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Future directions in statistical methodology – a few speculations

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Presentation Transcript

Elja Arjas

Developments in Statistics: Past, Present and Future

Aalto University, October 20th 2010

Future directions in statistical methodology – a few speculationsDepartment of Mathematics and Statistics

University of Helsinki

and

National Institute for Health and Welfare (THL)

Big Question: How is statistics going to develop from its present status today?

- Cannot know, but speculation is always possible …
- If you want to predict into the future, look first at what has happened in the past.
- True but trite: Increase of computational power has changed dramatically what is actually feasible to do numerically - and thereby our discipline as a whole.
- Therefore “statistics has already changed”! And it continues to do so …

Are we perhaps heading towards “tehchnological singularity”?

- "Of the three primary revolutions underlying the Singularity (genetics, nanotechnology, and robotics (GNR)), the most profound is R, which refers to the nonbiological intelligence that exceeds that of unenhanced humans. A more intelligent process will inherently outcompete one that is less intelligent, making intelligence the most powerful force in the universe.”

(Kurzweil (2005): “The Singularity is Near”.)

- I will acknowledge being, not only uncertain, but actually completely ignorant about this topic and therefore won’t even try to touch it in this talk.

Can we expect that there will always be a “core of statistics” that remains?

- With expected enormous increase of computational power, do people still need statistics? Could one not just simulate?
- As statisticians we need to face fair competition from areas and backgrounds represented by computer scientists, engineers, and others.
- If statistics is to remain a true and viable scientific discipline – and statisticians as experts representing it – what are the particular strengths that will make its survival and continued vitality possible?

Key developments in recent past?

- In this regard, I believe that by far the most interesting development in the recent past has been the emergence of ’neo-Bayesian’ statistical inference.
- But this has not happened without opposition …

A brief historical account: R.A. Fisher (1922)

- “It is this last confusion, … which has led to the survival to the present day of the fundamental paradox of inverse probability, whichlike an impenetrable jungle arrests progress towards precision of statistical concepts.”

‘subjective’ vs. ‘objective’

the prior distribution (which is a real ‘red herring’ in much of the

discussion)

“The usual suspects” in Bayesian inference‘subjective’ vs. ‘objective’

- “There is no need to apologize for the role of subjectivity in statistical analysis: … , all scientific activity that has an inferential character inescapably involves judgment (the data never really “speak for themselves" when you look closely at how scientific inferences are made), and indeed to be human is to make choices based on assumptions and judgments every waking moment.”

(D. Draper, 2006)

- “The high ground of scientific objectivity has been seized by the

frequentists.” (B. Efron, 1986)

The choice of prior …

- … is an advantage, by providing an opportunity to bring existing subject matter knowledge into the inferential problem, or
- … is an inherent weakness of the Bayesian approach, as the results of the data the analysis (= the posterior) will depend on how the prior is chosen.
- Because of the latter argument, a large number of alternative approaches have been introduced to establish ‘non-informative’ or ‘objective’ prior distributions, carrying names such as Jeffreys prior and reference prior.

A more interesting question than these two is …

- At the heart of the ‘Bayesian approach’ to inference is the question

How is the concept of ‘probability’ understood?

- Look again at what Fisher (1922) wrote:

“ … probability is the most elementary of statistical concepts. It is a parameter which specifies a simple dichotomy in an infinite hypothetical population, and it represents neither more nor less than the frequency ratio which we imagine such a population to exhibit.”

Fisher (1922), cont’d …

- “… known as that of inverse probability… This amounts to assuming that before A was observed, it was known that our universe had been selected at random for an infinite populationin which X was true in one half, and Y true in the other half. Clearly such an assumption is entirely arbitrary, nor has any method been put forward by which such assumptions can be made even with consistent uniqueness.”
- In other words, Fisher first says that probabilities can only be interpreted as relative frequencies in hypothetical infinite populations, and then he forces that interpretation to a context where it is plainly inappropriate, and finally ridicules what he just did.

Fisher (1922), cont’d …

- It would of course be a very bad mistake not to acknowledge the fact that Fisher, in this same (1922) paper, actually lays the foundations of statistical science as we know it today.
- With regard to his narrow interpretation of the concept of probability, the situation can perhaps be described by the German proverb “In Begrenzungen zeigt sich der Meister”, roughly translated as “A true master can be recognized from his limitations”.)

Fisher vs. Jeffreys, Laplace

- Alternative, and more general, interpretations of probability certainly existed at Fisher’s time as well as earlier. Harold Jeffreys (1939), a contemporary of Fisher, summarized his views by

“The essence of the present theory is that no probability, direct

prior, or posterior, is simply a frequency”.

- Even if Fisher had no respect for Bayes or Jeffreys, his (1922) paper witnesses some puzzlement about how the great genius Laplace could have thought of probability so differently than he himself. According to Laplace (1819)

“Probability theory is nothing but common sense reduced to

calculation”.

Fisher vs. de Finetti

- Jeffreys’ ideas on probability gets an even more radical expression in de Finetti’s famous exclamation

“Probability Does Not Exist” .

- de Finetti was no second to Fisher in expressing sarcasm towards those with whom he disagreed:

“The numerous, different, opposed attempts to put forward particular points of view which, in the opinion of their supporters, would endow Probability Theory with a ‘nobler’ status, or a more ‘scientific’ character, or ‘firmer’ philosophical or logical foundations, have only served to generate confusion and obscurity, and to provide well-known polemics and disagreements, even between supporters of essentially the same framework”. (de Finetti 1974, p. xi)

Recent development: Bayesian (r)evolution

Given the perfect wisdom provided by hindsight, one can now see that there are very many who have not cared about Fisher’s warnings. - Frequencies of ‘hits’ found by Google:

Bayes’ Theorem 380 000

Bayes’ Formula 444 000

Bayesian statistics 1 120 000

Bayesian inference 615 000

Prior distribution 8 830 000

Posterior distribution 1 830 000

Bayesian (r)evolution

- There has been a spectacular expansion in (so-called) Bayesian statistics or Bayesian inference during the past 50 years or so.
- The driving force behind it has been computational: in addition to advances in hardware technology, there have been major developments in algorithmic simulation methods enabling efficient numerical integration in high-dimensional spaces.
- An equally important factor has been the realization by many scientists that, because of its ’liberal interpretation’ of probability

as a quantitative measure of uncertainty, Bayesian statistics provides useful answers in the considered substantive context.

Bayesian (r)evolution (cont’d)

- This has led to a corresponding expansion in the application of such methods in a large number of research areas including

- medicine and health sciences

- genetics, perhaps particularly phylogenetics

- bioinformatics

- various areas of technology and engineering, e.g., signal and image analysis, pattern recognition, computer vision, and reliability and safety studies, where Bayesian methods have been recently replacing methods such as neural networks.

Bayesian (r)evolution (cont’d)

- Emerging new areas, where analogous developments have

started to gain popularity, are

- archaeology

- environmental sciences, including climate science

- estimation of natural resources, e.g. in fisheries

- astronomy and astrophysics

Practical suggestions on how teaching of probability and statistics should be changed

- Given such a multitude of interesting new areas where statistical methods have been applied, it seems to me that the ways in which many of the key statistical concepts are taught today need to be revised.
- In particular, viewing probability solely from the perspective of random sampling from hypothetical infinite populations is far too restrictive to form a natural conceptual basis of statistical science today.
- Here is a list, put together in a somewhat ad hoc manner, about things where I believe such revision would be necessary:

Suggestions: the concept of probability

- Presently important aspects relating to the interpretation of the concept of ‘probability’ are either bypassed completely (treating probability as a ‘measure’), restricted to the (in textbook examples mostly) trivial case of symmetry, or hidden behind a circular argument (‘the law of large numbers’). This should be changed!

Suggestions: interpretation of probability

- Widely different meanings and interpretations for probability are indeed being used in practice outside of statistical theory side by side, with the colloquial meaning referring directly to a ‘degree of belief’ or ‘plausibility’.
- These different modes of interpretation appear to correspond in a natural way to how the flexible human mind works.

Suggestions: axiomatic basis/bases

- Not trying to dispute here that statements or events to which probabilities are assigned can be ontologically different, I nevertheless don’t see any compelling reason why the same mathematical formalism, set up by Kolmogorov’s axioms for probability calculus, could not be used in all of them.
- Rather, the opposite view is supported by arguments such as the axiomatic framework of R.T. Cox (1946, 1961) (These ideas, and much else, are presented in the mammoth size but very readable and entertaining monograph of Jaynes (2003). This book deserves to be read by every professional statistician.)

Suggestions: interpretation (cont’d)

- Probabilities depend of the information that is available. This idea is intrinsic, and probabilities should be viewed primarily from this perspective rather than, for example, as ‘propensities’ of physical objects.
- In this sense, all probabilities are conditional, and they change when the information changes even when the underlying physical state does not. This is easily demonstrated by suitable ‘balls in an urn’ examples, or the famous Monty Hall Problem.

Suggestions: terminology

- In most text books of introductory statistics, model parameters are characterized by the epithets ‘fixed but unknown’. This conveys the message that ‘fixed unknown things’ could not be described in terms of probabilities. This conflicts with the colloquial meaning of the word ‘probability’ and, in my view, with common sense.
- The semantic confusions concerning the different interpretations of probability are only made bigger by use of the term ‘random variable’, giving the impression that it is necessarily something that ‘varies’ (supposedly over time, in repeated sampling, etc.) A better term, also suggested by Lindley, would be ‘random quantity’, which unfortunately has not caught on.

Suggestions: (in)dependence

- A clear distinction should be made between physical (causal) (in)dependence and logical (in)dependence. Not doing so leads to frequent misunderstandings and much confusion.
- Unqualified use of concepts of dependence / independence, such as “iid” without mentioning what is assumed to be known, should be banned from use.

Suggestions: practical uses of probability

- Probabilities can provide useful descriptions of one’s knowledge of the past (retrodiction), present (state estimation), or the future (prediction).
- But prediction is where using probability is hardest. This is because our limited ability to extend our imagination beyond circumstances about which we already know a great deal. Terms such as ‘ignorance’, ‘black swans’, and ‘unknown unknowns’, are an attempt to say something about situations in which that is not the case. (If one is not even able to state a clear question, then it is hopeless to expect that he or she could assign a meaningful numerical value to the probability of the correct answer.)

Suggestions: product rule

- Sequential conditioning (product rule) and the concept of conditional independence need to be taught to everybody. (Now the former is typically hidden in the form of the so-called ‘definition of conditional probability’, and the latter – a crucially important concept in statistics - does not appear in the standard text books at all).

Suggestions: statistical models

- A statistical model should be viewed as a means of providing an adequate description of the knowledge which the observer / statistician (believes he or she) has. One should be very cautious with terminology even indirectly conveying the idea that ‘the model is true’ (cf. the famous quote of G.E.P. Box (1979):

“All models are wrong, but some are useful”).

- Perhaps we should completely dispense with phrases such as ‘true model’ and ‘true parameter value’? - If we don’t do that, then some people are inevitably misled into thinking that such things actually exist, in some absolute sense in Nature.

Suggestions: model assessment and prediction

- It is a consequence of the perception that probabilities are expressions of the available information, that larger data sets typically justify more complex model structures. With more information models can be updated or revised.
- Such ideas are put to test most directly when making predictions about future observables, as suggested, e.g., by Geisser (1971), Dawid (1984), and Gelman et al. (2003).

Suggestions: model assessment (cont’d)

- As a general rule, the sensitivity of the results to a particular choice of a model specification may be assessed most conveniently by techniques such as cross-validation, or dividing the data into separate training and validation sets.
- For a confirmatory analysis, as in clinical trials, it would be a good idea to compare the results obtained by ‘optimistic’ and ‘pessimistic’ priors concerning possible effect sizes (Spiegelhalter and Freedman, 1986).

Suggestions: tradition of linear modeling

- Linear models have been the work horse of statistics for decades, and are still used, routinely and understandably, for example in so-called p>>n problems.
- However, except in rare special cases where linear models provide genuinely accurate descriptions of the studied phenomenon, such rigid parametric functional forms of models should be used only as first crude approximations when the data are sparse.
- From a Bayesian perspective, they correspond to specification of a singular prior in the space of plausible models. Isn’t that ‘subjective’ to the extreme?

Suggestions: individual parameter estimates

- Largely based on a tradition arising from linear models, people tend to be overly concerned with the values of individual parameters in their models, and with testing the statistical significance of some simple hypotheses related to them.
- Instead, they should be considering the overall shape of the functions appearing in their models, and the consequences which their estimates have to understanding, and to predicting future values of observable variables.

Suggestions: important aspects of modeling

- Important aspects that should be accounted for in models include: - hierarchical structures (involving latent variables, which then help one make a distinction between the underlying physical reality and the measurement data), and

- explicit consideration of time (using formulations based on stochastic processes, an important area in probability theory which is typically completely missing from the curricula designed for training professional statisticians).

Suggestions: appreciation of uncertainty

- Sometimes (as in fisheries science, and climate science) one should view a realistic assessment of uncertainty to be at least as important as striving to obtain a highly precise estimate, which in the end may turn out to be far off the mark.
- Combined with a sound risk-averse attitude, the pay-off from the former approach may be much bigger.

Suggestions: Bayes/Bayesian?

- Finally, how about also getting rid of the word ‘Bayesian’, and replacing it – where some qualification is necessary – by ‘probabilistic’?

Future: Will there be a reconciliation / synthesis of the Bayesian and frequentist approaches?

- Back to Google ‘hits’:

p-value 96 700 000

confidence interval 5 380 000

Future: Will there be a reconciliation / synthesis of the Bayesian and frequentist approaches?

- Back to Google ‘hits’:

p-value 96 700 000

confidence interval 5 380 000

- Most people (= non-statisticians) who make use of p-values in reporting the results from their data analysis think that

p-value = Pr(H0 | data)

- Those who are advised to use confidence intervals – a common recommendation by journal editors these days – similarly think that the 95 percent confidence interval they have determined “contains the unknown parameter with probability 0.95”.

P-values …

- Such interpretations are perfectly natural, and indeed, what most scientist would like to get based on their analysis of the data. But they are Bayesian concepts, cannot be obtained without specifying a full probability model, and the reference to probability is then to that model (including the prior).
- “People are thentrying to eat the Bayesian omelet without cracking the Bayesian egg.
- Every now and again there is an outcry about this, e.g.,

J. P. A. Ioannidis (2005): Why most published research findings are false. PLoS Medicine 2(8): e124

- However, it is most likely that these warnings will have little effect on the common practices that are followed.

P-values …

- The situation is akin to the common use of the English language: ‘Broken English’ cannot be controlled by Oxford, Webster’s, or even BBC.
- A partial defence of this practice could be:

… a concept, even when it its original meaning is not understood, or is misunderstood in the same way by sufficiently many, can be a useful means for communication.

P-values …

- But things are currently really taken to their extreme:

p-values of the order 10-7, or less, appear now in p >> n problems, for example, when trying to establish genetic risk factors from genome wide scans from amongst 106 SNP’s (SNP = single nucleotide polymorphism).

- I don’t think that any of the founding fathers of hypothesis testing (Fisher, Neyman , E. Pearson) could have imagined a situation in which multiple hypothesis testing would be applied to 106 hypotheses.
- The question, then, is whether it still makes sense?

What some wise people have said …

- B. Efron (1986): Why Isn\'t Everyone a Bayesian? The American Statistician, February 1986, Vol. 40, No. 1:

Why is so much of applied statistics carried out in a Fisherian mode? One big reason is the automatic nature of Fisher\'s theory.

… the working statistician can apply maximum likelihood in an automatic fashion, with little chance (in experienced hands) of going far wrong and considerable chance of providing a nearly optimal inference. In short, he does not have to think a lot about the specific situation in order to get on toward its solution.

… Bayesian theory requires a great deal of thought about the given situation to apply sensibly.

What some wise people have said …

- M.J. Bayarri and J.O. Berger (2004): The Interplay of Bayesian and Frequentist Analysis:

It seems quite clear that both Bayesianand frequentist methodology are here to stay, and that we should not expect either to disappear in the future. … Philosophical unification of the Bayesian and frequentist positions is not likely, nor desirable, since each illuminates a different aspect of statistical inference.

What some wise people have said …

- Rod Little (2006): Calibrated Bayes: A Bayes / Frequentist Roadmap. American Statistician

The lack of an agreed inferential basis for statistics makes life “interesting” for academic statisticians, but at the price of negative implications for the status of statistics in industry, science, and government. … An assessment of strengths and weaknesses of the frequentist and Bayes systems of inference suggests that … inferences under a particular model should be Bayesian, but model assessment can and should involve frequentist ideas.

My own summary points

- The well known prediction (de Finetti, Lindley) according to which the statistical world will be Bayesian in 2020 is not going to be true!
- Frequentist methods are easier to use, and therefore suitable for exploratory data analysis and model assessment and calibration.
- Predictive inference concerning future observables should be emphasized, then largely replacing the apparatus of hypothesis testing relating to parametric distribution families and specific parameter values.

My own summary points (cont’d)

- As professional statisticians we should be involved in scientific work which is challenging, both with respect to methods and substance. To adequately meet this challenge, a large proportion of the current statistical practices need to be thrown over board.

My own summary points (cont’d)

- A major part of the activities of mathematical statisticians has been devoted to first defining a new estimator or a test, and then establishing its asymptotic optimality properties when assuming that the sample size goes to infinity. This line of research has provided work to academic statisticians for decades, but is unlikely to lead to practically useful major new discoveries in the future.
- The need to establish analytic asymptotic expressions is already diminished by the easy availability of reference distributions obtained by straightforward numerical simulations.

My own summary points (cont’d)

- The energies should therefore now be re-directed, with an emphasis on serious modeling issues arising from applications, and on consequent problems relating to computation.
- Useful ideas from machine learning and artificial intelligence should be employed to a greater extent: Let us join forces with computer scientists and engineers in areas which they know well.
- In the end, what counts is good science!

A final point

One of the obvious advantages – and risks – in making explicit predictions concerning future observables is that, after some time has passed, they can be verified as having been either right or wrong.

A final point

- Therefore, those of you in the audience listening to this lecture (or reading this paper) who happen to be around still in 2020, or in 2030, try to make an assessment of how statistics has developed by then, and check how wrong I was!
- I hope to be able to still join you in doing that. Just for curiosity, of course.

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