Frequentist vs Bayesian statistics and more

To demonstrate a difference between Bayesians and Frequentists, I’ll use the following example:

You observe \(10\) Heads in \(14\) coin flips. Would you bet that in the next two tosses you will see two heads in a row?

Using a maximum likelihood estimation for probability \(p\) that a coin ends up head, we would say \(\hat{p} = 10 / 14\). So probability of two heads is \(\hat{p}^2 \approx 0.714^2 \approx 0.51\). Makes sense to bet for a frequentist.

Bayesian approach: Prior to tossing a coin we knew nothing about it - even if it was biased we couldn’t tell which way it was biased. So let us say \(p\) was drawn from a uniform distribution first. After the tossing - our beliefs about the coin should change. But how? Bayes rule states

Ignore the term \(Pr (data)\) since it’s the same for all \(p\). \(Pr (data | p) = {14 \choose 10} p^{10} (1-p)^4\). Therefore \(Pr ( p | data ) \propto p^{10} p^4 Pr (p)\). \(Pr (p)\) is constant for a uniform \(p\) and can be dropped under our proportional (\(\propto\)) notation. And hence posterior distribution for \(p\) is \(Beta(11, 5)\).

Now it follows that \(Pr (HH | data) = \mathbb{E} [ p^2 | data ] = \frac{B(13, 5)}{B(11, 5)} \approx 0.485\)1. A Bayesian with uniform prior wouldn’t bet.

Notice how \(Pr\) is subjective. It only exists in the head of a Bayesian. Frequentists usually treat probability as some intrinsic property of objects rather than mental tags assigned to beliefs.

Let me restate Bayes theorem:

Just one line. So much for a theorem. Perhaps most of you have rediscovered it yourself. It probably invoked some kind of inspiration in you the first time you learned about it and then it became one of those maths tropes. Boring. Meh. Yawn. (Not Hot?)

But! It governs your thought process. Perhaps you don’t even realise. Let me show you just one example out of bazillion. Years ago I had to “resolve” an argument about the use of English: my friend, who is a non-native speaker, was trying to correct two native speakers playing a grammar trump card: “Don’t you guys see you are using an adjective in place of an adverb? Why didn’t your schools teach you grammar, guys?”. The natives couldn’t recall what adverbs were, but they were sure they were right. “I see where you are coming from, but you have got two confident natives contradicting you. It must be one of those pesky exceptions then”, - I reasoned. As you probably have guessed, that was correct.

And the moral of the story? I am always right. Just kidding… almost always right.

Humour aside - I was originally inclined to believe my friend: her reasoning was right, but the disagreement from the other two participants changed my mind. The principle of changing your confidence about statements is at the heart of the Bayes rule. It is called an update. Prior to the update I thought she was right - after the update I thought she was wrong.

I have never been taught to put probability in such context. It’s usually coins, urns and balls - but never everyday situations. Yet people are intuitive Bayesians and I have set out to prove this to you.

Another aspect of Bayesianism is interpreting probability as a degree of belief. The degree of beliefs is just as natural as Bayesian updates: you just know some statements are much more certain than others. You might be willing to bet huge stakes on the validity of many physics laws. Let’s take Newton’s laws, for example. Largely quoted to be untrue in general - you would still accept large bets on falling times of a stone. You know Newton’s laws apply here, hence locally, they are true. Not just truish kind of true, but very very true. But you probably won’t find a person willing to accept a bet with you on the local validity of the Newton’s laws. However, there are many people willing to trade based on stock market predictions. And you’d be a fool to accept same odds as you would on Newton’s laws. Certainty isn’t comparable.

And so this is it: you are a natural born Bayesian. QED.

Now that I have spilled the beans, I invite you to become a better Bayesian.

First of all, why? To be more right so that you can win at a gamble called life. For if the mental tags accompanying your beliefs are at odds with reality your actions will result in unintended consequences time and time again.

First baby step: admit that you are a Bayesian. Embrace your inner self.

Further, realise that our intuition is not a good calculator - we often don’t “update” our minds appropriately. In certain situations we are keen to update in others we decide not to. Psychology has determined one class of situations where we update way too much. This is also known as base rate fallacy. The following example comes from wiki:

John is a man who wears gothic inspired clothing, has long black hair, and listens to death metal. How likely is it that he is a Christian and how likely is it that he is a Satanist?

Intuitive answer is that it is likely.

What is a prior in this case? Try “John is a man. How likely is that he is a Christian and how likely that he is a Satanist.” Now you see it: 2 billion Christians dictate overwhelming probability for the former. That’s a prior. Posterior comes after you learn that he wears gothic clothing. But your belief should still be dominated by your prior given how many more Christians they are in the world even if only a small proportion of them wear gothic clothes. See wiki for examples with numbers.

The notion of treating likelihood, confidence and probability interchangeably may cause some confusion in you had you gotten used to the maths education where frequentist interpretation is the king. I don’t know how often probability is treated as part of logic in undergraduate courses, but in fact it should be. I am way ahead of you, university curriculum! See the following quote:

“The use of probability to represent uncertainty, however, is not an ad-hoc choice, but is inevitable if we are to respect common sense while making rational coherent inferences. For instance, Cox (1946) showed that if numerical values are used to represent degrees of belief, then a simple set of axioms encoding common sense properties of such beliefs leads uniquely to a set of rules for manipulating degrees of belief that are equivalent to the sum and product rules of probability. This provided the first rigorous proof that probability theory could be regarded as an extension of Boolean logic to situations involving uncertainty (Jaynes, 2003).”

Christopher Bishop. Book “Pattern Recognition and Machine Learning”.

So you can call it probably, you can call it confidence, you can call it betting odds you are willing to accept2 - it is all the same: it is your degree of belief.

I foresee one big objection: in everyday situations \(Pr(Hypothesis | Evidence)\) is often not known. Note that Bayes rule only operates with subjective probabilities, so given that you have a subjective prior, it’s only natural to allow for subjective updates. Subjective updates from subjective priors?

If only I could state a maths theorem and calibrate everyone’s world view with reality just like that. However, there is plenty of literature which highlights most common update errors: this Bayesian approach is a small but fundamental part of something bigger I simply can’t fit into this text.

This brings me to the Bayesian approach applied to maths and stats. We, PhD mathematicians, daily find ourselves dealing with statements which haven’t yet been proven. And we often use our intuition or intuition of our supervisors before throwing ourselves at the problems. The other week I looked at a series and said “No way it converges to a \(1/2\)”. Reason? Given that there is many more irrational numbers than rational, only carefully constructed series converge to a rational. Analogously if you are vehemently trying to prove \(P=NP\) you better read what the world would be like if \(P\) was equal to \(NP\) (constructively). And, of course, whilst \(P \neq NP\) isn’t proven it could still be either way. But a gambler in me is already willing to bet. And, on a contrary, if you think that a mathematical theorem is true because it has been proven… Well, you are neglecting a non-negative chance that no one has spotted an error just yet. So don’t you ever let that \(Pr\) in your head hit 0% or 100%! To be a Bayesian is to always be uncertain of everything - but to a different degree.

Finally, take hypothesis testing. It deals with the following: given that a hypothesis is true, how likely it is to observe the data, i.e. \(Pr(Evidence | Hypothesis)\) also known as a p-value. Oh our good old infamous friend p-value. If a null-hypothesis passes a 5% test, are you 95% certain? Of course not. The following xkcd comic illustrates it better:

xkcd

The problem with p-values and confidence intervals is that they are not intuitive. All statistics courses instil not saying statements like “There’s a 95% chance that the value is within this confidence interval”. Because people seem to treat p-values as \(Pr(Hypothesis | Evidence)\) instead. This highlights that frequentist approach needs to be taught and Bayesian interpretation comes naturally. The p-values govern the updates, not the end beliefs and it’s right there, in the Bayes rule.

My post must come to an end. But really I have barely started. I highly recommend “Map and Territory” sequence of posts by Eliezer Yudkowsky if you want to know more about updating your beliefs appropriately with more data. Two particularly relevant blog posts to Bayesianism are:

That’s it folks. No really, that’s it.

  1. see Are you a Bayesian or a Frequentist? (Or Bayesian Statistics 101) for derivation. 

  2. sweeping the technicalities of gambling preferences under the rug… Congratulations, you are a pedant!