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Priors, Normal Models, Computing Posteriors

Priors, Normal Models, Computing Posteriors. st5219 : Bayesian hierarchical modelling lecture 2.1. Plan for lecture. Priors: how to choose them, different types The normal distribution in Bayesianism Tutorial 1: over to you Computing posteriors: Monte Carlo Importance Sampling

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Priors, Normal Models, Computing Posteriors

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  1. Priors, Normal Models, Computing Posteriors st5219: Bayesian hierarchical modelling lecture 2.1

  2. Plan for lecture • Priors: how to choose them, different types • The normal distribution in Bayesianism • Tutorial 1: over to you • Computing posteriors: • Monte Carlo • Importance Sampling • Markov chain Monte Carlo

  3. What is random? Frequentism Bayesianism • Something with a long run frequency distribution • E.g. coin tosses • Patients in a clinical trial • “Measurement” errors? • Everything • What you don’t know is random • Unobserved data, parameters, unknown states, hypotheses • Observed data still arise from probability model Knock on effects on how to estimate things and assess hypotheses

  4. This week: practical issues Choosing a prior Doing computations • Very misunderstood • “How did you choose your priors?” • Please never answer “Oh, I just made them up” • For data analysis, you need strong rationale for choice of prior • (later)

  5. An example to illustrate priors • Following infection: body creates antibodies • These target pathogen and remain in the blood • Antibodies can provide data on historic disease exposure

  6. H1N1 in Singapore Cook, Chen, Lim (2010) EmergInfDisDOI:10.3201/EID.1610.100840

  7. Serology of H1N1 Singapore study longitudinal Chen et al (2010) J Am Med Assoc 303:1383--91

  8. Measurements • Observation in (xij,2xij) for individual i, observation j • Define “seroconversion” to be a “four-fold” rise in antibody levels, i.e. • yi= 1 if xi2≥ 4xi1 and 0 otherwise • Out of 727 participants with follow up, we have 98 seroconversions Q: what proportion were infected?

  9. AIDS ≠ influenza A H1N1 • Seroconversion “test” not perfect: something about 80% • Infection rate should be higher than seroconversion rate Board work

  10. Bayesian approach • Need some priors • Last time: “U(0,1) good way to represent lack of knowledge of a probability” • Before we collected the JAMA data, we didn’t know what p would be, and a prior p~U(0,1) makes sense • But there are data out there on σ!

  11. Other data Zambon et al (2001) Arch Intern Med 161:2116--22

  12. Board work Other data • m = 791 • y = 629 This can give you a prior!!! σ~Be(630,163)

  13. Kinds of priors Non-informative Informative • p~U(0,1) • σ²~U(0,∞) • μ~U(- ∞, ∞) • β~N(0,1000²) • Should give you no information about that parameter except what is in the data • σ ~Be(630,163) • μ ~N(15.2,6.8²) • Lets you supplement natural information content of the data when not enough information on that aspect • Can give information on other parameters indirectly

  14. How to choose? Scenario 1. You are trying to reach an optimal decision in the presence of uncertainty: use whatever information you can, even if subjective, via informative priors Scenario 2. You are trying to estimate parameters for a scientific data analysis (you cannot or don’t want to use external data): use non-informative prior Scenario 3. You are trying to estimate parameters for a scientific data analysis (you have good external data): use non-informative priors for those bits you have no data for or in which you want your own data to speak for themselves; use informative priors elsewhere

  15. Whence came that Be(630,163)? Step 1: uniform prior for σ Step 2: fit model to Zambon data Step 3: posterior for that becomes prior for main analysis Board work

  16. Conjugacy • The beta distribution is conjugate to a binomial model, in that if you start with a beta prior and use it in a binomial model for p and x, you end with a beta posterior of known form • I.e. if p~Be(a,b) and x~Bin(n,p), p|x~Be(a+x,b+n-x) • Other conjugate priors exist forsimple models, e.g. ... Board work

  17. Why is it ok to take posteriors and turn them into priors? • It’s the incremental nature of accumulated knowledge • EgZambon study:

  18. Effective sample sizes • You can think of the parameters of the beta(a,b) as representing • a best guess of the proportion, a/(a+b) • a “sample size” that the prior is equivalent to (a+b) • This is an easy way to transform published results into beta priors: take the point estimate (MLE, say) and the sample size and transform to get a and b. • (So a uniform prior is like adding one positive and one negative value to your data set: is this fair???)

  19. Other converting methods • Take a point estimate and CI and convert to 2 parameters to represent your prior. • Eg the infectious period is a popular parameter in infectious disease epidemiology: the average time from infection to recovery • For no good reason, often assumed to be exponential with mean λ, say • Fraser et al (2009) Science324:1557--61 suggest estimate ofgeneration period of 1.91 with95%CI (1.3,2.71) Board work

  20. Two final thoughts on priors • I mentioned U(-∞, ∞) as a non-informative prior.What’s the density function for U(- ∞, ∞)? Board work

  21. Two final thoughts on priors • A prior such as U(-∞, ∞) is called an improper prior as it does not have a proper density function. • Improper priors sometimes give proper posteriors: depending on the integral of the likelihood. • Not an improper prior is a proper one

  22. Two final thoughts on priors • Just because a prior is flat in one representation does not mean it is flat in another • Eg for an exponential model (for survival analysis say) Board work

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