state of the theorem. I've gathered ...
Timsey's user avatar
  • 551
7 votes
0 answers
3k views

Help with a proof of Bayes classifier optimality

I have a class assignment to provide a proof that Bayes classifier for the two label version is optimal in that it's error rate is always ${\le}$ any other classifier. I've never worked through a ...
Zack Newsham's user avatar
7 votes
0 answers
238 views

why use diagonal $\Sigma$ when working with Bayes decision theory?

My prof. said in the class that for Bayes decision rule, the likelihood is Gaussian and in practice, we will almost always work with a diagonal $\Sigma$. Why is that? I know that a diagonal $\Sigma$ ...
nSv23's user avatar
  • 235
7 votes
0 answers
169 views

Is this problem Bayesian? And can I use variational approximation?

Suppose there are $N$ samples of observations $\mathbf X(n)$ ($n=1,\cdots,N$), which are given by probability distribution $p(\mathbf X(n)|\mathbf Z(n))$ with their conditions are given by hidden ...
S. Miyabe's user avatar
7 votes
0 answers
2k views

Parameter Estimation for Naive Bayes - Maximum a posteriori and Maximum Likelihood

I am wondering if I understand those terms correctly. To summarize my thoughts: In naive Bayes, our decision rule is basically the Maximum a posteriori (MAP) estimate of our hypothesis. We assign an ...
user avatar
7 votes
3 answers
715 views

Credit Risk and Concentration

I am working with a UK credit-union and we are looking to build a model to assess our credit risk and changes to this over time. We have a number of loans to borrowers who each have a credit rating (...
DumahUk's user avatar
  • 71
7 votes
0 answers
1k views

Bias Variance tradeoff from a Bayesian perspective

I know the general question about bias variance has been asked before. I understand the frequentist approach and the concept of model selection and the impact of bias and variance on "accuracy" of a ...
dazedandconfused's user avatar
7 votes
0 answers
2k views

Combining posterior probabilities from multiple classifiers

I am new to machine learning and can't get my head around this problem. I have two patient datasets, the first ($D_1$) contains $Y,Z,X$ that convey blood-sample information and the second ($D_2$) ...
user31230's user avatar
  • 111
7 votes
0 answers
966 views

Variance of marginal posterior distribution

Suppose $Y_1,\dots,Y_n\mid\mu,\sigma^2 \sim \text{ iid } N(\mu,\sigma^2)$ and suppose the priors $\mu \mid \sigma^2 \sim N(\mu_0, \sigma^2 / \kappa_0)$ and $1/\sigma^2 \sim \text{gamma}(\nu_0/2, \nu_0 ...
CCL's user avatar
  • 216
7 votes
0 answers
6k views

Conjugate of Weibull with shape known

This isn't exactly a homework problem but rather a self-selected problem I'm doing to prepare for a midterm. I can see from Wikipedia that it is an inverse gamma but I am unable to reach the ...
Meadowlark Bradsher's user avatar
6 votes
1 answer
177 views

No more than $n$ moose, but how many?

Introduction I am thinking about how to estimate the number of individual moose from wildlife camera photos. I have the latitude and longitude position of each observation, along with a datetime of ...
Galen's user avatar
  • 9,229

1
2 3 4 5
55