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L01 Statistical Rethinking Winter 2019

L01 Statistical Rethinking Winter 2019

Lecture 01 of the Dec 2018 through March 2019 edition of Statistical Rethinking.

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Richard McElreath

December 03, 2018
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Transcript

  1. The Golem of Prague Statistical Rethinking Winter 2019 Week 1

  2. JJ Harrison, “Phylidonyris novaehollandiae Bruny Island”

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  8. The Golem of Prague go•lem |gōlǝm| noun • (in Jewish

    legend) a clay figure brought to life by magic. • an automaton or robot. ORIGIN late 19th cent.: from Yiddish goylem, from Hebrew gōlem ‘shapeless mass.’
  9. The Golem of Prague “Even the most perfect of Golem,

    risen to life to protect us, can easily change into a destructive force. Therefore let us treat carefully that which is strong, just as we bow kindly and patiently to that which is weak.” Rabbi Judah Loew ben Bezalel (1512–1609) From Breath of Bones: A Tale of the Golem
  10. The Golems of Science Golem • Made of clay •

    Animated by “truth” • Powerful • Blind to creator’s intent • Easy to misuse • Fictional Model • Made of...silicon? • Animated by “truth” • Hopefully powerful • Blind to creator’s intent • Easy to misuse • Not even false
  11. Statistical Rethinking A Bayesian Course in R & Stan Week

    1 Bayesian inference Chapters 1, 2, 3 Week 2 Linear models Chapter 4 Week 3 More linear models Chapters 5 & 6 Week 4 Overfitting Chapter 7 Week 5 Interactions Chapter 8 Week 6 MCMC & GLMs Chapters 9, 10, 11 Week 7 GLMs II Chapters 11 & 12 Week 8 Multilevel models I Chapter 13 Week 9 Multilevel models II Chapter 14 Week 10 Measurement error etc. Chapters 15 & 16 https://github.com/rmcelreath/statrethinking_winter2019
  12. Goals & Methods • Practical model-building, model- criticizing skills •

    Enough philosophy to ground you • Enough confidence to be comfortable with confusion
  13. Stan install.packages(c("coda","mvtnorm","devtools","loo")) library(devtools) devtools::install_github("rmcelreath/rethinking", ref="Experimental") http://mc-stan.org/ rethinking package (Experimental) 2nd

    Edition book draft http://xcelab.net/rm/sr2/ blossom
  14. 2nd Edition: Ch-Ch-Changes • Lots of prior predictive simulation •

    Causal inference: DAGs, colliders, instrumental variables • map becomes quap (name change) • map2stan replaced by ulam • New examples
  15. Against Tests • Specialized, pre-made golems, “procedures” • Most developed

    in early 20th century, fragile, eclipsed by more recent tools • Users don’t know they are using models (golems) • Falsifying null model not sufficient • Inference is not decision O, that way madness lies
  16. H0 “Evolution is neutral” P0A Neutral, equilibrium MII Hypotheses Process

    models Statistical models Figure 1.2
  17. H0 H1 “Evolution is neutral” “Selection matters” P0A Neutral, equilibrium

    P1B Fluctuating selection P1A Constant selection MII MIII Hypotheses Process models Statistical models Figure 1.2
  18. H0 H1 “Evolution is neutral” “Selection matters” P0A Neutral, non-equilibrium

    P0B Neutral, equilibrium P1B Fluctuating selection P1A Constant selection MI MII MIII Hypotheses Process models Statistical models Figure 1.2
  19. Failure of Falsification • Null models not unique • Should

    falsify explanatory model, not null model • Falsification is consensual, not logical • Falsifiability about demarcation, not method • No statistical procedure sufficient • Science is social technology “There is even something like a methodological justification for individual scientists to be dogmatic and biased. Since the method of science is that of critical discussion, it is of great importance that the theories criticized should be tenaciously defended. For only in this way can we learn their real power.” —Karl Popper, The Myth of the Framework
  20. Golem Engineering • Need a framework for developing and vetting

    statistical golems • Several options • We’ll use this one • Bayesian data analysis • Multilevel modeling • Model comparison From Breath of Bones: A Tale of the Golem
  21. Bayesian data analysis • Use probability to describe uncertainty •

    Extends ordinary logic (true/false) to continuous plausibility • Computationally difficult • Markov chain Monte Carlo (MCMC) to the rescue • Used to be controversial • Ronald Fisher: Bayesian analysis “must be wholly rejected.” Pierre-Simon Laplace (1749–1827) Sir Harold Jeffreys (1891–1989) with Bertha Swirles, aka Lady Jeffreys (1903–1999)
  22. Bayesian data analysis Count all the ways data can happen,

    according to assumptions. Assumptions with more ways that are consistent with data are more plausible.
  23. Multilevel models • Models with multiple levels of uncertainty •

    Replace parameters with models • Common uses • Repeat & imbalanced sampling • Study variation • Avoid averaging • Phylogenetics, factor and path analysis, networks, spatial models • Natural Bayesian strategy
  24. Model comparison • Instead of falsifying a null model, compare

    meaningful models • Basic problems • Overfitting • Causal inference • Ockham’s razor is silly • Information theory less silly • AIC, WAIC, cross-validation • Must distinguish prediction from inference
  25. Colombo’s Mistake Behaim’s globe, as detailed in 1492

  26. Colombo’s Mistake Behaim’s globe, as detailed in 1492

  27. Small and Large Worlds • Sensu L.J. Savage (1954) •

    Small world: The world of the golem’s assumptions. Bayesian golems are optimal, in the small world. • Large world: The real world. No guarantee of optimality for any kind of golem. • Have to worry about both
  28. Bayesian data analysis Count all the ways data can happen,

    according to assumptions. Assumptions with more ways that are consistent with data are more plausible.
  29. Garden of Forking Data • The future: • Full of

    branching paths • Each choice closes some • The data: • Many possible events • Each observation eliminates some
  30. Garden of Forking Data (1) (2) (3) (4) (5) Contains

    4 marbles ? Possible contents: Observe:
  31. Conjecture: Data:

  32. Conjecture: Data:

  33. Conjecture: Data:

  34. Conjecture: Data: 3 paths consistent with data

  35. Garden of Forking Data (1) (2) (3) (4) (5) Possible

    contents: Ways to produce ? 3 ? ? ?
  36. Garden of Forking Data (1) (2) (3) (4) (5) Possible

    contents: Ways to produce 0 3 ? ? 0
  37. 3 ways 9 ways 8 ways

  38. 3 ways 9 ways 8 ways

  39. 3 ways 9 ways 8 ways

  40. Garden of Forking Data OE  XIJUF UIFSF BSF 

    QBUIT UIBU TVSWJWF WF DPOTJEFSFE ĕWF EJČFSFOU DPOKFDUVSFT BCPVU UIF DPOUFOUT PG UIF CBH F NBSCMFT UP GPVS CMVF NBSCMFT 'PS FBDI PG UIFTF DPOKFDUVSFT XFWF TFRVFODFT QBUIT UISPVHI UIF HBSEFO PG GPSLJOH EBUB DPVME QPUFOUJBMMZ EBUB  $POKFDUVSF 8BZT UP QSPEVDF < >  ×  ×  =  < >  ×  ×  =  < >  ×  ×  =  < >  ×  ×  =  < >  ×  ×  =  S PG XBZT UP QSPEVDF UIF EBUB GPS FBDI DPOKFDUVSF DBO CF DPNQVUFE VNCFS PG QBUIT JO FBDI iSJOHw PG UIF HBSEFO BOE UIFO CZ NVMUJQMZJOH ćJT JT KVTU B DPNQVUBUJPOBM EFWJDF *U UFMMT VT UIF TBNF UIJOH BT 'ĶĴ BWJOH UP ESBX UIF HBSEFO ćF GBDU UIBU OVNCFST BSF NVMUJQMJFE EVSJOH OHF UIF GBDU UIBU UIJT JT TUJMM KVTU DPVOUJOH PG MPHJDBMMZ QPTTJCMF QBUIT
  41. Updating Another draw from the bag: QBUIT DPNQBUJCMF XJUI UIF

    EBUB TFRVFODF  0S ZPV DPVME UBLF UIF Q PWFS DPOKFDUVSFT      BOE KVTU VQEBUF UIFN JO MJHIU PG UIF OFX PCTFS PVU UIBU UIFTF UXP NFUIPET BSF NBUIFNBUJDBMMZ JEFOUJDBM "T MPOH BT UIF OFX JT MPHJDBMMZ JOEFQFOEFOU PG UIF QSFWJPVT PCTFSWBUJPOT SFT IPX UP EP JU 'JSTU XF DPVOU UIF OVNCFST PG XBZT FBDI DPOKFDUVSF DPVME Q X PCTFSWBUJPO  ćFO XF NVMUJQMZ FBDI PG UIFTF OFX DPVOUT CZ UIF QSFWJPVT OV GPS FBDI DPOKFDUVSF *O UBCMF GPSN $POKFDUVSF 8BZT UP QSPEVDF 1SFWJPVT DPVOUT /FX DPVOU < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  X DPVOUT JO UIF SJHIUIBOE DPMVNO BCPWF TVNNBSJ[F BMM UIF FWJEFODF GPS FBDI T OFX EBUB BSSJWF BOE QSPWJEFE UIPTF EBUB BSF JOEFQFOEFOU PG QSFWJPVT PCTFSW F OVNCFS PG MPHJDBMMZ QPTTJCMF XBZT GPS B DPOKFDUVSF UP QSPEVDF BMM UIF EBUB VQ BO CF DPNQVUFE KVTU CZ NVMUJQMZJOH UIF OFX DPVOU CZ UIF PME DPVOU T VQEBUJOH BQQSPBDI BNPVOUT UP OPUIJOH NPSF UIBO BTTFSUJOH UIBU  XIFO X VT JOGPSNBUJPO TVHHFTUJOH UIFSF BSF 8QSJPS XBZT GPS B DPOKFDUVSF UP QSPEVDF B Q 4
  42. Using other information marbles rare, but every bag contains at

    least one. Factory says: IJT FYBNQMF UIF QSJPS EBUB BOE OFX EBUB BSF PG UIF TBNF UZQF NBSCMFT ESBX #VU JO HFOFSBM UIF QSJPS EBUB BOE OFX EBUB DBO CF PG EJČFSFOU UZQFT 4VQ UIBU TPNFPOF GSPN UIF NBSCMF GBDUPSZ UFMMT ZPV UIBU CMVF NBSCMFT BSF SBSF H DPOUBJOJOH < > UIFZ NBEF  CBHT DPOUBJOJOH < > BOE  CBHT D > ćFZ BMTP FOTVSFE UIBU FWFSZ CBH DPOUBJOFE BU MFBTU POF CMVF BOE PO 8F DBO VQEBUF PVS DPVOUT BHBJO $POKFDUVSF 1SJPS XBZT 'BDUPSZ DPVOU /FX DPVOU < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  DPOKFDUVSF < > JT NPTU QMBVTJCMF CVU CBSFMZ CFUUFS UIBO < > * E EJČFSFODF JO UIFTF DPVOUT BU XIJDI XF DBO TBGFMZ EFDJEF UIBU POF PG UIF DPO SSFDU POF :PVMM TQFOE UIF OFYU DIBQUFS FYQMPSJOH UIBU RVFTUJPO OH 0SJHJOBM JHOPSBODF 8IJDI BTTVNQUJPO TIPVME XF VTF XIFO UIFSF JT OP QSF UIF QSJPS EBUB BOE OFX EBUB BSF PG UIF TBNF UZQF NBSCMFT ESBXO GSPN FSBM UIF QSJPS EBUB BOE OFX EBUB DBO CF PG EJČFSFOU UZQFT 4VQQPTF GPS POF GSPN UIF NBSCMF GBDUPSZ UFMMT ZPV UIBU CMVF NBSCMFT BSF SBSF 4P GPS H < > UIFZ NBEF  CBHT DPOUBJOJOH < > BOE  CBHT DPOUBJO Z BMTP FOTVSFE UIBU FWFSZ CBH DPOUBJOFE BU MFBTU POF CMVF BOE POF XIJUF EBUF PVS DPVOUT BHBJO $POKFDUVSF 1SJPS XBZT 'BDUPSZ DPVOU /FX DPVOU >    ×  =  >    ×  =  >    ×  =  >    ×  =  >    ×  =  < > JT NPTU QMBVTJCMF CVU CBSFMZ CFUUFS UIBO < > *T UIFSF B F JO UIFTF DPVOUT BU XIJDI XF DBO TBGFMZ EFDJEF UIBU POF PG UIF DPOKFDUVSFT :PVMM TQFOE UIF OFYU DIBQUFS FYQMPSJOH UIBU RVFTUJPO BM JHOPSBODF 8IJDI BTTVNQUJPO TIPVME XF VTF XIFO UIFSF JT OP QSFWJPVT JO
  43. Using other information marbles rare. Factory says: IJT FYBNQMF UIF

    QSJPS EBUB BOE OFX EBUB BSF PG UIF TBNF UZQF NBSCMFT ESBX #VU JO HFOFSBM UIF QSJPS EBUB BOE OFX EBUB DBO CF PG EJČFSFOU UZQFT 4VQ UIBU TPNFPOF GSPN UIF NBSCMF GBDUPSZ UFMMT ZPV UIBU CMVF NBSCMFT BSF SBSF H DPOUBJOJOH < > UIFZ NBEF  CBHT DPOUBJOJOH < > BOE  CBHT D > ćFZ BMTP FOTVSFE UIBU FWFSZ CBH DPOUBJOFE BU MFBTU POF CMVF BOE PO 8F DBO VQEBUF PVS DPVOUT BHBJO $POKFDUVSF 1SJPS XBZT 'BDUPSZ DPVOU /FX DPVOU < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  < >    ×  =  DPOKFDUVSF < > JT NPTU QMBVTJCMF CVU CBSFMZ CFUUFS UIBO < > * E EJČFSFODF JO UIFTF DPVOUT BU XIJDI XF DBO TBGFMZ EFDJEF UIBU POF PG UIF DPO SSFDU POF :PVMM TQFOE UIF OFYU DIBQUFS FYQMPSJOH UIBU RVFTUJPO OH 0SJHJOBM JHOPSBODF 8IJDI BTTVNQUJPO TIPVME XF VTF XIFO UIFSF JT OP QSF
  44. Counts to plausibility Unglamorous basis of applied probability: Things that

    can happen more ways are more plausible. J[F JT UP BEE VQ BMM PG UIF QSPEVDUT POF GPS FBDI WBMVF Q DBO UBLF XBZT Q DBO QSPEVDF %OFX × QSJPS QMBVTJCJMJUZ Q UIFO EJWJEF FBDI QSPEVDU CZ UIF TVN PG QSPEVDUT QMBVTJCJMJUZ PG Q BęFS %OFX = XBZT Q DBO QSPEVDF %OFX × QSJPS QMBVTJCJMJUZ Q TVN PG QSPEVDUT FT OPUIJOH TQFDJBM SFBMMZ BCPVU TUBOEBSEJ[JOH UP POF "OZ WBMVF XJMM EP #VU VTJOH CFS  FOET VQ NBLJOH UIF NBUIFNBUJDT NPSF DPOWFOJFOU $POTJEFS BHBJO UIF UBCMF GSPN CFGPSF OPX VQEBUFE VTJOH PVS EFĕOJUJPOT PG Q BOE iQ UZw 1PTTJCMF DPNQPTJUJPO Q XBZT UP QSPEVDF EBUB QMBVTJCJMJUZ < >    < > .   < > .   < > .   < >    DBO RVJDLMZ DPNQVUF UIFTF QMBVTJCJMJUJFT JO 3 ʄǤ ǭ ƾ ǐ ǃ ǐ DŽ Ǯ
  45. Counts to plausibility TVN PG QSPEVDUT FT OPUIJOH TQFDJBM SFBMMZ

    BCPVU TUBOEBSEJ[JOH UP POF "OZ WBMVF XJMM EP #VU VTJOH CFS  FOET VQ NBLJOH UIF NBUIFNBUJDT NPSF DPOWFOJFOU $POTJEFS BHBJO UIF UBCMF GSPN CFGPSF OPX VQEBUFE VTJOH PVS EFĕOJUJPOT PG Q BOE iQ UZw 1PTTJCMF DPNQPTJUJPO Q XBZT UP QSPEVDF EBUB QMBVTJCJMJUZ < >    < > .   < > .   < > .   < >    DBO RVJDLMZ DPNQVUF UIFTF QMBVTJCJMJUJFT JO 3 ʄǤ ǭ ƾ ǐ ǃ ǐ DŽ Ǯ dz.0(ǭ24.Ǯ ƻǏƼǀ ƻǏƿƻ ƻǏƿǀ ćFTF QMBVTJCJMJUJFT BSF BMTP QSPCBCJMJUJFT‰UIFZ BSF OPOOFHBUJWF [FSP PS QPTJUJWF CFST UIBU TVN UP POF "OE BMM PG UIF NBUIFNBUJDBM UIJOHT ZPV DBO EP XJUI QSPCBCJ UIF QMBVTJCJMJUJFT GPS BMM QPTTJCMF DPOKFDUVSFT XJMM CF POF "MM ZPV OFFE UP EP JO PSEFS UP TUBO EBSEJ[F JT UP BEE VQ BMM PG UIF QSPEVDUT POF GPS FBDI WBMVF Q DBO UBLF XBZT Q DBO QSPEVDF %OFX × QSJPS QMBVTJCJMJUZ Q "OE UIFO EJWJEF FBDI QSPEVDU CZ UIF TVN PG QSPEVDUT QMBVTJCJMJUZ PG Q BęFS %OFX = XBZT Q DBO QSPEVDF %OFX × QSJPS QMBVTJCJMJUZ Q TVN PG QSPEVDUT ćFSFT OPUIJOH TQFDJBM SFBMMZ BCPVU TUBOEBSEJ[JOH UP POF "OZ WBMVF XJMM EP #VU VTJOH UIF OVNCFS  FOET VQ NBLJOH UIF NBUIFNBUJDT NPSF DPOWFOJFOU $POTJEFS BHBJO UIF UBCMF GSPN CFGPSF OPX VQEBUFE VTJOH PVS EFĕOJUJPOT PG Q BOE iQMBV TJCJMJUZw 1PTTJCMF DPNQPTJUJPO Q XBZT UP QSPEVDF EBUB QMBVTJCJMJUZ < >    < > .   < > .   < > .   < >    :PV DBO RVJDLMZ DPNQVUF UIFTF QMBVTJCJMJUJFT JO 3 3 DPEF  24. ʄǤ ǭ ƾ ǐ ǃ ǐ DŽ Ǯ 24.dz.0(ǭ24.Ǯ ǯƼǰ ƻǏƼǀ ƻǏƿƻ ƻǏƿǀ ćFTF QMBVTJCJMJUJFT BSF BMTP QSPCBCJMJUJFT‰UIFZ BSF OPOOFHBUJWF [FSP PS QPTJUJWF SFBM OVNCFST UIBU TVN UP POF "OE BMM PG UIF NBUIFNBUJDBM UIJOHT ZPV DBO EP XJUI QSPCBCJMJUJFT ZPV DBO BMTP EP XJUI UIFTF WBMVFT 4QFDJĕDBMMZ FBDI QJFDF PG UIF DBMDVMBUJPO IBT B EJSFDU QBSUOFS JO BQQMJFE QSPCBCJMJUZ UIFPSZ ćFTF QBSUOFST IBWF TUFSFPUZQFE OBNFT TP JUT XPSUI
  46. Counts to plausibility TVN PG QSPEVDUT FT OPUIJOH TQFDJBM SFBMMZ

    BCPVU TUBOEBSEJ[JOH UP POF "OZ WBMVF XJMM EP #VU VTJOH CFS  FOET VQ NBLJOH UIF NBUIFNBUJDT NPSF DPOWFOJFOU $POTJEFS BHBJO UIF UBCMF GSPN CFGPSF OPX VQEBUFE VTJOH PVS EFĕOJUJPOT PG Q BOE iQ UZw 1PTTJCMF DPNQPTJUJPO Q XBZT UP QSPEVDF EBUB QMBVTJCJMJUZ < >    < > .   < > .   < > .   < >    DBO RVJDLMZ DPNQVUF UIFTF QMBVTJCJMJUJFT JO 3 ʄǤ ǭ ƾ ǐ ǃ ǐ DŽ Ǯ dz.0(ǭ24.Ǯ ƻǏƼǀ ƻǏƿƻ ƻǏƿǀ ćFTF QMBVTJCJMJUJFT BSF BMTP QSPCBCJMJUJFT‰UIFZ BSF OPOOFHBUJWF [FSP PS QPTJUJWF CFST UIBU TVN UP POF "OE BMM PG UIF NBUIFNBUJDBM UIJOHT ZPV DBO EP XJUI QSPCBCJ Plausibility is probability: Set of non-negative real numbers that sum to one. Probability theory is just a set of shortcuts for counting possibilities.
  47. Building a model • How to use probability to do

    typical statistical modeling? 1. Design the model (data story) 2. Condition on the data (update) 3. Evaluate the model (critique)
  48. Nine tosses of the globe: W L W W W

    L W L W