Bayesian Surprise

ModelingPredictive Analyticsposted by Thomas Lumley December 28, 2017

For reasons not entirely unconnected with NZ election polling, I’ve been thinking about surprise in Bayesian inference again: what happens when...

For reasons not entirely unconnected with NZ election polling, I’ve been thinking about surprise in Bayesian inference again: what happens when you get a result that’s a long way from what you expected in advance? Yes, your prior is badly calibrated and you should feel bad, but what should you believe?

A toy version of the problem is inference for a location parameter. We have a prior \$p_theta(theta)\$ for the parameter, and a model \$p_X(x|theta)\$. Consider two extremes

• \$thetasim N(0,1)\$ and \$Xsimtextrm{Cauchy}(theta)\$
• \$thetasimtextrm{Cauchy}(0)\$ and \$Xsim N(theta, 1)\$

Suppose we take a single observation \$x\$ of \$X\$ and it’s very large. What do we end up believing about \$theta\$ in each case?

Heuristically, the first case says the data can sometimes be a long way from \$theta\$, but \$theta\$ has to be not that far from 0. The second case says \$theta\$ can sometimes be a long way from 0 but \$X\$ can’t be that far from \$theta\$. So in the the first case the posterior for \$theta\$ should be concentrated fairly near zero and in the second it should be concentrated fairly near \$X\$. That’s exactly what happens when you do the maths.

Under the first model, the posterior density is proportional to

and the posterior mode solves

For \$xtoinfty\$ we can’t have  \$x-theta\$ bounded, which in turn means \$tildetheta=O((x-tildetheta)^{-1})\$, giving \$thetato 0\$.

Under the second model, the posterior is proportional to

and the posterior mode solves

If \$xtoinfty\$, the solution to this equation must have \$x-tildetheta\$ bounded, which implies \$tildethetatoinfty\$, which implies \$x-tildethetato 0\$.

If the two distributions are both Normal the posterior mode will be about halfway between \$x\$ and 0. If they’re both Cauchy, the posterior will be bimodal, with one mode near \$x\$ and another near 0.

The basic observation here goes back a long way, with a relatively recent summary by O’Hagan in JASA, 1990: given a surprising observation, Bayesian inference can (sensibly) end up just ‘rejecting’ which ever of the prior and model have heavier tails.

Working it out for simple cases makes a nice straightforward stats theory question.  It’s also a good low-dimensional example of the problem common in high-dimensional problems that it’s quite hard to be sure what features of your model and prior are going to matter for inference.

Original Source.

Thomas Lumley

Thomas Lumley attended Monash University (B.Sc.(Hons) in Pure Mathematics), the University of Oxford (M.Sc. in Applied Statistics) and the University of Washington, Seattle (PhD in Biostatistics). He spent twelve years on the faculty of the Department of Biostatistics at the University of Washington, and then moved to Auckland in 2010. He is still an Affiliate Professor at the University of Washington.

1