October 23, 2013

Simulation IV: Quantifying Uncertainty with Simulations (Introduction to Statistical Computing)

(My notes for this lecture are too fragmentary to write up properly; here's the sketch.)

Two forms of statistical uncertainty: (I) How much would our answers change if the data were different? (II) How diverse are the answers which don't make use hate ourselves or our data?

For (I), the main issue is the sampling distribution: what distribution of answers would our procedures deliver if we re-ran the experiment many times? Since we can't re-run the experiment, a simulation method of approximating the sampling distribution is the bootstrap. This relies on probabilistic assumptions about how the data were generated, and so about which simulation to run.

For (II), the main issue is that if we get really weird answers, we're reluctant to accept them, but sometimes the data force us to give up our pre-conceptions. Bayesian inference is a way of trying to formalize this, by introducing biases that favor some parts of the parameter space over others. In fact, we try using lots and lots of different parameter values, but with different weights. Bayesian updating is reinforcement learning/evolutionary search with a fitness function proportional to the likelihood. The Bayesian posterior is the population of parameter values which have survived our selective breeding. Rather than actually calculating the posterior, though, we usually use Markov chain Monte Carlo and get a (dependent) sample from the posterior distribution. N.B., the Markov chain for the MCMC is not a model of the original process, which we're generally not simulating.

WARNING: Bayesian uncertainty will generally not match the uncertainties we'd get from repeated sampling. Intervals that hold 95% of the posterior weight might include the true parameter value only 5% of the time, or even only 0% of the time. (See, among others: Wasserman, Fraser.)

Introduction to Statistical Computing

Posted at October 23, 2013 10:30 | permanent link

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