Bayesian modeling example: parameter estimation from repeated measurements

We will consider one of the simplest examples of parameter estimation, and one that comes up often in research applications. Let’s say we repeat a measurement many times. This could be beak depths of finches, fluorescence intensity in a cell, etc. The possibilities abound. To have a concrete example in mind for this example, let’s assume we are measuring the length of C. elegans eggs.

Our measurements of C. elegans egg length are $y\equiv \{y_1,y_2,\dots y_n\}$. We will ambiguously define a parameter of interest to be $\mu$, the typical egg length. We will sharpen our definition of this parameter through specification of the likelihood.

We wish to calculate $g(\mu \mid y)$, the posterior probability density function for the parameter $\mu$, given the data. Values of $\mu$ for which the posterior probability density is high are more probable (that is, more plausible) than those for which is it low. The posterior $g(\mu \mid y)$ codifies our knowledge about $\mu$ in light of our data $y$.

To compute the posterior, we use Bayes’s theorem.

$$\begin{array}{r}g(\mu \mid y)=\frac{f(y\mid \mu )g(\mu )}{f(y)}.\end{array}$$

Since the evidence, $f(y)$ does not depend on the parameter of interest, $\mu$, it is really just a normalization constant, so we do not need to consider it explicitly at this stage. Specification of the likelihood and prior is sufficient for the posterior, since we must have

$$\begin{array}{r}f(y)=\int \mathrm{d}\mu f(y\mid \mu )g(\mu )\end{array}$$

to ensure normalization of the posterior $g(\mu \mid y)$. So, we have just to specify the likelihood $f(y\mid \mu )$ and the prior $g(\mu )$. We begin with the likelihood.

The likelihood

To specify the likelihood, we have to ask what we expect from the data, given a value of $\mu$. If every egg has exactly the same length and there are no errors or confounding factors at all in our measurements, we expect $y_i=\mu$ for all $i$. In this case

$$\begin{array}{r}g(y\mid \mu )=\prod _{i=1}^n\delta (y_i-\mu ),\end{array}$$

the product of Dirac delta functions. Of course, this is really never the case. There will be natural variation in egg length and some errors in measurement and/or the system has variables that confound the measurement. What, then should we choose for our likelihood?

That choice is of course dependent the story/theoretical modeling behind data generation. For our purposes here, we shall assume our data are generated from a Normal likelihood. Since this distribution gets heavy use, I will pause here to talk a bit more about it.

The Normal distribution

A univariate Normal (also known as Gaussian), probability distribution has a probability density function (PDF) of

$$\begin{array}{r}f(y\mid \mu ,\sigma )=\frac{1}{\sqrt{2\pi {\sigma }^2}}\exp [-\frac{(y-\mu {)}^2}{2{\sigma }^2}].\end{array}$$

The parameter $\mu$ is a location parameter and in the case of the Normal distribution is called the mean and $\sigma$ is a scale parameter and is called the standard deviation in this case. The square of this scale parameter is referred to as the variance. Importantly (and confusingly), the terms “mean,” “standard deviation,” and “variance” in this context are names of parameters of the distribution; they are not what you compute directly from data as plug-in estimates. We will therefore use the terms location parameter and scale parameter, though the terms mean and standard deviation are used very widely in the literature.

The central limit theorem says that any quantity that emerges from a large number of subprocesses tends to be Normally distributed, provided none of the subprocesses is very broadly distributed. We will not prove this important theorem, but we make use of it when choosing likelihood distributions based on the stories behind the generative process. Indeed, in the simple case of estimating a single parameter where many processes may contribute to noise in the measurement, the Normal distribution is a good choice for a likelihood.

More generally, the multivariate Normal distribution for $y=(y_1,y_2,\cdots ,y_n{)}^{\mathsf{T}}$ is

$$\begin{array}{r}f(y\mid \mathit{\mu },\mathit{\sigma })=(2\pi {)}^{-\frac{n}{2}}{(det\mathsf{\Sigma })}^{-\frac{1}{2}}\exp [-\frac{1}{2}(y-\mathit{\mu }{)}^{\mathsf{T}}\cdot {\mathsf{\Sigma }}^{-1}\cdot (y-\mathit{\mu })],\end{array}$$

where $\mathit{\mu }=({\mu }_1,{\mu }_2,\dots ,{\mu }_n{)}^{\mathsf{T}}$ is an array of location parameters. The parameter $\mathsf{\Sigma }$ is a symmetric positive definite matrix called the covariance matrix. If off-diagonal entry ${\mathrm{\Sigma }}_{ij}$ is nonzero, then $y_i$ and $y_j$ are correlated (or anticorrelated). In the case where all $y_i$ are independent, all off-diagonal terms in the covariance matrix are zero, and the multivariate Normal distribution reduces to

$$\begin{array}{r}f(y\mid \mathit{\mu },\mathit{\sigma })=\prod _{i=1}^n\frac{1}{\sqrt{2\pi {\sigma }_i^2}}\exp [-\frac{(y_i-{\mu }_i{)}^2}{2{\sigma }_i^2}],\end{array}$$

where ${\sigma }_i^2$ is the $i‘thentryalongthediagonalofthecovariancematrix.Thisisthevarianceassociatedwithmeasurement:math:‘i$. So, if all independent measurements $y_i$ have the same location and scale parameters, which is to say that the measurements are independent and identically distributed (i.i.d.), the multi-dimensional Gaussian reduces to

$$\begin{array}{r}f(y\mid \mu ,\sigma )={\left(\frac{1}{2\pi {\sigma }^2}\right)}^{-\frac{n}{2}}\exp [-\frac{1}{2{\sigma }^2}\sum _{i=1}^n(y_i-\mu {)}^2].\end{array}$$

The likelihood revisited: and another parameter

For the purposes of this demonstration of parameter estimation, we assume the Normal distribution is a good choice for our likelihood for repeated measurements (as it often is). We have to decide how the measurements are related to specify how many entries in the covariance matrix we need to specify as parameters. It is often the case that the measurements are i.i.d, so that only a single mean and variance are specified. So, we choose our likelihood to be

$$\begin{array}{r}f(y\mid \mu ,\sigma )={\left(\frac{1}{2\pi {\sigma }^2}\right)}^{\frac{n}{2}}\exp [-\frac{1}{2{\sigma }^2}\sum _{i=1}^n(y_i-\mu {)}^2].\end{array}$$

By choosing this as our likelihood, we are saying that we expect our measurements to have a well-defined mean $\mu$ with a spread described by the variance, ${\sigma }^2$.

But wait a minute; we had a single parameter, $\mu$, that we sought to estimate, and now we now have another parameter, $\sigma$, beyond the one we’re trying to measure. So, our statistical model has two parameters, and Bayes’s theorem now reads

$$\begin{array}{r}g(\mu ,\sigma \mid y)=\frac{f(y\mid \mu ,\sigma )g(\mu ,\sigma )}{f(y)}.\end{array}$$

After we compute the posterior, we can still find the posterior probability distribution we are after by marginalizing.

$$\begin{array}{r}g(\mu \mid y)={\int }_0^{\mathrm{\infty }}\mathrm{d}\sigma g(\mu ,\sigma \mid y).\end{array}$$

Choice of prior

Now that we have defined a likelihood, we know what the parameters are and we can define a prior, $g(\mu ,\sigma )$. As is often the case, we assume $\mu$ and $\sigma$ are independent of each other, so that

$$\begin{array}{r}g(\mu ,\sigma )=g(\mu )g(\sigma ).\end{array}$$

How might we choose prior distributions for $\mu$ and $\sigma$? Remember, the prior probability distribution captures what we know about the parameter before we measure data. For the current example of C. elegans eggs, we can guess that the egg length should be about 50 µm, but we are not too sure about this. So, we will make the prior distribution broad; we take $g(\mu )$ to be Normal with a location parameter of 50 µm, but a scale parameter of 20 µm. That is,

$$\begin{array}{r}g(\mu )=\frac{1}{\sqrt{2\pi {\sigma }_{\mu }^2}}\exp [-\frac{(\mu -{\mu }_{\mu }{)}^2}{2{\sigma }^2}],\end{array}$$

with ${\mu }_{\mu }=50$ µm and ${\sigma }_{\mu }=20$ µm. This means that getting a very tiny egg length of, say, 10 µm is unlikely, as is a very large egg of 90 µm.

For $g(\sigma )$, we might think that the egg length may vary about five or ten microns (approximately 10-20% of our guessed egg size), but not much more than that. We could again choose a Normal prior, with

$$\begin{array}{r}g(\sigma )=\frac{1}{\sqrt{2\pi {\sigma }_{\sigma }^2}}\exp [-\frac{(\mu -{\mu }_{\sigma }{)}^2}{2{\sigma }_{\sigma }^2}],\end{array}$$

with ${\mu }_{\sigma }=5$ µm and ${\sigma }_{\sigma }=2$ µm.

In this case, we have the obvious issue that there is nonzero probability that $\mu$ or $\sigma$ could be negative, which we know is respectively unphysical or mathematically disallowed. We could refine our prior distribution to make sure this does not happen. With any approach we choose, the prior should roughly match what we would sketch on a piece of paper and cover any reasonable parameter values and exclude any that are unreasonable (or unphysical).

Succinctly stating the model

Our model is complete, which means that we have now completely specified the posterior. We can write it out. First, defining the parametrization of the priors.

$$\begin{array}{r}\begin{array}{rl}& {\mu }_{\mu }=50\text{ microns}\\ & {\sigma }_{\mu }=20\text{ microns}\\ & {\mu }_{\sigma }=5\text{ microns}\\ & {\sigma }_{\sigma }=2\text{ microns}.\end{array}\end{array}$$

Then, the posterior is

$$\begin{array}{r}\begin{array}{rl}g(\mu ,\sigma \mid y)=& \frac{1}{f(y)}\{{\left(\frac{1}{2\pi {\sigma }^2}\right)}^{\frac{n}{2}}\exp [-\frac{1}{2{\sigma }^2}\sum _{i=1}^n(y_i-\mu {)}^2]\\ & \times \frac{1}{\sqrt{2\pi {\sigma }_{\mu }^2}}\exp [-\frac{(\mu -{\mu }_{\mu }{)}^2}{2{\sigma }_{\mu }^2}]\\ & \times \frac{1}{\sqrt{2\pi {\sigma }_{\sigma }^2}}\exp [-\frac{(\sigma -{\mu }_{\sigma }{)}^2}{2{\sigma }_{\sigma }^2}]\},\end{array}\end{array}$$

with

$$\begin{array}{r}f(y)=\int \mathrm{d}\mu \int \mathrm{d}\sigma \{\text{term in braces in the above equation}\}.\end{array}$$

Oh my, this is a mess, even for this simple model! Even though we have the posterior, it is very hard to make sense of it. Essentially the rest of the course involved making sense of the posterior, which is the challenge. It turns out that writing it down is relatively easy.

One of the first things we can do to make sense of our model, and also to specify it, is to use a shorthand for model specification. First of all, we do not need to specify the evidence, since it is always given by integrating the likelihood and prior; that is by fully marginalizing the likelihood. So, we will always omit its specification. Now, we would like to have a notation for stating the likelihood and prior. English works well.

• The parameter $\mu$ is Normally distributed with location parameter 50 µm and scale parameter 20 µm.

• The parameter $\sigma$ is Normally distributed with location parameter 5 µm and scale parameter 2 µm.

• The egg lengths are i.i.d. and are Normally distributed with location parameter $\mu$ and scale parameter $\sigma$.

This is much easier to understand. We can write this with a convenient, and self evident, shorthand. [1]

$$\begin{array}{r}\begin{array}{rl}& \mu \sim \text{Norm}({\mu }_{\mu },{\sigma }_{\mu }),\\ & \sigma \sim \text{Norm}({\mu }_{\sigma },{\sigma }_{\sigma }),\\ & y_i\sim \text{Norm}(\mu ,\sigma )\mathrm{\forall }i.\end{array}\end{array}$$

Here, the symbol $\sim$ may be read as “is distributed as.” The above three lines are completely sufficient to specify our model. Because we will be using a probabilistic programming language in practice, we will almost never need to code up any nasty mathematical expressions in our modeling and we can express a model as we have done here.

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[1]

I understand that I should be providing units on all parameters that I am specifying with numbers. I am not doing this here, nor throughout the course, to avoid notational clutter and to maintain focus on the modeling.