In statistics, the use of Bayes factors is a Bayesian alternative to classical hypothesis testing.^{[1]} Bayesian model comparison is a method of model selection based on Bayes factors. The models under consideration are statistical models.^{[2]} The aim of the Bayes factor is to quantify the support for a model over another, regardless of whether these models are correct.^{[3]} The technical definition of "support" in the context of Bayesian inference is described below.
Definition
The Bayes factor is a likelihood ratio of the marginal likelihood of two competing hypotheses, usually a null and an alternative.^{[4]}
The posterior probability of a model M given data D is given by Bayes' theorem:
The key data-dependent term represents the probability that some data are produced under the assumption of the model M; evaluating it correctly is the key to Bayesian model comparison.
Given a model selection problem in which we have to choose between two models on the basis of observed data D, the plausibility of the two different models M_{1} and M_{2}, parametrised by model parameter vectors and , is assessed by the Bayes factor K given by
When the two models have equal prior probability, so that , the Bayes factor is equal to the ratio of the posterior probabilities of M_{1} and M_{2}. If instead of the Bayes factor integral, the likelihood corresponding to the maximum likelihood estimate of the parameter for each statistical model is used, then the test becomes a classical likelihood-ratio test. Unlike a likelihood-ratio test, this Bayesian model comparison does not depend on any single set of parameters, as it integrates over all parameters in each model (with respect to the respective priors). However, an advantage of the use of Bayes factors is that it automatically, and quite naturally, includes a penalty for including too much model structure.^{[5]} It thus guards against overfitting. For models where an explicit version of the likelihood is not available or too costly to evaluate numerically, approximate Bayesian computation can be used for model selection in a Bayesian framework,^{[6]} with the caveat that approximate-Bayesian estimates of Bayes factors are often biased.^{[7]}
Other approaches are:
- to treat model comparison as a decision problem, computing the expected value or cost of each model choice;
- to use minimum message length (MML).
- to use minimum description length (MDL).
Interpretation
A value of K > 1 means that M_{1} is more strongly supported by the data under consideration than M_{2}. Note that classical hypothesis testing gives one hypothesis (or model) preferred status (the 'null hypothesis'), and only considers evidence against it. Harold Jeffreys gave a scale for interpretation of K:^{[8]}
K | dHart | bits | Strength of evidence |
---|---|---|---|
< 10^{0} | < 0 | < 0 | Negative (supports M_{2}) |
10^{0} to 10^{1/2} | 0 to 5 | 0 to 1.6 | Barely worth mentioning |
10^{1/2} to 10^{1} | 5 to 10 | 1.6 to 3.3 | Substantial |
10^{1} to 10^{3/2} | 10 to 15 | 3.3 to 5.0 | Strong |
10^{3/2} to 10^{2} | 15 to 20 | 5.0 to 6.6 | Very strong |
> 10^{2} | > 20 | > 6.6 | Decisive |
The second column gives the corresponding weights of evidence in decihartleys (also known as decibans); bits are added in the third column for clarity. According to I. J. Good a change in a weight of evidence of 1 deciban or 1/3 of a bit (i.e. a change in an odds ratio from evens to about 5:4) is about as finely as humans can reasonably perceive their degree of belief in a hypothesis in everyday use.^{[9]}
An alternative table, widely cited, is provided by Kass and Raftery (1995):^{[5]}
log_{10} K | K | Strength of evidence |
---|---|---|
0 to 1/2 | 1 to 3.2 | Not worth more than a bare mention |
1/2 to 1 | 3.2 to 10 | Substantial |
1 to 2 | 10 to 100 | Strong |
> 2 | > 100 | Decisive |
Example
Suppose we have a random variable that produces either a success or a failure. We want to compare a model M_{1} where the probability of success is q = ½, and another model M_{2} where q is unknown and we take a prior distribution for q that is uniform on [0,1]. We take a sample of 200, and find 115 successes and 85 failures. The likelihood can be calculated according to the binomial distribution:
Thus we have for M_{1}
whereas for M_{2} we have
The ratio is then 1.2, which is "barely worth mentioning" even if it points very slightly towards M_{1}.
A frequentist hypothesis test of M_{1} (here considered as a null hypothesis) would have produced a very different result. Such a test says that M_{1} should be rejected at the 5% significance level, since the probability of getting 115 or more successes from a sample of 200 if q = ½ is 0.02, and as a two-tailed test of getting a figure as extreme as or more extreme than 115 is 0.04. Note that 115 is more than two standard deviations away from 100. Thus, whereas a frequentist hypothesis test would yield significant results at the 5% significance level, the Bayes factor hardly considers this to be an extreme result. Note, however, that a non-uniform prior (for example one that reflects the fact that you expect the number of success and failures to be of the same order of magnitude) could result in a Bayes factor that is more in agreement with the frequentist hypothesis test.
A classical likelihood-ratio test would have found the maximum likelihood estimate for q, namely ^{115}⁄_{200} = 0.575, whence
(rather than averaging over all possible q). That gives a likelihood ratio of 0.1 and points towards M_{2}.
M_{2} is a more complex model than M_{1} because it has a free parameter which allows it to model the data more closely. The ability of Bayes factors to take this into account is a reason why Bayesian inference has been put forward as a theoretical justification for and generalisation of Occam's razor, reducing Type I errors.^{[10]}
On the other hand, the modern method of relative likelihood takes into account the number of free parameters in the models, unlike the classical likelihood ratio. The relative likelihood method could be applied as follows. Model M_{1} has 0 parameters, and so its AIC value is 2·0 − 2·ln(0.005956) = 10.2467. Model M_{2} has 1 parameter, and so its AIC value is 2·1 − 2·ln(0.056991) = 7.7297. Hence M_{1} is about exp((7.7297 − 10.2467)/2) = 0.284 times as probable as M_{2} to minimize the information loss. Thus M_{2} is slightly preferred, but M_{1} cannot be excluded.
See also
- Akaike information criterion
- Approximate Bayesian computation
- Bayesian information criterion
- Deviance information criterion
- Lindley's paradox
- Minimum message length
- Model selection
- Statistical ratios
References
- ^ Ly, Alexander; et al. (2020). "The Bayesian Methodology of Sir Harold Jeffreys as a Practical Alternative to the P Value Hypothesis Test". Computational Brain & Behavior. 3: 153–161. doi:10.1007/s42113-019-00070-x.
- ^ Morey, Richard D.; Romeijn, Jan-Willem; Rouder, Jeffrey N. (2016). "The philosophy of Bayes factors and the quantification of statistical evidence". Journal of Mathematical Psychology. 72: 6–18. doi:10.1016/j.jmp.2015.11.001.
- ^ Ly, Alexander; Verhagen, Josine; Wagenmakers, Eric-Jan (2016). "Harold Jeffreys's default Bayes factor hypothesis tests: Explanation, extension, and application in psychology" (PDF). Journal of Mathematical Psychology. 72: 19–32. doi:10.1016/j.jmp.2015.06.004.
- ^ Good, Phillip; Hardin, James (July 23, 2012). Common errors in statistics (and how to avoid them) (4th ed.). Hoboken, New Jersey: John Wiley & Sons, Inc. pp. 129–131. ISBN 978-1118294390.
- ^ ^{a} ^{b} Robert E. Kass & Adrian E. Raftery (1995). "Bayes Factors" (PDF). Journal of the American Statistical Association. 90 (430): 791. doi:10.2307/2291091. JSTOR 2291091.
- ^ Toni, T.; Stumpf, M.P.H. (2009). "Simulation-based model selection for dynamical systems in systems and population biology". Bioinformatics. 26 (1): 104–10. arXiv:0911.1705. doi:10.1093/bioinformatics/btp619. PMC 2796821. PMID 19880371.
- ^ Robert, C.P.; J. Cornuet; J. Marin & N.S. Pillai (2011). "Lack of confidence in approximate Bayesian computation model choice". Proceedings of the National Academy of Sciences. 108 (37): 15112–15117. Bibcode:2011PNAS..10815112R. doi:10.1073/pnas.1102900108. PMC 3174657. PMID 21876135.
- ^ Jeffreys, Harold (1998) [1961]. The Theory of Probability (3rd ed.). Oxford, England. p. 432. ISBN 9780191589676.
- ^ Good, I.J. (1979). "Studies in the History of Probability and Statistics. XXXVII A. M. Turing's statistical work in World War II". Biometrika. 66 (2): 393–396. doi:10.1093/biomet/66.2.393. MR 0548210.
- ^ Sharpening Ockham's Razor On a Bayesian Strop
Further reading
- Bernardo, J.; Smith, A. F. M. (1994). Bayesian Theory. John Wiley. ISBN 0-471-92416-4.
- Denison, D. G. T.; Holmes, C. C.; Mallick, B. K.; Smith, A. F. M. (2002). Bayesian Methods for Nonlinear Classification and Regression. John Wiley. ISBN 0-471-49036-9.
- Dienes, Z. (2019). How do I know what my theory predicts? Advances in Methods and Practices in Psychological Science doi:10.1177/2515245919876960
- Duda, Richard O.; Hart, Peter E.; Stork, David G. (2000). "Section 9.6.5". Pattern classification (2nd ed.). Wiley. pp. 487–489. ISBN 0-471-05669-3.
- Gelman, A.; Carlin, J.; Stern, H.; Rubin, D. (1995). Bayesian Data Analysis. London: Chapman & Hall. ISBN 0-412-03991-5.
- Jaynes, E. T. (1994), Probability Theory: the logic of science, chapter 24.
- Kadane, Joseph B.; Dickey, James M. (1980). "Bayesian Decision Theory and the Simplification of Models". In Kmenta, Jan; Ramsey, James B. (eds.). Evaluation of Econometric Models. New York: Academic Press. pp. 245–268. ISBN 0-12-416550-8.
- Lee, P. M. (2012). Bayesian Statistics: an introduction. Wiley. ISBN 9781118332573.
- Winkler, Robert (2003). Introduction to Bayesian Inference and Decision (2nd ed.). Probabilistic. ISBN 0-9647938-4-9.
External links
- BayesFactor —an R package for computing Bayes factors in common research designs
- Bayes factor calculator — Online calculator for informed Bayes factors
- Bayes Factor Calculators —web-based version of much of the BayesFactor package