Bridge sampling

Hi,

With the random data below, I am testing if the difference between a parameter and a hierarchical population paramter is 0 using bayes factors. H0.stan is the null, mean =0, hypothesis and H1.stan is the non-zero hypothesis. I am getting a bayes factor that looks too extreme and I was wondering where something may be off. Thank you.

r code:

library(ggplot2)
library(dplyr)
library(rstan)
library(bridgesampling)
set.seed(1234)
N= 100
Y = c(rnorm(N,1,5), rnorm(N,1,5), rnorm(N,1,5))
group  = rep(c(1:3),each =N)
data = data.frame(Y=Y, group = group)
ggplot(data, aes(Y,color = as.factor(group)))+geom_density()
input = list( N= length(group), N_group = 3, group = group, Y=Y)
fit = stan(file = "group_stan.stan",data=input,seed=233,chains = 1 ,control =list(adapt_delta = .99))
alpha <- as.data.frame(extract(fit)$alpha)
mu_alpha = as.numeric(extract(fit)$mu_alpha)
means = data.frame(
y = c(as.numeric(alpha[,1]),as.numeric(alpha[,2]),as.numeric(alpha[,3]),mu_alpha),
group = rep(c("1","2","3","population"),each= length(mu_alpha)  )             
)
alpha_diff = alpha - mu_alpha #diff means vs. population
params=as.data.frame(extract(fit,pars=c("alpha","mu_alpha","sigma","sigma_alpha")))
summary(fit,pars =c("alpha","mu_alpha","sigma_alpha",
                    "sigma","mu_sigma","sigma_sigma"))
#plots
pairs =pairs(params)
means_plot = ggplot(means, aes(y, group= group,color = group))+geom_density()
##  diffs vs. population

fitH0 = stan(file = “H0.stan”,data=input,seed=233,chains = 1 ,
iter = 40000, warmup = 2000,
control =list(adapt_delta = .95))
input=list(N=nrow(alpha_diff),Y = alpha_diff[,1] )
fitH1 = stan(file = “H1.stan”,data=input,seed=233,chains = 1 ,
iter = 40000, warmup = 2000,
control =list(adapt_delta = .95))

#bayes factor for group 1 mean  vs population mean 
H0 = bridge_sampler(fitH0, silent = TRUE)
H1= bridge_sampler(fitH1, silent = TRUE)
bf(H1, H0)

error_measures(H0)$percentage
error_measures(H1)$percentage

bf(H1, H0)
Estimated Bayes factor in favor of H1 over H0: 768116452207877328404080484444020800642220886680040406022880082282868844846644220600428.00000
error_measures(H0)$percentage
[1] “0.0202%”
error_measures(H1)$percentage
[1] “0.0232%”

group_stan.stan

  data{
      int<lower=1> N;
      int<lower=1> N_group; 
      int<lower=1, upper =N_group> group[N];
      real Y[N]; 
    }
    parameters{
      vector[N_group] alpha; 
      real mu_alpha;
      real<lower=0> sigma_alpha;
      
      vector<lower=0>[N_group] sigma;
      real mu_sigma;
      real<lower=0> sigma_sigma;
    }
    model{
      target += normal_lpdf(mu_alpha | 1, 1);
      target += normal_lpdf(sigma_alpha | 10, 1);
      target += normal_lpdf(alpha | mu_alpha, sigma_alpha);
      
      target += normal_lpdf(mu_sigma | 1, 1);
      target += normal_lpdf(sigma_sigma | 10, 1);
      target += normal_lpdf(sigma | mu_sigma, sigma_sigma);
      for(n in 1:N){
        target += normal_lpdf(Y[n] | alpha[group[n]], sigma[group[n]]);
      }
    }
    generated quantities{
      vector[N] y_ppc;
      for(n in 1:N){
        y_ppc[n] = normal_rng(alpha[group[n]],sigma[group[n]]);
      }
    }

H1.stan

data{
  int<lower=1> N;
  real Y[N]; 
}
parameters{
  real alpha; 
  real sigma;
}
model{
    target += normal_lpdf(alpha | 0,10);
    target += normal_lpdf(sigma |5,5);
for(n in 1:N){
     target += normal_lpdf(Y[n] | alpha, sigma);
  }
}

H0.stan

data{
  int<lower=1> N;
  real Y[N]; 
}
parameters{
  real sigma;
}
model{
      target += normal_lpdf(sigma | 5, 5);
for(n in 1:N){
      target += normal_lpdf(Y[n] | 0, sigma);
  }
}

If you are going to do something like this, always call the bridgesampling::error_measures function on your H0 and H1. Also, often you need ore than the default number of iterations in Stan and priors that differ from the ones we would normally recommend for estimating parameters.

Hi- Thank you for your response. I updated the number of iterations and added the error_measures which is low. Can you offer an reccomendations on how the priors should change?

I’m not really the person to say. In situations like this, people such as @Henrik_Singmann tend to go with priors that have much more probability that a coefficient is near zero.

The approach you use here does not sound like a proper Bayesian approach. One of the main benefits of a Bayesian approach is that you can estimate all quantities of interest in one step. In contrast, you do a two step procedure. You first fit a model and then pass the posterior of the first model to a second model.

Specifically, you run a second set of models testing if the posterior of alpha_diff[,1] is different from zero. The “power” of this test is of course a function of the number of posterior samples of the first set in addition to the data, which sounds at least dubious. Plainly, these results are wrong.

I highly recommend to only plot the distribution of alpha_diff and see if it is above zero. That seems to be what you want. No Bayes factors necessary. They should only be used if there is a really good reason for it (so not in such a case).

A Bayes factor approach would require a variant of group_stan.stan in which the parameter of interest is set to zero. Then you compare the fits of these two models. But then, the priors for this parameter must be chosen that enable Bayes factor model selection. This is generally difficult and I only recommend doing it if the prior were designed for this. You might want to check out the logic of Jeffery’s default Bayes factors.

Thank you for your response. I was looking here:

https://cran.r-project.org/web/packages/bridgesampling/vignettes/bridgesampling_stan_ttest.html

where “These data can be analyzed via a one-sample t-test by first computing the difference scores and then conducting the t-test using these difference scores as data.” In was looking to do the same thing where my score differences are from a previous model: a mean vs. the population and my prior is a normal vs. the Jeffery’s. The difference in means is not a parameter in group_stan which I why have H1 and H0.stan and I need to explicitly calculate the BFs instead of a plot to analyze the score. I will look into the reference. Thank you.

But you are not using the difference scores, but the posterior of the difference estimate/coefficient. That is the problem. So you could perform a transformation of the data and use this as the data in your model, but not the output of a model. Hope that is clear.