Questions tagged [decision-theory]
Decision theory is the science of making optimal decisions in the face of uncertainty. Statistical decision theory is concerned with the making of decisions when in the presence of statistical knowledge (data) which sheds light on some of the uncertainties involved in the decision problem.
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Clarification Question from Berger's Statistical Decision Theory (Chapter 1, Exercise 12 a))
I have a CS background with intro stats courses, and currently, I am working through Berger's Statistical Decision Theory (the theoretical questions).
I'd like to ask a clarification question: this is ...
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Population bias in survey leading to inaction
This isn’t exactly an academic statistics question, but it is a real problem that I’m trying to understand with regards to bias in survey statistics leading to issues in real-world decision making.
I’...
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Questions regarding power of test and type II error
I´m preparing for a lecture in decision theory and I´m a little bit confused by the notation used by my prof.
On the first slide under remark 3.2 point v) its written, that $\beta(\varphi)$ is equal ...
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Majority vote method for regression trees when there are two peaks
For the majority vote method in statistical regression trees, I should get the most common occurrence in the data. However, there are two such peaks in the following data:
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Modeling multiple-choice data
In my experiment, participants had to make a series of decisions between different options. On each trial, they were presented with a different number of options to choose from, and each option varied ...
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N-ary decision tree with categorical features
I want to build an n-ary decision tree with categorical features.
I am using ordinary ID3 algorithm to build a tree.
Lets take the next dataset as a training dataset for building a decision tree:
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Understanding what defines a Bayes optimal classifier in classification tasks
Say we are given a data-distribution $D$ over $\mathcal{X} \times \mathcal{Y}$, where $\mathcal{X}$ is our input/feature space and $\mathcal{Y}$ the set of (discrete) labels. Hence, $D$ is a joint-...
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How to derive a decision rule as derived from Bayes rule?
I have a dataset consisting of 5 classes and the prior probability is $p(\omega_c)=\frac{|D_c|}{\sum_{i = 1}^{5}|D_i|}$. Suppose each class $c$ associated with the likelihood $p(x|ω_c)\,=\,\text{N}(\...
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How to estimate when an event of interest is overdue?
I'm looking for a principled way to estimate when an event of interest is overdue (a binary decision/alert), not just predicting when it is supposed to happen.
In the survival analysis literature I ...
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Choosing action that maximize expectation but with uncertain estimates
Hi CrossValidated community,
I am looking to understand how to adjust the typical bayesian decision theory to a situation when probability estimates have high uncertainty. In my specific case I am <...
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How did the probability change to integral in bishop's 1.78 formula
In the equation R is the decision region and C is the classification.
I don't understand how did he go from probability to integral!
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kNN Classifier Asymptotic Error Rate versus Bayes Error Rate
Suppose we are in the realm of $M$ class classification, $M \in \mathbb{N}$. I have seen the following result stated many times, but only proven for the case $k = 1$. I would like to prove it for ...
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How do I build a decision tree model with a dataset that only has categorical values
kI'm trying to build a decision tree model on a dataset that only has categorical values, an example fragment of the dataset is below. My training dataset consists of 40 observations
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How to combine information from expected losses for a multiparameter model?
I have Y~N(mean, variance), then the expected loss for each parameter, mean, E[L(mean,d*)], and variance E[L(variance,d*)]. I want to have a measure that integrates both expected losses.
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Can we use drift diffusion model for three-alternative forced choices?
It is well known that the classic drift-diffusion model (DDM) was proposed for two alternative forced choices. However, is it possible to use the DDM for an experiment with three alternative forced ...
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Randomly choose between options with multiple criteria
Here's the problem:
I have some options. Each is represented with three attributes or say criteria (with normalized values between 0 and 1). I want to randomly choose one of these options based on ...
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Is this decision rule well-known/optimal in some setting?
First, you'll have to forgive me if my exposition of this is not the best, I am a computer scientist, not statistician.
I have a certain classification task where I am given two (say discrete for ...
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Are there any (exponential) families without a minimal sufficient statistic?
Bahadur's theorem says that if a minimal sufficient statistic exists, then a complete sufficient statistic is also minimal sufficient.
Are there any (homogenous, identifiable) families with a complete ...
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How would you compare competing Bayesian hierarchical models that are estimating the same time-series?
Suppose we have two models $\mathcal{M}_1$ and $\mathcal{M}_2$ that attempt to estimate a time-series $\boldsymbol{\theta}$. Let's assume that I actually know the true values for $\boldsymbol{\theta}$....
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How to eliminate constant to derive the decision rule in terms of the sufficient statistic $\bar{X}$ for normal distribution means hypothesis test?
Suppose that we have a random sample, of size $n$, from a population that is normally-distributed. Both the mean, $\mu$, and the standard deviation, $\sigma$, of the population are unknown. We want to ...
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Interpretation of decision curve analysis
I have read but apparently not internalized many of the resources at decisioncurveanalysis.org
I would like to report DCA for a predictive model. The results of my DCA are visually similar to this ...
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Does scoring rules really only apply to categorical outcomes?
The wikipedia article on scoring rule says that
It is applicable to tasks in which predictions must assign probabilities to a set of mutually exclusive outcomes or classes. The set of possible ...
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Drift-diffusion model: Can the accumulated evidence be expressed as probability?
For a reaction-time model, I am considering whether I can compare 1) a probabilistic classifier or survival model and 2) a drift-diffusion model (DDM). I am interested in predicting reaction ...
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A Proper Conjugate Model for A/B Test for Revenue per Click (RPC)
What would be a proper Conjugate Posterior model for Earning / Revenue per Click in A/B test?
The data is the total number of visitors and the total revenue per day per variant (A and B).
What are the ...
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James-Stein estimator with multiple samples
Let $X_1, \dots, X_n \in \mathbb{R}^p$ be i.i.d. samples from the $p$-normal distribution $N(\theta, \tau^2 I)$. Suppose we are interested in estimating $\theta$ with known variance $\tau^2$. Take the ...
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Does a high-listed attribute in a Decision Tree represent a major cause for the target class?
I am wondering about two questions:
Let us assume we have a Decision Tree, which wants to predict health. If the attribute "smoking (yes/no/occasionally)" is listed relatively high in the ...
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How to Build a Model with Correlation / Statistical Dependency for Bayesian A / B Testing
I use the Beta Binomial model for A/B testing.
I wonder if there a way to build a model in PyMC which models correlation between the conversion rate of group A with ...
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Which predictive models output the posterior distribution?
In a supervised learning context, the posterior distribution of the target given the predictors is often discussed in foundational treatments of the subject. One way this comes up is in decision ...
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Please help me understand a Figure in Bishop's "Pattern Recognition and Machine Learning", Sec 1.5.1 Minimizing the misclassification rate
The figure is Figure 1.24 on page 40 of Bishop's "Pattern Recognition and Machine Learning", Sec 1.5.1 Minimizing the misclassification rate:
I don't understand this figure, starting from &...
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Please help me understand a sentence in Bishop's "Pattern Recognition and Machine Learning"
The sentence is in section 1.5.1 "Minimizing the misclassification rate" (page 39), underlined in red:
The author thinks this statement is "clear", but I just can't understand. ...
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A Frequentist approach to modeling uncertainty around decision optimization
I'm curious about how a Frequentist would approach an optimization problem, where said problem is constructed using inferred parameters. As an example, I'll use price optimization given a demand curve....
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Computing the Bayesian Estimator with Jeffreys prior for the Gamma distribution
Question:
Let $X_1, · · · , X_n$ be a random sample from $Gamma(1, θ)$. The population mean is $θ$. Assume that the Jeffreys prior is used.
Find the generalized Bayesian estimator of θ under the SEL (...
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Generalized Bayesian estimator (rule) of θ
Question:
Let $X_1, · · · , X_n$ be a random sample from $Poisson(θ)$. The prior for θ is $G(α, β)$
Find the Bayesian estimator (rule) of θ under the SEL(squared error loss).
Find the generalized ...
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Why do we need the concept of Risk in Bayesian Decision theory?
I'm studying Bayesian decision theory as introduction to machine learning and I see the concept of Risk in a lot of places. In the course I read, they define risk as:
Risk is the expected error ...
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Summarization and resources for Bayesian decision theory
Looking for textbooks and/or resources to get familiar with Bayesian decision making. I have the book, Statistical Rethinking, by Richard McElreath and I've found this to be a really great resource ...
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Bayes Risk Not Connected to Observed Data
It puzzles me that the Bayes risk seems not connected to the observed data. Let me illustrate this with an example. Let a coin toss follow a Bernoulli distribution with a hidden parameter $\theta$ and ...
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Loss function in Supervised Learning vs Statistical Decision Theory
I am confused by the different definitions of Loss Function in statistical decision theory vs machine learning.
In statistical decision theory, a loss function is typically defined as $L(\theta, \...
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There is no decision theory that isn’t Bayesian... or is there?
David Manheim says in a comment under a blog post:
If you’re not making decisions, there’s no need for Bayes. If you are, you’re Bayesian whether you like it or not – there is no decision theory that ...
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James-Stein-style estimator when we place greater importance on some components
The James-Stein estimator allows us to get a better overall estimate of a mean vector (length $\ge 3$) than we would be able to get by estimating the components independently. My intuition is that, ...
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Multiple hypothesis testing: lower bound for sample complexity of finding the different one
We have $m$ distributions $D_1,\dots,D_m$. We know that $m-1$ of them are $\mathcal{N}(\epsilon,\sigma^2)$ ($\epsilon>0$) and one of them is $\mathcal{N}(0,\sigma^2)$, but we don't know which one ...
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Is a constant ever inadmissible?
For now, assume square loss. Let's estimate some parameter $\theta$, such as $\theta = \mu$ in $N(\mu, 1)$.
Is there ever a case where there is no such $c$ to make $\hat{\theta} = c$ an admissible ...
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What is an example of a loss function that is not minimized by the conditional expectation?
From statistical decision theory we know that if we want to minimize EPE (Expected prediction error) it is sufficient to minimize the conditional expectation of the loss function.
$f(x) = argmin_{c} ...
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Cold Start and First Price Auctions
I have the following contrived scenario... I've participated on various auction platforms where I bid on widgets. Assume that win/loss outcomes on individual platforms are well-separated such that for ...
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Regression tree
Self-study question
Given $(y_i, x_i)$, $i = 1, . . . , n$, where $y_i \in \mathbb{R}$ and $x_i ∈ R ⊂ \mathbb{R}^p$.
Show that $\displaystyle \sum_{i:x_i \in R_1}(y_i − \hat{y}_{R_{1}})^2 +\sum _{i:...
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Decision Theory: Why is it called a "least favorable prior"?
I'm currently reading the chapter on Statistical Decision Theory in Larry Wasserman's "All of Statistics". Reading the section 13.4 about Minimax Rules he introduces the so called Least ...
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How is the threshold parameter practically selected for Scikit learn's decision tree algorithm and how to determine depth of tree?
I am referring to the so-called optimized CART algorithm that is explained on Scikit learn's website: https://scikit-learn.org/stable/modules/tree.html#mathematical-formulation
I would appreciate if ...
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Random forest that aggregates by taking the maximum over the trees instead of taking the average
I want to make a Random forest that aggregates by taking the maximum over the decision trees instead of taking the average.
By default Sklearn is taking the average, and I couldn't find how to change ...
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Better methodologies to make causal recommendations from correlated data?
I work as a data scientist at a SAAS company. We have an outcome variable, Y, that we consider "success" for our customers. We have a bunch of additional outcome variables X1, X2, X3 that ...
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Is $\frac1{n+1}\sum_{i=1}^n(X_i-\overline X)^2$ an admissible estimator for $\sigma^2$?
Consider a sample $X_1,X_2,\ldots,X_n$ from a univariate $N(\mu,\sigma^2)$ distribution where $\mu,\sigma^2$ are both unknown. Then it is known that under squared error loss, the sample variance $s^2=\...
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MSE of randomized decision in Normal distribution
Suppose a sample $\bf{X}$$=(X_1,...,X_n)$ is from $X\sim N(\theta,1)$. The sample mean $T(\bf{X}$$)=\bar{X}$ is sufficient to the population mean $\theta$.
For $\delta(\bf{X}$$)=X_1$, the decision $\...
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