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Topic: Reducing bias of a Bayesian point estimator
Replies: 13   Last Post: Oct 19, 2012 3:02 AM

 Messages: [ Previous | Next ]
 paulvonhippel at yahoo Posts: 72 Registered: 7/13/05
Re: Reducing bias of a Bayesian point estimator
Posted: Oct 18, 2012 12:39 AM

On Monday, October 15, 2012 8:55:57 AM UTC-5, David Jones wrote:
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> On Sunday, October 14, 2012 3:58:58 PM UTC-5, David Jones wrote:
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> > "Paul" wrote in message
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> > On Saturday, October 13, 2012 5:23:14 PM UTC-5, David Jones wrote:
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> > > "Paul" wrote in message
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> > > I am interested in ways of reducing the bias of a point estimator when
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> > > the
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> > > true parameter is near the boundary of the parameter space.
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> > > Suppose g = gamma U / (N-1), where U ~ chisq(N-1), N is a known small
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> > > sample
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> > > size, and gamma is an unknown parameter. A priori we know that 0 <=
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> > > gamma
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> > > 1. Notice that the upper inequality is strict; that is, gamma cannot
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> > > have
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> > > a
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> > > value of 1.
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> > > One approach to estimation is to assign gamma a prior distribution that
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> > > is
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> > > uniform on (0,1). Then the posterior distribution of gamma is a scaled
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> > > inverse chi-square, truncated on the right at 1. Now the obvious point
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> > > estimators are the posterior mean and median. (I canï¿½t use the mode
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> > > because
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> > > it can take a value of 1.) The trouble with the posterior mean and
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> > > median
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> > > is
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> > > that they have large negative biases if the true value of gamma is
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> > > actually
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> > > close to 1.
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> > > Iï¿½d be grateful for ideas on how to reduce this bias. One idea Iï¿½ve
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> > > toying with is to use a posterior quantile greater than the median ï¿½
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> > > i.e.,
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> > > quantile p where p>1/2. Maybe I would use a larger p when I had a larger
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> > > g.
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> > > This isnï¿½t an idea that Iï¿½ve seen discussed elsewhere. Many thanks
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> > > for any
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> > > references on this or other possibilities.
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> > > (1) Why do you think "bias" is important?
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> > > (2) If you want to define a point estimate in a Bayesian context, it
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> > > would
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> > > be best to define a realistic loss function for the actual situation and
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> > > to
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> > > use this to derive the corresponding "best" point estimate.
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> > -----------------------------------------
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> > Bias is important. The quantity that I am estimating, gamma, is a variance
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> > that will be used to calculate confidence intervals. If the estimate of
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> > gamma is negatively biased, then the coverage of the confidence intervals
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> > will be too low.
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> > What is an appropriate loss function to use under these circumstances?
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> > ----------------------------------------------------------------
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> > "Bias" is most often used in the context of an arithmetic mean. It is
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> > clear
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> > from these extra details that you are not actually concerned with
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> > estimating
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> > gamma. It is also somewhat confusing that you are contemplating mixing the
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> > classical and Bayesian paradigms. The phrase "is a variance that will be
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> > used to calculate confidence intervals" indicates that there are other
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> > statistics around, possibly statistically dependent on g, and these
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> > dependencies would need to be taken into account
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> > For a purely classical approach, you would need to evaluate the sampling
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> > distribution of some combination of a sample statistic and the selected
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> > estimate of gamma. Supposed bias in the estimate of gamma is unimportant
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> > because any such effects are eliminated by correctly evaluating the
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> > sampling
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> > distribution of the combined statistic, and in using this to derive the
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> > confidence interval. Clearly you wouldn't be expecting to use a Student's
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> > distribution here. Of course using different combinations of sample
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> > statistics and different selected estimates of gamma would typically lead
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> > different confidence intervals with different properties. If evaluation of
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> > the distribution can't be done analytically, then simulation or
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> > bootstrapping may be useful routes to a practical procedure.
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> > For a sensible Bayesian approach you would want to evaluating a credible
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> > interval, not a confidence interval, for your other parameter of interest.
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> > This would involve integrating the joint posterior distribution of the
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> > parameters with respect to gamma. Of course the answers here would depend
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> > lot on the joint prior distribution of all the parameters and you would
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> > need
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> > to have good reasons for any assumptions. You didn't seem particularly
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> > convinced of the "uniform on (0,1)" distribution for just one of the
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> > parameters, and you would also need to consider dependence in the joint
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> I am in fact interested in estimating gamma. I am using a Bayesian approach
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> to account for the fact that gamma cannot exceed 1, but I would like the
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> resulting estimate to have minimal bias in a frequentist sense.
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> The estimation of gamma is embedded in a more complicated problem, but I
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> believe progress can be made by addressing the estimation of gamma alone.
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> Many thanks for any suggestions regarding the problem as I originally posed
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> it.
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> Many of the usual frequentist techniques for bias adsjustment would lead to
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> estimates not obeying your bound. If you were not insisting on not allowing
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> a value of gamma exactly equal to one then the obvious thing to start from
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> would be a simple truncation at 1. You might consider truncating at a value
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> slightly smaller than one if an exact-1 causes problems. Otherwise you
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> might be able to base something on he following....
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> (a) let T be the non-truncated version of the estimated for gamma;
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> (b) the transformed estimate S=T/(1+T) should have good properties if the
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> true value of gamma is small, and is forced to lie in the required interval;
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> (c) consider the extended set of estimates S=T/(1+T^a)^(1/a), which are
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> again forced to lie in 0 to 1, and choose a for good properties
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> Other families of transformed estimates might be considered.

This is an intriguing possibility except that what I need is an estimator that performs well if the true value of gamma is large (close to 1) not small.

Date Subject Author
10/13/12 paulvonhippel at yahoo
10/13/12 David Jones
10/13/12 paulvonhippel at yahoo
10/14/12 David Jones
10/14/12 paulvonhippel at yahoo
10/15/12 David Jones
10/18/12 paulvonhippel at yahoo
10/18/12 David Jones
10/18/12 paulvonhippel at yahoo
10/19/12 David Jones
10/18/12 Ray Koopman
10/18/12 Herman Rubin
10/18/12 paulvonhippel at yahoo
10/18/12 Ray Koopman