Introduction to Bayesian Inference

Say we are given a coin with an unknown success probability $p$. Instead of viewing $p$ as a fixed, unknown value, we instead treat it as a random variable, with its own distribution. As we flip the coin, we can update our previous belief of the distribution with the new information from the subsequent coin flips to obtain a new proposed distribution.

In the example below, we show the updating process of the distribution of the success probablity of the coin. The parameters on the right represent the actual success probability, and the parameters $\alpha$ and $\beta$ of our initial prior or initial guess on the distribution, which is a $Beta(\alpha,\beta)$.

\begin{align*}\\\\ \end{align*}

View the full Observable notebook, including the source, here

Frequentist vs Bayesian Probability

Statistical inference is the process of drawing conclusions about the distribution of data from a sample. Commonly, the goal is to estimate the values of parameters of the distribution— for example, the probability that a coin yields a result of heads.

In the frequentist sense, parameters are thought of to have unknown, fixed values which we are trying to estimate. The tools to accomplish this task are primarily point estimates and confidence intervals.

In Bayesian statistics, parameters are instead viewed as random variables, having probability distributions on their values. Instead of estimating the value of the parameter, the goal is instead to determine its probability distribution. We can perform similar inference to the frequentist setting by considering the maximum a posteriori estimate or by constructing credible intervals, but by having a distribution on the parameters we retain more information about the confidence in our estimates.

Bayes’ Theorem

Bayesian statistics relies on Bayes theorem, a fundamental result regarding conditional probability. For events $A$, $B$, we have $P(A|B)=\frac{P(B|A)P(A)}{P(B)}$.

In inference problems, we often let $\theta$ denote the parameter(s) in question, and $y$ denote the data that we observed. We may then apply Bayes’ theorem:

$P(\theta|y) = \frac{P(y|\theta)P(\theta)}{P(y)}$
• $P(\theta|y)$ is called the posterior distribution– the resulting probability distribution on the parameter $\theta$ given that we have observed that data $y$
• $P(\theta)$ is our prior distribution– this quantifies our previous beliefs on $\theta$. A uniform prior would represent no prior knowledge.
• $P(y|\theta)$ is our likelihood function– this represents how likely we are to obtain the observed data given a value of $\theta$
• $P(y)$ represents a normalization factor– the essence of Bayes’ theorem is really that the numerator is the posterior is proportional to the product of the prior and the likelihood. Dividing by $P(y)$ is equivalent to normalizing the posterior.

Inference

The process of inference in a Bayesian setting is the process of calculating (or approximating) a posterior distribution on $\theta$ given the observed data $y$ and a given prior (often uniform in practice, or an educated guess). Given an exchangable set of data, DeFinetti’s theorem guarantees that the same posterior distribution will be reached independently how many times we ‘update’ the posterior, and the order relative to the data by which we ‘update’ it. As an example, this means if we flip a coin repeatedly and update the posterior each time, we will obtain the same result as if we updated the posterior once after many flips (provided the set of flips is the same).

The maximum a posteriori, or MAP estimate, is a point estimate for a parameter obtained by taking the mode of the posterior distribution, sometimes written as $\text{arg max } P(\theta\lvert y)$. This can be viewed as the Bayesian equivalent of the maximum likelihood estimate (MLE), and is equivalent in the case when the initial prior used is uniform.

Credible intervals are the Bayesian counterpart to confidence intervals. The two sided credible interval at the $\alpha$ significance level contains $1-\alpha$ of the probability mass of the posterior distribution, and is weighted such that $\frac{\alpha}{2}$ is left in the tail on each side.

Computing the Posterior

Computing the normalizing factor $P(y)$ turns out to be often difficult in practice– it is typically calculated as $P(y)=\int P(y|\theta)P(\theta)\,\mathrm{d}\theta.$ However, in real applications, particularly high-dimensional ones, such an integral often becomes nearly impossible to solve analytically, and difficult to approximate using canonical numerical techniques. Before discussing the solution to this issue, we first discuss a special case that avoids it entirely.

Conjugate Priors

The posterior distribution is proportional to the product of the prior and the likelihood, and computing the normalization factor is often the difficult part. However, for certain pairs of prior distributions and likelihood functions, called conjugates, the posterior will conveniently be of the same family of distributions as the prior.

For example, consider a beta prior and a binomial likelihood function. Observe

\begin{align*} P(\theta\lvert y) &= \frac{\binom{n}{y}\theta^y(1-\theta)^{n-y} \frac{\Gamma(\alpha + \beta)}{\Gamma(\alpha)\Gamma(\beta)}\theta^{\alpha-1}(1-\theta)^{\beta-1}}{\int_0^1\binom{n}{y}\theta^y(1-\theta)^{n-y}\frac{\Gamma(\alpha+\beta)}{\Gamma(\alpha)\Gamma(\beta)}\theta^{\alpha-1}(1-\theta)^{\beta-1}\,d\theta} \\\\ &= \frac{\theta^{y+\alpha-1} (1-\theta)^{n+\beta-y-y}}{\int_0^1\theta^{y+\alpha-1} (1-\theta)^{n+\beta-y-y} } \\\\ &= \frac{\Gamma(\alpha+\beta)}{\Gamma(\alpha)\Gamma(\beta)}\Big(\theta^{\alpha+y-1}(1-\theta)^{\beta+n-y-1}\Big) \\\\ &= \text{Beta}(\alpha+y,\beta+n-y) \end{align*}

with the simplification in the third equality coming from the fact that the denominator is the integral of a $\text{Beta}(\alpha+y,\beta+n-y)$ distribution without its normalizing coefficient, which will evaluates exactly to the reciprocal of said coefficient.

Taking advantage of conjugate priors allows certain problems to become tractable, provided we use the correct priors.

Sampling

When we do not have the luxury of using conjugate priors, it is often necessary to use numerical methods to approximate the posterior distribution. A frequently used example of these are known as Markov Chain Monte Carlo (MCMC) methods.

In essence, the goal is to create a Markov chain with an equilibrium distribution equal to the posterior distribution. Then, after we let the chain get sufficiently close to the equilibrium distribution (burn-in period), sampling states from the chain approximates sampling points from the distribution. We can use these points to approximate the distribution with a histogram.

A natural question at this point remains: how do we construct such a Markov chain?

This is beyond the scope of this post, but stay tuned for an upcoming post on sampling methods, MCMC methods, and the Metropolis-Hastings algorithm.

Takeaway

The main things to takeaway is that the Bayesian methodology gives us a new perspective– parameters are expressed as random variables, with their own probability distributions, and ‘beliefs’ (in the form of priors) are now probabilistically quantified (which has been a historical controversy).