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.
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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♦
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Is probability fundamentally about reference classes (real or imagined)?
Question: It seems that frequentism and Bayesianism may not really be different as far as the the ultimate basis for what a probability is (relative frequency within a reference class) - it's just ...
user75138
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What does "def" above an equals sign mean?
I am reading this:
https://www.cs.ubc.ca/~murphyk/Papers/bayesGauss.pdf
and on equation (17), there is a def on top of the equal sign. What does this mean?
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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 ...
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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 ...
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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:
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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 ...
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Model checking in bayesian stats considered "virtually illegal" in the 90's (Andrew Gelman's quote)
In this post, Andrew Gelman says:
Bayesian inference can make strong claims, and, without the safety
valve of model checking, many of these claims will be ridiculous. To
put it another way, ...
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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
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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:
...
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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 ...
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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 ...
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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 ...
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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)....
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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 ...
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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 ...
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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 ...
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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', ...
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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 ...
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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 ...
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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, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 $\...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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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....
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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, ......
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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 ...
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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 $\...
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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 ...
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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 ...
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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 ...
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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 ...
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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 $\Sigma$ ...
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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 ...
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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 ...
user39663
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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 (...
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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 ...
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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 ($D_2$) ...
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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 ...
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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 ...
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