Takens' theorem
Empirical Bayes methods are procedures for statistical inference in which the prior distribution is estimated from the data. This approach stands in contrast to standard Bayesian methods, for which the prior distribution is fixed before any data are observed. Despite this difference in perspective, empirical Bayes may be viewed as an approximation to a fully Bayesian treatment of a hierarchical model wherein the parameters at the highest level of the hierarchy are set to their most likely values, instead of being integrated out. Empirical Bayes, also known as maximum marginal likelihood,[1] represents one approach for setting hyperparameters.
Introduction
Empirical Bayes methods can be seen as an approximation to a fully Bayesian treatment of a hierarchical Bayes model.
In, for example, a two-stage hierarchical Bayes model, observed data are assumed to be generated from an unobserved set of parameters according to a probability distribution . In turn, the parameters θ can be considered samples drawn from a population characterised by hyperparameters according to a probability distribution . In the hierarchical Bayes model, though not in the empirical Bayes approximation, the hyperparameters are considered to be drawn from an unparameterized distribution .
Information about a particular quantity of interest therefore comes not only from the properties of those data which directly depend on it, but also from the properties of the population of parameters as a whole, inferred from the data as a whole, summarised by the hyperparameters .
Using Bayes' theorem,
In general, this integral will not be tractable analytically and must be evaluated by numerical methods. Stochastic approximations using, e.g., Markov Chain Monte Carlo sampling or deterministic approximations such as quadrature are common.Potter or Ceramic Artist Truman Bedell from Rexton, has interests which include ceramics, best property developers in singapore developers in singapore and scrabble. Was especially enthused after visiting Alejandro de Humboldt National Park.
Alternatively, the expression can be written as
and the term in the integral can in turn be expressed as
These suggest an iterative scheme, qualitatively similar in structure to a Gibbs sampler, to evolve successively improved approximations to and . First, calculate an initial approximation to ignoring the dependence completely; then calculate an approximation to based upon the initial approximate distribution of ; then use this to update the approximation for ; then update ; and so on.
When the true distribution is sharply peaked, the integral determining may be not much changed by replacing the probability distribution over with a point estimate representing the distribution's peak (or, alternatively, its mean),
With this approximation, the above iterative scheme becomes the EM algorithm.
The term "Empirical Bayes" can cover a wide variety of methods, but most can be regarded as an early truncation of either the above scheme or something quite like it. Point estimates, rather than the whole distribution, are typically used for the parameter(s) . The estimates for are typically made from the first approximation to without subsequent refinement. These estimates for are usually made without considering an appropriate prior distribution for .
Point estimation
Robbins method : non-parametric empirical Bayes (NPEB)
Robbins[2] considered a case of sampling from a compound distribution, where probability for each (conditional on ) is specified by a Poisson distribution,
while the prior is unspecified except that it is also i.i.d. from an unknown distribution, with cumulative distribution function ). Compound sampling arises in a variety of statistical estimation problems, such as accident rates and clinical trials.Potter or Ceramic Artist Truman Bedell from Rexton, has interests which include ceramics, best property developers in singapore developers in singapore and scrabble. Was especially enthused after visiting Alejandro de Humboldt National Park. We simply seek a point prediction of given all the observed data. Because the prior is unspecified, we seek to do this without knowledge of G.[3]
Under squared error loss (SEL), the conditional expectation E(θi | Yi = yi) is a reasonable quantity to use for prediction. For the Poisson compound sampling model, this quantity is
This can be simplified by multiplying the expression by , yielding
where pG is the marginal distribution obtained by integrating out θ over G.
To take advantage of this, Robbins[2] suggested estimating the marginals with their empirical frequencies, yielding the fully non-parametric estimate as:
where denotes "number of". (See also Good–Turing frequency estimation.)
- Example - Accident rates
Suppose each customer of an insurance company has an "accident rate" Θ and is insured against accidents; the probability distribution of Θ is the underlying distribution, and is unknown. The number of accidents suffered by each customer in a specified time period has a Poisson distribution with expected value equal to the particular customer's accident rate. The actual number of accidents experienced by a customer is the observable quantity. A crude way to estimate the underlying probability distribution of the accident rate Θ is to estimate the proportion of members of the whole population suffering 0, 1, 2, 3, ... accidents during the specified time period as the corresponding proportion in the observed random sample. Having done so, it is then desired to predict the accident rate of each customer in the sample. As above, one may use the conditional expected value of the accident rate Θ given the observed number of accidents during the baseline period. Thus, if a customer suffers six accidents during the baseline period, that customer's estimated accident rate is 7 × [the proportion of the sample who suffered 7 accidents] / [the proportion of the sample who suffered 6 accidents]. Note that if the proportion of people suffering k accidents is a decreasing function of k, the customer's predicted accident rate will often be lower than their observed number of accidents. This shrinkage effect is typical of empirical Bayes analyses.
Parametric empirical Bayes
If the likelihood and its prior take on simple parametric forms (such as 1- or 2-dimensional likelihood functions with simple conjugate priors), then the empirical Bayes problem is only to estimate the marginal and the hyperparameters using the complete set of empirical measurements. For example, one common approach, called parametric empirical Bayes point estimation, is to approximate the marginal using the maximum likelihood estimate (MLE), or a Moments expansion, which allows one to express the hyperparameters in terms of the empirical mean and variance. This simplified marginal allows one to plug in the empirical averages into a point estimate for the prior . The resulting equation for the prior is greatly simplified, as shown below.
There are several common parametric empirical Bayes models, including the Poisson–gamma model (below), the Beta-binomial model, the Gaussian–Gaussian model, the Dirichlet-multinomial model, as well specific models for Bayesian linear regression (see below) and Bayesian multivariate linear regression. More advanced approaches include hierarchical Bayes models and Bayesian mixture models.
Poisson–gamma model
For example, in the example above, let the likelihood be a Poisson distribution, and let the prior now be specified by the conjugate prior, which is a gamma distribution () (where ):
It is straightforward to show the posterior is also a gamma distribution. Write
where the marginal distribution has been omitted since it does not depend explicitly on . Expanding terms which do depend on gives the posterior as:
So the posterior density is also a gamma distribution , where , and . Also notice that the marginal is simply the integral of the posterior over all , which turns out to be a negative binomial distribution.
To apply empirical Bayes, we will approximate the marginal using the maximum likelihood estimate (MLE). But since the posterior is a gamma distribution, the MLE of the marginal turns out to be just the mean of the posterior, which is the point estimate we need. Recalling that the mean of a gamma distribution is simply , we have
To obtain the values of and , empirical Bayes prescribes estimating mean and variance using the complete set of empirical data.
The resulting point estimate is therefore like a weighted average of the sample mean and the prior mean . This turns out to be a general feature of empirical Bayes; the point estimates for the prior (i.e. mean) will look like a weighted averages of the sample estimate and the prior estimate (likewise for estimates of the variance).
See also
- Bayes estimator
- Bayes' theorem
- Bayesian approaches to brain function
- Bayesian probability
- Best linear unbiased prediction
- Conditional probability
- Monty Hall problem
- Posterior probability
- Robbins lemma
References
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Further reading
- Peter E. Rossi, Greg M. Allenby, and Robert McCulloch, Bayesian Statistics and Marketing, John Wiley & Sons, Ltd, 2006
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A vendor's stamp duty has been launched on industrial property for the primary time, at rates ranging from 5 per cent to 15 per cent. The Authorities might be trying to reassure the market that they aren't in opposition to foreigners and PRs investing in Singapore's property market. They imposed these measures because of extenuating components available in the market." The sale of new dual-key EC models will even be restricted to multi-generational households only. The models have two separate entrances, permitting grandparents, for example, to dwell separately. The vendor's stamp obligation takes effect right this moment and applies to industrial property and plots which might be offered inside three years of the date of buy. JLL named Best Performing Property Brand for second year running
The data offered is for normal info purposes only and isn't supposed to be personalised investment or monetary advice. Motley Fool Singapore contributor Stanley Lim would not personal shares in any corporations talked about. Singapore private home costs increased by 1.eight% within the fourth quarter of 2012, up from 0.6% within the earlier quarter. Resale prices of government-built HDB residences which are usually bought by Singaporeans, elevated by 2.5%, quarter on quarter, the quickest acquire in five quarters. And industrial property, prices are actually double the levels of three years ago. No withholding tax in the event you sell your property. All your local information regarding vital HDB policies, condominium launches, land growth, commercial property and more
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