Statistics 360/601 Modern Bayesian Theory

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Transcription:

Statistics 360/601 Modern Bayesian Theory Alexander Volfovsky Lecture 5 - Sept 12, 2016

How often do we see Poisson data? 1

2 Poisson data example Problem of interest: understand different causes of death

2 Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate

2 Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate (Why? Policy implications for pollution caps?)

2 Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate (Why? Policy implications for pollution caps?) Studying a single city with population 200,000

Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate (Why? Policy implications for pollution caps?) Studying a single city with population 200,000 Object (parameter) of interest: asthma mortality per 100,000

Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate (Why? Policy implications for pollution caps?) Studying a single city with population 200,000 Object (parameter) of interest: asthma mortality per 100,000 Observed data: 3 deaths in the city.

Poisson data example Problem of interest: understand different causes of death Specific problem: studying the asthma mortality rate (Why? Policy implications for pollution caps?) Studying a single city with population 200,000 Object (parameter) of interest: asthma mortality per 100,000 Observed data: 3 deaths in the city. Crude estimate: 1.5 deaths per 100,000.

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure.

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit.

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit. Commonly used in epidemiological studies

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit. Commonly used in epidemiological studies Comes from an assumption of exchangeability among small intervals of exposure

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit. Commonly used in epidemiological studies Comes from an assumption of exchangeability among small intervals of exposure y θ Poisson(2θ)

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit. Commonly used in epidemiological studies Comes from an assumption of exchangeability among small intervals of exposure y θ Poisson(2θ) (Why? Parameter of interest is per 100,000 and the city has 200,000 people)

Poisson sampling model? Lets parametrize a Poisson distribution in terms of rate and exposure. p(y θ, x) θ y exp( xθ) where θ is the rate and x is the exposure of a unit. Commonly used in epidemiological studies Comes from an assumption of exchangeability among small intervals of exposure y θ Poisson(2θ) (Why? Parameter of interest is per 100,000 and the city has 200,000 people) y = 3, x = 2 and θ is unknown.

Priors Review asthma mortality rates around the world suggests 0.6 per 100,000 people in Western countries is typical.

Priors Review asthma mortality rates around the world suggests 0.6 per 100,000 people in Western countries is typical. 1.5 per 100,000 is rare.

Priors Review asthma mortality rates around the world suggests 0.6 per 100,000 people in Western countries is typical. 1.5 per 100,000 is rare. If our city is exchangeable with other cities then we can take a prior with mean 0.6 and 97.5% of the mass lying below 1.5:

Priors Review asthma mortality rates around the world suggests 0.6 per 100,000 people in Western countries is typical. 1.5 per 100,000 is rare. If our city is exchangeable with other cities then we can take a prior with mean 0.6 and 97.5% of the mass lying below 1.5: Comparison of Gamma with mean 0.6 Density 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Distributions a=3,b=5, q =1.44 a=6,b=10, q =1.17 a=9,b=15, q =1.05 a=12,b=20, q =0.98 a=0.6,b=1, q =2.77 0.0 0.5 1.0 1.5 2.0 x value

Priors Review asthma mortality rates around the world suggests 0.6 per 100,000 people in Western countries is typical. 1.5 per 100,000 is rare. If our city is exchangeable with other cities then we can take a prior with mean 0.6 and 97.5% of the mass lying below 1.5: Comparison of Gamma with mean 0.6 Density 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Distributions a=3,b=5, q =1.44 a=6,b=10, q =1.17 a=9,b=15, q =1.05 a=12,b=20, q =0.98 a=0.6,b=1, q =2.77 0.0 0.5 1.0 1.5 2.0 x value (What did we do? Set the prior mean α/β = 0.6 and play with the parameters)

5 Posterior We choose Gamma(3, 5) as our prior.

5 Posterior We choose Gamma(3, 5) as our prior. We know this is a conjugate set up so...

5 Posterior We choose Gamma(3, 5) as our prior. We know this is a conjugate set up so... Posterior is given by Gamma(α + y, β + x)

5 Posterior We choose Gamma(3, 5) as our prior. We know this is a conjugate set up so... Posterior is given by Gamma(α + y, β + x) In this data example the posterior is Gamma(6, 7)

5 Posterior We choose Gamma(3, 5) as our prior. We know this is a conjugate set up so... Posterior is given by Gamma(α + y, β + x) In this data example the posterior is Gamma(6, 7) Posterior mean is 0.86, shrinking the data substantially towards the global mean.