Mathematical Theory of Bayesian Statistics

331 Pages·2016·6.213 MB·English

by  Watanabe, Sumio

Mathematical Theory
of Bayesian Statistics

Mathematical Theory
of Bayesian Statistics
Sumio Watanabe
CRC Press
Taylor & Francis Group
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Contents
Preface ix
1 Definition of Bayesian Statistics 1
1.1 Bayesian Statistics . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Probability Distribution . . . . . . . . . . . . . . . . . . . . . 4
1.3 True Distribution . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.4 Model, Prior, and Posterior . . . . . . . . . . . . . . . . . . . 9
1.5 Examples of Posterior Distributions . . . . . . . . . . . . . . 11
1.6 Estimation and Generalization . . . . . . . . . . . . . . . . . 17
1.7 Marginal Likelihood or Partition Function . . . . . . . . . . . 21
1.8 Conditional Independent Cases . . . . . . . . . . . . . . . . . 25
1.9 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2 Statistical Models 35
2.1 Normal Distribution . . . . . . . . . . . . . . . . . . . . . . . 35
2.2 Multinomial Distribution . . . . . . . . . . . . . . . . . . . . 41
2.3 Linear Regression . . . . . . . . . . . . . . . . . . . . . . . . . 48
2.4 Neural Network . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.5 Finite Normal Mixture . . . . . . . . . . . . . . . . . . . . . . 56
2.6 Nonparametric Mixture . . . . . . . . . . . . . . . . . . . . . 59
2.7 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
3 Basic Formula of Bayesian Observables 67
3.1 Formal Relation between True and Model . . . . . . . . . . . 67
3.2 Normalized Observables . . . . . . . . . . . . . . . . . . . . . 77
3.3 Cumulant Generating Functions. . . . . . . . . . . . . . . . . 80
3.4 Basic Bayesian Theory . . . . . . . . . . . . . . . . . . . . . . 85
3.5 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
v
vi CONTENTS
4 Regular Posterior Distribution 99
4.1 Division of Partition Function . . . . . . . . . . . . . . . . . . 99
4.2 Asymptotic Free Energy . . . . . . . . . . . . . . . . . . . . . 107
4.3 Asymptotic Losses . . . . . . . . . . . . . . . . . . . . . . . . 111
4.4 Proof of Asymptotic Expansions . . . . . . . . . . . . . . . . 118
4.5 Point Estimators . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.6 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
5 Standard Posterior Distribution 135
5.1 Standard Form . . . . . . . . . . . . . . . . . . . . . . . . . . 136
5.2 State Density Function . . . . . . . . . . . . . . . . . . . . . . 146
5.3 Asymptotic Free Energy . . . . . . . . . . . . . . . . . . . . . 152
5.4 Renormalized Posterior Distribution . . . . . . . . . . . . . . 154
5.5 Conditionally Independent Case . . . . . . . . . . . . . . . . . 162
5.6 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
6 General Posterior Distribution 177
6.1 Bayesian Decomposition . . . . . . . . . . . . . . . . . . . . . 177
6.2 Resolution of Singularities . . . . . . . . . . . . . . . . . . . . 181
6.3 General Asymptotic Theory . . . . . . . . . . . . . . . . . . . 190
6.4 Maximum A Posteriori Method . . . . . . . . . . . . . . . . . 196
6.5 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
7 Markov Chain Monte Carlo 207
7.1 Metropolis Method . . . . . . . . . . . . . . . . . . . . . . . . 207
7.1.1 Basic Metropolis Method . . . . . . . . . . . . . . . . 209
7.1.2 Hamiltonian Monte Carlo . . . . . . . . . . . . . . . . 211
7.1.3 Parallel Tempering . . . . . . . . . . . . . . . . . . . . 215
7.2 Gibbs Sampler . . . . . . . . . . . . . . . . . . . . . . . . . . 217
7.2.1 Gibbs Sampler for Normal Mixture . . . . . . . . . . . 218
7.2.2 Nonparametric Bayesian Sampler . . . . . . . . . . . . 221
7.3 Numerical Approximation of Observables . . . . . . . . . . . 225
7.3.1 Generalization and Cross Validation Losses . . . . . . 225
7.3.2 Numerical Free Energy. . . . . . . . . . . . . . . . . . 226
7.4 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
8 Information Criteria 231
8.1 Model Selection . . . . . . . . . . . . . . . . . . . . . . . . . . 231
8.1.1 Criteria for Generalization Loss . . . . . . . . . . . . . 232
8.1.2 Comparison of ISCV with WAIC . . . . . . . . . . . . 240
CONTENTS vii
8.1.3 Criteria for Free Energy . . . . . . . . . . . . . . . . . 245
8.1.4 Discussion for Model Selection . . . . . . . . . . . . . 250
8.2 Hyperparameter Optimization . . . . . . . . . . . . . . . . . . 251
8.2.1 Criteria for Generalization Loss . . . . . . . . . . . . . 253
8.2.2 Criterion for Free Energy . . . . . . . . . . . . . . . . 257
8.2.3 Discussion for Hyperparameter Optimization . . . . . 259
8.3 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
9 Topics in Bayesian Statistics 267
9.1 Formal Optimality . . . . . . . . . . . . . . . . . . . . . . . . 267
9.2 Bayesian Hypothesis Test . . . . . . . . . . . . . . . . . . . . 270
9.3 Bayesian Model Comparison . . . . . . . . . . . . . . . . . . . 275
9.4 Phase Transition . . . . . . . . . . . . . . . . . . . . . . . . . 277
9.5 Discovery Process . . . . . . . . . . . . . . . . . . . . . . . . . 282
9.6 Hierarchical Bayes . . . . . . . . . . . . . . . . . . . . . . . . 286
9.7 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
10 Basic Probability Theory 293
10.1 Delta Function . . . . . . . . . . . . . . . . . . . . . . . . . . 293
10.2 Kullback-Leibler Distance . . . . . . . . . . . . . . . . . . . . 294
10.3 Probability Space . . . . . . . . . . . . . . . . . . . . . . . . . 296
10.4 Empirical Process. . . . . . . . . . . . . . . . . . . . . . . . . 302
10.5 Convergence of Expected Values . . . . . . . . . . . . . . . . 303
10.6 Mixture by Dirichlet Process . . . . . . . . . . . . . . . . . . 306
References 309
Index 317

Preface
The purpose of this book is to establish a mathematical theory of Bayesian
statistics.
Inpracticalapplications ofBayesian statistical inference, weneedtopre-
pare a statistical model and a prior for a given sample, then estimate the
unknown true distribution. One of the most important problems is devising
amethodhowtoconstructapairofastatistical modelandaprior,although
we do not know the true distribution. The answer based on mathematical
theory to this problem is given by the following procedures.
(1)Firstly,weconstructtheuniversalandmathematicallawsbetweenBayesian
observables which hold for an arbitrary triple of a true distribution, a sta-
tistical model, and a prior.
(2) Secondly, by using such laws, we can evaluate how appropriate a set of
a statistical model and a prior is for the unknown true distribution.
(3) And lastly, the most suitable pair of the statistial model and the prior
is employed.
The conventional approach to such a purpose has been based on the
assumption that the posterior distribution can be approximated by some
normal distribution. However, the new statistical theory introduced by this
book holds for arbitrary posterior distribution, demonstrating that the ap-
plication field will beextended. Theauthor expects that also new statistical
methodology which enables us to manupulate complex and hierarchical sta-
tistical models such as normal mixtures or hierarhical neural networks will
be based on the new mathematical theory.
Sumio Watanabe
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