How can I select a ROPE range for a logistic model based on odds ratios

General
21

This is the key point. I would recommend simulating this to get a feel for what’s going on. Set up a simple regression model with simulated data. It can be as simple as estimating the mean of a normal distribution with a fixed standard deviation of 1.

data {
   int<lower=0> N;
   vector[N] y;
}
parameters {
  real mu;
}
model {
  y ~ normal(mu, 1);
}

From this, I simulated 10 data points using Python,

>>> y = np.random.randn(10)
>>> y
array([ 1.01965314, -1.88385894,  0.83243863, -1.07899283, -0.46363943,
       -0.10507314,  0.84011055,  1.29692573,  0.44435409, -0.41459175])

and then fit the model using 100 iterations and printed the summary:

>>> f = m.sample(data = data, iter_sampling=100, chains=1)

>>> f.summary()
          Mean      MCSE    StdDev
mu    0.099474  0.037207  0.251690

The MCSE is the uncertainty in our estimate of 0.09 for the mean. The StdDev is the posterior standard deviation on mu. We see that if we go up to 10,000 sampling iterations, the MCSE goes down, but not the posterior StdDev:

         Mean      MCSE    StdDev
mu    0.04563  0.004718  0.311458

We expect the MCSE to go down by a factor of sqrt(10000/100) = 10 when moving from 100 to 10000 draws (this is theory), which is about what we see.

Now compare to what happens when I go from 10 to 10_000 observations, first with 100 MCMC iterations,

             Mean      MCSE    StdDev
mu      -0.000081  0.001603  0.009995

and then with 10,000:

             Mean      MCSE    StdDev
mu       0.001594  0.000167  0.010147

Here’s a quick summary table that I hope makes things clear.

data size MCMC iterations MC standard error Posterior standard deviation
10 100 0.037 0.25
10 10,000 0.004 0.31
10,000 100 0.0016 0.010
10,000 10,000 0.00017 0.010

This is confusing because both give you uncertainty around mu. The posterior standard deviation is your true, irreducible uncertainty derived from the model. The Monte Carlo standard error just gives you uncertainty in your estimate of the mean of mu. Technically,

MCSE = StdDev / sqrt(N_eff)

where N_eff is the effective sample size. We also expect the posterior standard deviation to shrink at a rate of 1 / sqrt(N), where N is the data size.

2 Likes
22

My daily struggle.

Like others pointed out, one reason I prefer Bayesian is that it separates quantification from decision making. But that’s also exactly why many prefer NHST over Bayesian: a decision, regardless sound or not, is made when you come out of NHST. One may argue how inconsistent the procedure is or why it is not a Fisherian approach, but its prevalence forced Bayesians to come up something similar, and ROPE is one such effort, IMO an admirable one.

In general, while it’s safe to say “the war is over”, and I never had issues in discussing Bayesian methods with colleagues, I still see obstacles at institutions level. Though @Bob_Carpenter mentioned there are sponsors endorsing Bayesian, from my experience that’s more of an exception. If anybody interested in advancing Bayesian in drug development endorsement, a great pathway is Bayesian Supplemental Analysis (BSA) Demonstration Project | FDA.

23

I think that requires some mapping of p-value to action, at the very least a threshold like 0.05 below which to act in some specified way (e.g., approve a drug).

I’m not a fan of ROPE because it’s so parameterization-dependent. I find central intervals much easier to understand conceptually and they have the same coverage if that’s all you care about. Is the issue with ROPE that it gives you more “power” to, for example, exclude zero?

The really nice part about Bayesian decision theory is that it separates decision making from fitting the posterior.