Conjugate Bayesian analysis of the Gaussian distribution

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1 Conjugate Bayesan analyss of the Gaussan dstrbuton Kevn P. Murphy Last updated October 3, 7 Introducton The Gaussan or normal dstrbuton s one of the most wdely used n statstcs. Estmatng ts parameters usng Bayesan nference and conjugate prors s also wdely used. The use of conjugate prors allows all the results to be derved n closed form. Unfortunately, dfferent books use dfferent conventons on how to parameterze the varous dstrbutons e.g., put the pror on the precson or the varance, use an nverse gamma or nverse ch-squared, etc, whch can be very confusng for the student. In ths report, we summarze all of the most commonly used forms. We provde detaled dervatons for some of these results; the rest can be obtaned by smple reparameterzaton. See the appendx for the defnton the dstrbutons that are used. Normal pror Let us consder Bayesan estmaton of the mean of a unvarate Gaussan, whose varance s assumed to be known. We dscuss the unknown varance case later.. Lkelhood Let D = x,..., x n be the data. The lkelhood s { n pd µ, σ = px µ, σ = πσ n/ exp σ = Let us defne the emprcal mean and varance x = n s = n } x µ = x = x x 3 = Note that other authors e.g., [GCSR4] defne s = n n = x x. We can rewrte the term n the exponent as follows x µ = [x x µ x] 4 snce = x x + x µ x xµ x 5 = ns + nx µ 6 x xµ x = µ x Thanks to Hoyt Koepke for proof readng. x nx = µ xnx nx = 7

2 Hence pd µ, σ = π n/ σ σ n exp [ ns σ + nx µ ] n/ exp n σ x µ exp ns σ 8 9 If σ s a constant, we can wrte ths as pd µ exp n σ x µ Nx µ, σ n snce we are free to drop constant factors n the defnton of the lkelhood. Thus n observatons wth varance σ and mean x s equvalent to observaton x = x wth varance σ /n.. Pror Snce the lkelhood has the form pd µ the natural conjugate pror has the form pµ exp n σ x µ Nx µ, σ n exp σ µ µ Nµ µ, σ Do not confuse σ, whch s the varance of the pror, wth σ, whch s the varance of the observaton nose. A natural conjugate pror s one that has the same form as the lkelhood..3 Posteror Hence the posteror s gven by pµ D pd µ, σpµ µ, σ 3 [ ] exp [ σ x µ exp ] σ µ µ 4 [ ] = exp σ x + µ x µ + µ + µ µ µ 5 Snce the product of two Gaussans s a Gaussan, we wll rewrte ths n the form pµ D exp [ µ σ + n µ σ + µ σ + x ] µ σ σ + x σ [ def = exp ] [ σn µ µµ n + µ n = exp ] σn µ µ n Matchng coeffcents of µ, we fnd σn s gven by µ σ n σ n σ n = = µ σ + n σ σ = σ + n σ 9 σ σ nσ + = σ n σ + σ

3 5 N = N = N = N = Fgure : Sequentally updatng a Gaussan mean startng wth a pror centered on µ =. The true parameters are µ =.8 unknown, σ =. known. Notce how the data quckly overwhelms the pror, and how the posteror becomes narrower. Source: Fgure. [Bs6]. Matchng coeffcents of µ we get µµ n σ n n = = µ x σ + µ σ µ n σ n = n = x σ + µ σ = σ nx + σ µ σ σ 3 Hence µ n = σ nσ + µ σ + nσ nσ + x = µ σ σ n σ + nx σ 4 Ths operaton of matchng frst and second powers of µ s called completng the square. Another way to understand these results s f we work wth the precson of a Gaussan, whch s /varance hgh precson means low varance, low precson means hgh varance. Let Then we can rewrte the posteror as λ = /σ 5 λ = /σ 6 λ n = /σ n 7 pµ D, λ = Nµ µ n, λ n 8 λ n = λ + nλ 9 µ n = xnλ + µ λ λ n = wµ ML + wµ 3 3

4 pror lk post pror sgma pror sgma. pror lk post a b Fgure : Bayesan estmaton of the mean of a Gaussan from one sample. a Weak pror N,. b Strong pror N,. In the latter case, we see the posteror mean s shrunk towards the pror mean, whch s. Fgure produced by gaussbayesdemo. where nx = n = x and w = nλ λ n. The precson of the posteror λ n s the precson of the pror λ plus one contrbuton of data precson λ for each observed data pont. Also, we see the mean of the posteror s a convex combnaton of the pror and the MLE, wth weghts proportonal to the relatve precsons. To gan further nsght nto these equatons, consder the effect of sequentally updatng our estmate of µ see Fgure. After observng one data pont x so n =, we have the followng posteror mean µ = σ σ + σ µ + σ σ + σ x 3 σ = µ + x µ σ + σ σ = x x µ σ + σ The frst equaton s a convex combnaton of the pror and MLE. The second equaton s the pror mean ajusted towards the data x. The thrd equaton s the data x adjusted towads the pror mean; ths s called shrnkage. These are all equvalent ways of expressng the tradeoff between lkelhood and pror. See Fgure for an example..4 Posteror predctve The posteror predctve s gven by px D = = 3 33 px µpµ Ddµ 34 Nx µ, σ Nµ µ n, σn dµ 35 = Nx µ n, σ n + σ 36 Ths follows from general propertes of the Gaussan dstrbuton see Equaton.5 of [Bs6]. An alternatve proof s to note that x = x µ + µ 37 x µ N, σ 38 µ Nµ n, σ n 39 Snce E[X + X ] = E[X ] + E[X ] and Var [X + X ] = Var [X ] + Var [X ] f X, X are ndependent, we have X Nµ n, σ n + σ 4 4

5 snce we assume that the resdual error s condtonally ndependent of the parameter. Thus the predctve varance s the uncertanty due to the observaton nose σ plus the uncertanty due to the parameters, σ n..5 Margnal lkelhood Wrtng m = µ and τ = σ for the hyper-parameters, we can derve the margnal lkelhood as follows: n l = pd m, σ, τ = [ Nx µ, σ ]Nµ m, τ dµ 4 = = σ πσ n nτ + σ exp x σ τ m n x σ + σ m τ exp τ + nxm nτ + σ 4 The proof s below, based on the on the appendx of [DMP + 6]. We have n l = pd m, σ, τ = [ Nx µ, σ ]Nµ m, τ dµ 43 = = σ π n τ π exp σ x µ µ m dµ 44 τ Let us defne S = /σ and T = /τ. Then l = π/s n exp S π/t x + nµ µ x T µ + m µm dµ 45 = c exp S nµ S x + T µ T µm dµ 46 where So Now l = c [ exp S n + T c = exp S x + T m π/s n π/t µ µ S x + T m S n + T S nx + T m [ = c exp S n + T exp S n + T S nx + T m = c exp S n + T = exp S x + T m S π/s n nx + T m exp π/t S n + T π/t 47 ] dµ 48 µ S nx + T ] m S n + T dµ 49 π S n + T 5 π S n + T = π S n + T 5 σ Nτ + σ 5 and nx σ + m τ n σ + τ = nxτ + mσ σ τ nτ + σ = n x τ /σ + σ m /τ + nxm nτ + σ

6 So pd = σ πσ n nτ + σ exp x σ To check ths, we should ensure that we get To be completed.6 Condtonal pror pµ σ px D = px, D pd τ m n x σ + σ m τ exp τ + nxm nτ + σ 55 = Nx µ n, σ n + σ 56 Note that the prevous pror s not, strctly speakng, conjugate, snce t has the form pµ whereas the posteror has the form pµ D, σ,.e., σ occurs n the posteror but not the pror. We can rewrte the pror n condtonal form as follows pµ σ = Nµ µ, σ /κ 57 Ths means that f σ s large, the varance on the pror of µ s also large. Ths s reasonable snce σ defnes the measurement scale of x, so the pror belef about µ s equvalent to κ observatons of µ on ths scale. Hence a nonnformatve pror s κ =. Then the posteror s pµ D = Nµ µ n, σ /κ n 58 where κ n = κ + n. In ths form, t s clear that κ plays a role analogous to n. Hence κ s the equvalent sample sze of the pror..7 Reference analyss To get an unnformatve pror, we just set the pror varance to nfnty to smulate a unform pror on µ. 3 Normal-Gamma pror pµ = Nµ, 59 pµ D = Nµ x, σ /n 6 We wll now suppose that both the mean m and the precson λ = σ are unknown. We wll mostly follow the notaton n [DeG7, p69]. 3. Lkelhood The lkelhood can be wrtten n ths form pd µ, λ = π n/ λn/ exp λ 3. Pror The conjugate pror s the normal-gamma: = NGµ, λ µ, κ, α, β π n/ λn/ exp def λ x µ = [ nµ x + ] x x = 6 6 = Nµ µ, κ λ Gaλ α, rate = β 63 = Z NG µ, κ, α, β λ exp κ λ µ µ λ α e λβ 64 = λ α exp λ [ κ µ µ ] + β 65 Z NG Z NG µ, κ, α, β = Γα β α π κ 66 6

7 NGκ=., a=., b=. NGκ=., a=3., b= λ µ 4 λ µ NGκ=., a=5., b=. NGκ=., a=5., b= λ µ 4 λ µ Fgure 3: Some Normal-Gamma dstrbutons. Produced by NGplot. See Fgure 3 for some plots. We can compute the pror margnal on µ as follows: pµ = pµ, λdλ 67 λ α+ exp λβ + κ µ µ dλ 68 We recognze ths as an unnormalzed Gaa = α +, b = β + κµ µ dstrbuton, so we can just wrte down whch we recognze as as a T α µ µ, β /α κ dstrbuton. pµ Γa b a 69 b a 7 = β + κ µ µ α 7 = + α α κ µ µ β α+/ 7 7

8 3.3 Posteror The posteror can be derved as follows. pµ, λ D NGµ, λ µ, κ, α, β pd µ, λ 73 λ e κλµ µ / λ α e βλ λ n/ e λ P n = x µ 74 λ λ α+n/ e βλ e λ/[κµ µ + P x µ ] 75 From Equaton 6 we have Also, t can be shown that x µ = nµ x + x x 76 = = where Hence κ µ µ + nµ x = κ + nµ µ n + κ nx µ µ n = κ µ + nx κ + n κ + n κ µ µ + x µ = κ µ µ + nµ x + x x 79 = κ + nµ µ n + κ nx µ + κ + n x x 8 So pµ, λ D λ e λ/κ+nµ µn 8 λ α+n/ e βλ e λ/ P x x e λ/ κ nx µ κ +n 8 Nµ µ n, κ + nλ Gaλ α + n/, β n 83 where In summary, β n = β + = x x + κ nx µ κ + n 84 pµ, λ D = NGµ, λ µ n, κ n, α n, β n 85 µ n = κ µ + nx 86 κ + n κ n = κ + n 87 α n = α + n/ 88 β n = β + x x + κ nx µ κ + n 89 = We see that the posteror sum of squares, β n, combnes the pror sum of squares, β, the sample sum of squares, x x, and a term due to the dscrepancy between the pror mean and sample mean. As can be seen from Fgure 3, the range of probable values for µ and σ can be qute large even after for moderate n. Keep ths pcture n mnd whenever someones clams to have ft a Gaussan to ther data. 8

9 3.3. Posteror margnals The posteror margnals are usng Equaton 7 pλ D = Gaλ α n, β n 9 pµ D = T αn µ µ n, β n /α n κ n Margnal lkelhood To derve the margnal lkelhood, we just dererve the posteror, but ths tme we keep track of all the constant factors. Let NG µ, λ µ, κ, α, β denote an unnormalzed Normal-Gamma dstrbuton, and let Z = Z NG µ, κ, α, β be the normalzaton constant of the pror; smlarly let Z n be the normalzaton constant of the posteror. Let N x µ, λ denote an unnormalzed Gaussan wth normalzaton constant / π. Then pµ, λ D = n/ NG µ, λ µ, κ, α, β N x µ, λ 9 pd Z π The NG and N terms combne to make the posteror NG : Hence 3.5 Posteror predctve pµ, λ D = Z n NG µ, λ µ n, κ n, α n, β n 93 pd = Z n Z π n/ 94 = Γα n Γα The posteror predctve for m new observatons s gven by β α β αn n κ κ n π n/ 95 pd new D = pd new, D pd 96 = Z n+m Z π n+m/ Z Z n π n/ 97 = Z n+m π m/ 98 Z n = Γα n+m Γα n β αn n β αn+m n+m κn κ n+m π m/ 99 In the specal case that m =, t can be shown see below that ths s a T-dstrbuton px D = t αn x µ n, β nκ n + α n κ n To derve the m = result, we proceed as follows. Ths proof s by Xang Xuan, and s based on [GH94, p]. When m =, the posteror parameters are α n+ = α n + / κ n+ = κ n + β n+ = β n + x x + κ n x µ n 3 κ n + = 9

10 Use the fact that when m =, we have x = x snce there s only one observaton, hence we have = x x =. Let s use x denote D new, then β n+ s β n+ = β n + κ nx µ n κ n + 4 Substtutng, we have the followng, pd new D = Γα n+ Γα n β αn n β αn+ n+ = Γα n + / Γα n = Γα n + / Γα n / = Γα n + / Γα n / κn κ n+ π / β αn n β n + κnx µn = π / Γα n + / Γα n / κ n+ αn+/ β n β n + κnx µn κ n+ + κnx µn β nκ n+ κn π / κ n + α n+/ α n+/ α n κ n α n β n κ n + β n κ n π / κ n + κ n π / β n κ n + + α nκ n x µ n α n β n κ n + αn+/ Let Λ = αnκn β nκ n+, then we have, pd new D = π / Γα n + / Γα n / Λ α n + Λx µ n α n αn+/ We can see ths s a T-dstrbuton wth center at µ n, precson Λ = 3.6 Reference analyss The reference pror for NG s So the posteror s αnκn β, and degree of freedom α nκ n+ n. pm, λ λ = NGm, λ µ =, κ =, α =, β = pm, λ D = NGµ n = x, κ n = n, α n = n /, β n = So the posteror margnal of the mean s x x = pm D = t n m x, x x 3 nn whch corresponds to the frequentst samplng dstrbuton of the MLE ˆµ. Thus n ths case, the confdence nterval and credble nterval concde. 4 Gamma pror If µ s known, and only λ s unknown e.g., when mplementng Gbbs samplng, we can use the followng results, whch can be derved by smplfyng the results for the Normal-NG model.

11 4. Lkelhood pd λ λ n/ exp λ x µ = 4 4. Pror pλ = Gaλ α, β λ α e λβ Posteror pλ D = Gaλ α n, β n 6 α n = α + n/ 7 β n = β + x µ 8 = 4.4 Margnal lkelhood To be completed. 4.5 Posteror predctve px D = t αn x µ, σ = β n /α n Reference analyss pλ λ = Gaλ, m pλ D = Gaλ n/, x µ = 5 Normal-nverse-ch-squared NIX pror We wll see that the natural conjugate pror for σ s the nverse-ch-squared dstrbuton. 5. Lkelhood The lkelhood can be wrtten n ths form pd µ, σ = π n/ σ n/ exp σ [ n ] x x + nx µ = 5. Pror The normal-nverse-ch-squared pror s pµ, σ = NIχ µ, κ, ν, σ 3 = Nµ µ, σ /κ χ σ ν, σ 4 = Z p µ, κ, ν, σ σ ν/+ exp σ σ [ν σ + κ µ µ ] 5 ν/ π Z p µ, κ, ν, σ = Γν / κ ν σ 6

12 NIXµ =., κ =., ν =., σ =. NIXµ =., κ =5., ν =., σ = sgma µ sgma µ.5 a NIXµ =., κ =., ν =5., σ =. b NIXµ =.5, κ =5., ν =5., σ = sgma µ sgma µ.5 c d Fgure 4: The NIχ µ, κ, ν, σ dstrbuton. µ s the pror mean and κ s how strongly we beleve ths; σ s the pror varance and ν s how strongly we beleve ths. a µ =, κ =, ν =, σ =. Notce that the contour plot underneath the surface s shaped lke a squashed egg. b We ncrease the strenght of our belef n the mean, so t gets narrower: µ =, κ = 5, ν =, σ =. c We ncrease the strenght of our belef n the varance, so t gets narrower: µ =, κ =, ν = 5, σ =. d We strongly beleve the mean and varance are.5: µ =.5, κ = 5, ν = 5, σ =.5. These plots were produced wth NIXdemo. See Fgure 4 for some plots. The hyperparameters µ and σ /κ can be nterpreted as the locaton and scale of µ, and the hyperparameters u and σ as the degrees of freedom and scale of σ. For future reference, t s useful to note that the quadratc term n the pror can be wrtten as where S = ν σ s the pror sum of squares. Q µ = S + κ µ µ 7 = κ µ κ µ µ + κ µ + S 8

13 5.3 Posteror The followng dervaton s based on [Lee4, p67]. The posteror s pµ, σ D Nµ µ, σ /κ χ σ ν, σpd µ, σ 9 [ σ σ ν/+ exp ] σ [ν σ + κ µ µ ] 3 [ σ n/ exp [ ns σ + nx µ ] ] 3 σ 3 σ νn/ exp σ [ν nσn + κ nµ n µ ] = NIχ µ n, κ n, ν n, σn 3 Matchng powers of σ, we fnd ν n = ν + n 33 To derve the other terms, we wll complete the square. Let S = ν σ and S n = ν n σn for brevty. Groupng the terms nsde the exponental, we have S + κ µ µ + ns + nx µ = S + κ µ + ns + nx + µ κ + n κ µ + nxµ34 Comparng to Equaton 8, we have One can rearrange ths to get κ n = κ + n 35 κ n µ n = κ µ + nx 36 S n + κ n µ n = S + κ µ + ns + nx 37 S n S n = S + ns + κ µ + nx κ n µ n 38 = S + ns + κ + n µ x 39 = S + ns + nκ κ + n µ x 4 We see that the posteror sum of squares, S n = ν n σ n, combnes the pror sum of squares, S = ν σ, the sample sum of squares, ns, and a term due to the uncertanty n the mean. In summary, The posteror mean s gven by The posteror mode s gven by Equaton 4 of [BL]: µ n = κ µ + nx κ n 4 κ n = κ + n 4 ν n = ν + n 43 σn = ν σ + x x + nκ ν n κ + n µ x 44 E[µ D] = µ n 45 E[σ ν n D] = ν n σ n 46 mode[µ D] = µ n 47 mode[σ D] = 3 ν nσ n ν n 48

14 The modes of the margnal posteror are mode[µ D] = µ n 49 mode[σ D] = ν nσ n ν n Margnal posteror of σ Frst we ntegrate out µ, whch s just a Gaussan ntegral. pσ D = pσ, µ Ddµ 5 σ σ νn/+ exp σ [ν nσn] exp κ n σ µ n µ ] dµ 5 σ σ νn/+ exp σ π σ [ν nσn ] 53 κn σ νn/+ exp σ [ν nσn ] 54 = χ σ ν n, σ n Margnal posteror of µ Let us rewrte the posteror as pµ, σ D = Cφ α φ exp φ [ν nσn + κ nµ n µ ] 56 where φ = σ and α = ν n + /. Ths follows snce Now make the substtutons σ σ νn/+ = σ σ νn σ = φ νn+ φ = φ α 57 A = ν n σ n + κ n µ n µ 58 x = A φ 59 so dφ dx = A x 6 pµ D = Cφ α+ e A/φ dφ 6 = A/ C A x α+ e x x dx 6 A α x α e x dx 63 A α 64 = ν n σn + κ n µ n µ νn+/ 65 [ + κ ] νn+/ n ν n σn µ µ n 66 t νn µ µ n, σn /κ n 67 4

15 5.4 Margnal lkelhood Repeatng the dervaton of the posteror, but keepng track of the normalzaton constants, gves the followng. pd = PD µ, σ Pµ, σ dµdσ Posteror predctve = Z pµ n, κ n, ν n, σn Z p µ, κ, ν, σ Zl N κ Γν n / ν σ = κn Γν / = Γν n/ Γν / ν/ νn/ 69 π n/ 7 ν n σn κ ν σ ν/ 7 κ n ν n σn νn/ π n/ px D = px µ, σ pµ, σ Ddµdσ Reference analyss = px, D pd = Γν n + / Γν n / = Γν n + / Γν n / κn 73 ν n σn νn/ κ n + ν n σn + κn κ x µ 74 n+ n νn+/ π / κ n κ n + πν n σn + κ nx µ n νn+/ κ n + ν n σn 75 = t νn µ n, + κ nσ n κ n 76 The reference pror s pµ, σ σ whch can be modeled by κ =, ν =, σ =, snce then we get See also [DeG7, p97] and [GCSR4, p88]. Wth the reference pror, the posteror s The posteror margnals are pµ, σ σ σ + e = σ σ / = σ 77 µ n = x 78 ν n = n 79 κ n = n 8 σn = x x 8 n pµ, σ D σ n exp σ [ x x + nx µ ] 8 pσ D = χ σ n, x x 83 n pµ D = t n µ x, x x 84 nn 5

16 whch are very closely related to the samplng dstrbuton of the MLE. The posteror predctve s px D = t n x, + x x nn 85 Note that [Mn] argues that Jeffrey s prncple says the unnformatve pror should be of the form lm Nµ µ, σ /kχ σ k, σ k πσ σ σ 3 86 Ths can be acheved by settng ν = nstead of ν =. 6 Normal-nverse-Gamma NIG pror Another popular parameterzaton s the followng: pµ, σ = NIGm, V, a, b 87 = Nµ m, σ V IGσ a, b Lkelhood The lkelhood can be wrtten n ths form pd µ, σ = π n/ σ n/ exp [ ns σ + nx µ ] Pror pµ, σ = NIGm, V, a, b 9 = Nµ m, σ V IGσ a, b 9 Ths s equvalent to the NIχ pror, where we make the followng substtutons. m = µ 9 V = κ 93 a = ν b = ν σ Posteror We can show that the posteror s also NIG: pµ, σ D = NIGm n, V n, a n, b n 96 Vn = V + n 97 m n V n = V m + nx 98 a n = a + n/ 99 b n = b + [m V + x m n V n ] The NIG posteror follows drectly from the NIχ results usng the specfed substtutons. The b n term requres some tedous algebra... 6

17 6.3. Posteror margnals To be derved. 6.4 Margnal lkelhood For the margnal lkelhood, substtutng nto Equaton 7 we have pd = Γa n Vn b a Γa V b n an π n/ = V n b a Γa n V b an n Γa π n/ a an = V n b a Γa n V 3 b an n Γa π n/ n 6.5 Posteror predctve For the predctve densty, substtutng nto Equaton 76 we have κ n + κ n σ n = = κ n + σn a n b n + V n 4 5 So py D = t an m n, b n + V n a n 6 These results follow from [DHMS, p4] by settng x =, β = µ, B T B = n, B T X = nx, X T X = x. Note that we use a dfference parameterzaton of the student-t. Also, our equatons for pd dffer by a n term. 7 Multvarate Normal pror If we assume Σ s known, then a conjugate analyss of the mean s very smple, snce the conjugate pror for the mean s Gaussan, the lkelhood s Gaussan, and hence the posteror s Gaussan. The results are analogous to the scalar case. In partcular, we use the general result from [Bs6, p9] wth the followng substtutons: 7. Pror 7. Lkelhood x = µ, y = x, Λ = Σ, A = I, b =, L = Σ/N 7 pµ = Nµ µ, Σ Posteror pd µ, Σ Nx µ, Σ 9 N pµ D, Σ = Nµ µ N, Σ N Σ N = Σ + NΣ µ N = Σ N NΣ x + Σ µ 7

18 7.4 Posteror predctve px D = Nx µ N, Σ + Σ N Reference analyss 8 Normal-Wshart pror pµ = Nµ, I 4 pµ D = Nx, Σ/n 5 The multvarate analog of the normal-gamma pror s the normal-wshart pror. Here we just state the results wthout proof; see [DeG7, p78] for detals. We assume X s a d-dmensonal. 8. Lkelhood 8. Pror pd µ, Λ = π nd/ Λ n/ exp = x µ T Λx µ 6 pµ, Λ = NWµ, Λ µ, κ, ν, T = Nµ µ, κλ W ν Λ T 7 = Z Λ exp κ µ µ T Λµ µ Λ κ d / exp trt Λ 8 κ d/ Z = T κ/ dκ/ Γ d κ/ 9 π Here T s the pror covarance. To see the connecton to the scalar case, make the substtutons α = ν, β = T 8.3 Posteror pµ, Λ D = Nµ µ n, κ n Λ W νn Λ T n µ n = κµ + nx κ + n T n = T + S + κn κ + n µ xµ x T 3 S = x xx x T 4 = ν n = ν + n 5 κ n = κ + n 6 Posteror margnals pλ D = W νn T n 7 pµ D = T n t νn d+µ µ n, κ n ν n d + 8 8

19 The MAP estmates are gven by ˆµ, ˆΛ = ˆµ = ˆΣ = argmax pd µ, ΛNWµ, Λ 9 µ,λ x + κ µ N + κ 3 = n = x ˆµx ˆµ T + κ ˆµ µ ˆµ µ T + T N + ν d 3 Ths reduces to the MLE f κ =, ν = d and T =. 8.4 Posteror predctve If d =, ths reduces to Equaton. 8.5 Margnal lkelhood px D = t νn d+µ n, Ths can be computed as a rato of normalzaton constants. T n κ n + κ n ν n d + 3 pd = Z n 33 Z π nd/ Γ d ν n / T ν/ d/ κ = 34 π nd/ Γ d ν / T n νn/ κ n Ths reduces to Equaton 95 f d =. 8.6 Reference analyss We set to gve µ =, κ =, ν =, T = 35 pµ, Λ Λ d+/ 36 Then the posteror parameters become the posteror margnals become and the posteror predctve becomes µ n = x, T n = S, κ n = n, ν n = n 37 S pµ D = t n d µ x, nn d 38 pλ D = W n d Λ S 39 px D = t n d x, Sn + nn d 4 9 Normal-Inverse-Wshart pror The multvarate analog of the normal nverse ch-squared NIX dstrbuton s the normal nverse Wshart NIW see also [GCSR4, p85]. 9

20 9. Lkelhood The lkelhood s pd µ, Σ Σ n exp x µ T Σ x µ = = Σ n exp trσ S where S s the matrx of sum of squares scatter matrx 9. Pror S = N x xx x T 44 = The natural conjugate pror s normal-nverse-wshart 9.3 Posteror The posteror s Σ IW ν Λ 45 µ Σ Nµ, Σ/κ 46 pµ, Σ The margnals are def = NIWµ, κ, Λ, ν 47 = Z Σ ν+d/+ exp trλ Σ κ µ µ T Σ µ µ 48 Z = vd/ Γ d ν /π/κ d/ Λ ν/ 49 pµ, Σ D, µ, κ, Λ, ν = NIWµ, Σ µ n, κ n, Λ n, ν n 5 µ n = κ µ + + ny = κ κ n κ + n µ + n κ + n y 5 κ n = κ + n 5 ν n = ν + n 53 Λ n = Λ + S + κ n κ + n x µ x µ T 54 Σ D IWΛ n, ν n 55 µ D = Λ n t νn d+µ n, κ n ν n d + 56 To see the connecton wth the scalar case, note that Λ n plays the role of ν n σn posteror sum of squares, so Λ n κ n ν n d + = Λ n κ n ν n = σ κ n 57

21 9.4 Posteror predctve px D = t νn d+µ n, To see the connecton wth the scalar case, note that 9.5 Margnal lkelhood The posteror s gven by where Λ n κ n + κ n ν n d + 58 Λ n κ n + κ n ν n d + = Λ nκ n + = σ κ n + 59 κ n ν n κ n pµ, Σ D = NIW µ, Σ α pd Z π N D µ, Σ 6 nd/ = NIW µ, Σ α n 6 Z n Σ ν+d/+ exp NIW µ, Σ α = trλ Σ κ N D µ, Σ = Σ n exp trσ S s the unnormalzed pror and lkelhood. Hence µ µ T Σ µ µ 6 63 pd = Z n Z π nd/ = νnd/ Γ d ν n /π/κ n d/ Λ n νn/ Λ ν/ νd/ Γ d ν /π/κ d/ π nd/ 64 = = Ths reduces to Equaton 7 f d =. 9.6 Reference analyss νnd/ π/κ n d/ Γ d ν n / π nd/ νd/ π/κ d/ Γ d ν / 65 Γ d ν n / Λ ν/ d/ κ π nd/ Γ d ν / Λ n νn/ 66 κ n A nonnformatve Jeffrey s pror s pµ, Σ Σ d+/ whch s the lmt of κ, ν, Λ [GCSR4, p88]. Then the posteror becomes µ n = x 67 κ n = n 68 ν n = n 69 Λ n = S = x xx x T 7 pσ D = IW n Σ S 7 pµ D = S t n d µ x, nn d 7 px D = t n d x x, Sn + nn d 73 Note that [Mn] argues that Jeffrey s prncple says the unnformatve pror should be of the form lm Nµ µ, Σ/kIW k Σ kσ πσ Σ d+/ Σ d + 74 k Ths can be acheved by settng ν = nstead of ν =.

22 Gammashape=a,rate=b a=.5, b=. a=., b=. a=.5, b=. a=., b=. a=5., b=. 3.5 Gammashape=a,rate=b a=.5, b=3. a=., b=3. a=.5, b=3. a=., b=3. a=5., b= Fgure 5: Some Gaa, b dstrbutons. If a <, the peak s at. As we ncrease b, we squeeze everythng leftwards and upwards. Fgures generated by gammadstplot. Appendx: some standard dstrbutons. Gamma dstrbuton The gamma dstrbuton s a flexble dstrbuton for postve real valued rv s, x >. It s defned n terms of two parameters. There are two common parameterzatons. Ths s the one used by Bshop [Bs6] and many other authors: Gax shape = a, rate = b = b a Γa xa e xb, x, a, b > 75 The second parameterzaton and the one used by Matlab s gampdf s Gax shape = α, scale = β = β α Γα xα e x/β = Ga rate x α, /β 76 Note that the shape parameter controls the shape; the scale parameter merely defnes the measurement scale the horzontal axs. The rate parameter s just the nverse of the scale. See Fgure 5 for some examples. Ths dstrbuton has the followng propertes usng the rate parameterzaton:. Inverse Gamma dstrbuton mean = a 77 b mode = a for a 78 b var = a b 79 Let X Gashape = a, rate = b and Y = /X. Then t s easy to show that Y IGshape = a, scale = b, where the nverse Gamma dstrbuton s gven by IGx shape = a, scale = b = b a Γa x a+ e b/x, x, a, b > 8

23 .4. IGa,b a=., b=. a=., b=. a=., b=. a=., b=. a=., b=. a=., b= Fgure 6: Some nverse gamma dstrbutons a=shape, b=rate. These plots were produced by nvchplot. The dstrbuton has these propertes mean = mode = var = b a, a > 8 b a + 8 b a a, a > 83 See Fgure 6 for some plots. We see that ncreasng b just stretches the horzontal axs, but ncreasng a moves the peak up and closer to the left. There s also another parameterzaton, usng the rate nverse scale:.3 Scaled Inverse-Ch-squared IGx shape = α, rate = β = β a Γax α+ e /βx, x, α, β > 84 The scaled nverse-ch-squared dstrbuton s a reparameterzaton of the nverse Gamma [GCSR4, p575]. χ x ν, σ = Γν/ νσ ν/ x ν exp[ νσ ], x > 85 x = IGx shape= ν, scale=νσ 86 where the parameter ν > s called the degrees of freedom, and σ > s the scale. See Fgure 7 for some plots. We see that ncreasng ν lfts the curve up and moves t slghtly to the rght. Later, when we consder Bayesan parameter estmaton, we wll use ths dstrbuton as a conjugate pror for a scale parameter such as the varance of a Gaussan; ncreasng ν corresponds to ncreasng the effectve strength of the pror. 3

24 .5 χ ν,σ ν=., σ =.5 ν=., σ =. ν=., σ =. ν=5., σ =.5 ν=5., σ =. ν=5., σ = Fgure 7: Some nverse scaled χ dstrbutons. These plots were produced by nvchplot. The dstrbuton has these propertes mean = νσ for ν > 87 ν mode = νσ 88 ν + ν σ 4 var = ν for ν > 4 89 ν 4 The nverse ch-squared dstrbuton, wrtten χ ν x, s the specal case where νσ =.e., σ = /ν. Ths corresponds to IGa = ν/, b = scale = /..4 Wshart dstrbuton Let X be a p dmensonal symmetrc postve defnte matrx. The Wshart s the multdmensonal generalzaton of the Gamma. Snce t s a dstrbuton over matrces, t s hard to plot as a densty functon. However, we can easly sample from t, and then use the egenvectors of the resultng matrx to defne an ellpse. See Fgure 8. There are several possble parameterzatons. Some authors e.g., [Bs6, p693], [DeG7, p.57],[gcsr4, p574], wkpeda as well as WnBUGS and Matlab wshrnd, defne the Wshart n terms of degrees of freedom ν p and the scale matrx S as follows: W ν X S = Z X ν p / exp[ trs X] 9 Z = νp/ Γ p ν/ S ν/ 9 where Γ p a s the generalzed gamma functon p α + Γ p α = π pp /4 Γ So Γ α = Γα. The mean and mode are gven by see also [Pre5] = 9 mean = νs 93 mode = ν p S, ν > p

25 Wshartdof=.,S=[4 3; 3 4] Wshartdof=.,S=[4 3; 3 4] Fgure 8: Some samples from the Wshart dstrbuton. Left: ν =, rght: ν =. We see that f f ν = the smallest vald value n dmensons, we often sample nearly sngular matrces. As ν ncreases, we put more mass on the S matrx. If S = I, the samples would look on average lke crcles. Generated by wshplot. In D, ths becomes Gashape = ν/, rate = S/. Note that f X WuS, and Y = X, then Y IW ν S and E[Y ] = S ν d. In [BS94, p.38], and the wshpdf n Tom Mnka s lghtspeed toolbox, they use the followng parameterzaton WX a,b = B a Γ p a X a p+/ exp[ trbx] 95 We requre that B s a p p symmetrc postve defnte matrx, and a > p. If p =, so B s a scalar, ths reduces to the Gashape = a, rate= b densty. To get some ntuton for ths dstrbuton, recall that trab s a vector whch contans the nner product of the rows of A and the columns of B. In Matlab notaton we have tracea B = [a,:*b:,,..., an,:*b:,n] If X W ν S, then we are performng a knd of template matchng between the columns of X and S recall that both X and S are symmetrc. Ths s a natural way to defne the dstance between two matrces..5 Inverse Wshart Ths s the multdmensonal generalzaton of the nverse Gamma. Consder a d d postve defnte covarance matrx X and a dof parameter ν > d and psd matrx S. Some authors eg [GCSR4, p574] use ths parameterzaton: IW ν X S = Z X ν+d+/ exp TrSX 96 Z = S ν/ νd/ Γ d ν/ 97 where Γ d ν/ = π dd /4 d = Γ ν

26 The dstrbuton has mean In Matlab, use wshrnd. In the d case, we have E X = S ν d 99 χ Σ ν, σ = IW ν Σ ν σ 3 Other authors e.g., [Pre5, p7] use a slghtly dfferent formulaton wth d < ν d IW ν X Q = ν d d/ π dd /4 Γν d j/ whch has mean.6 Student t dstrbuton The generalzed t-dstrbuton s gven as j= Q ν d / X ν/ exp E X = t ν x µ, σ = c = Q ν d TrX Q [ c + ν x µ ] ν+ σ 34 Γν/ + / Γν/ νπσ 35 where c s the normalzaton consant. µ s the mean, ν > s the degrees of freedom, and σ > s the scale. Note that the ν parameter s often wrtten as a subscrpt. In Matlab, use tpdf. The dstrbuton has the followng propertes: mean = µ, ν > 36 mode = µ 37 var = νσ ν, ν > 38 Note: f x t ν µ, σ, then x µ t ν 39 σ whch corresponds to a standard t-dstrbuton wth µ =, σ = : t ν x = Γν + / νπγν/ + x /ν ν+/ 3 In Fgure 9, we plot the densty for dfferent parameter values. As ν, the T approaches a Gaussan. T- dstrbutons are lke Gaussan dstrbutons wth heavy tals. Hence they are more robust to outlers see Fgure. If ν =, ths s called a Cauchy dstrbuton. Ths s an nterestng dstrbuton snce f X Cauchy, then E[X] does not exst, snce the correspondng ntegral dverges. Essentally ths s because the tals are so heavy that samples from the dstrbuton can get very far from the center µ. It can be shown that the t-dstrbuton s lke an nfnte sum of Gaussans, where each Gaussan has a dfferent precson: px µ, a, b = Nx µ, τ Gaτ a, rate = bdτ 3 See exercse.46 of [Bs6]. = t a x µ, b/a 3 6

27 Student T dstrbutons tν=. tν=. tν=5. N, Fgure 9: Student t-dstrbutons Tµ, σ, ν for µ =. The effect of σ s just to scale the horzontal axs. As ν, the dstrbuton approaches a Gaussan. See studenttplot a 5 5 b Fgure : Fttng a Gaussan and a Student dstrbuton to some data left and to some data wth outlers rght. The Student dstrbuton red s much less affected by outlers than the Gaussan green. Source: [Bs6] Fgure.6. 7

28 T dstrbuton, dof. Gaussan Fgure : Left: T dstrbuton n d wth dof= and Σ =.I. Rght: Gaussan densty wth Σ =.I and µ =, ; we see t goes to zero faster. Produced by multvartplot..7 Multvarate t dstrbutons The multvarate T dstrbuton n d dmensons s gven by t ν x µ, Σ = Γν/ + d/ Γν/ Σ / v d/ π d/ [ + ] ν+d ν x µt Σ x µ 33 where Σ s called the scale matrx snce t s not exactly the covarance matrx. Ths has fatter tals than a Gaussan: see Fgure. In Matlab, use mvtpdf. The dstrbuton has the followng propertes 34 E x = µ f ν > 35 mode x = µ 36 Cov x = ν Σ for ν > ν 37 The followng results are from [Koo3, p38]. Suppose Y Tµ, Σ, ν and we partton the varables nto blocks. Then the margnals are Y Tµ, Σ, ν 38 and the condtonals are We can also show lnear combnatons of Ts are Ts: Y y Tµ, Σ, ν + d 39 µ = µ + Σ Σ y µ 3 Σ = h Σ Σ Σ ΣT 3 h = [ ν + y µ T Σ ν + d µ ] 3 Y Tµ, Σ, ν AY TAµ, AΣA, ν 33 We can sample from a y Tµ, Σ, ν by samplng x T,, ν and then transformng y = µ + R T x, where R = cholσ, so R T R = Σ. 8

29 References [Bs6] C. Bshop. Pattern recognton and machne learnng. Sprnger, 6. [BL] P. Bald and A. Long. A Bayesan framework for the analyss of mcroarray expresson data: regularzed t-test and statstcal nferences of gene changes. Bonformatcs, 76:59 59,. [BS94] J. Bernardo and A. Smth. Bayesan Theory. John Wley, 994. [DeG7] M. DeGroot. Optmal Statstcal Decsons. McGraw-Hll, 97. [DHMS] D. Denson, C. Holmes, B. Mallck, and A. Smth. Bayesan methods for nonlnear classfcaton and regresson. Wley,. [DMP + 6] F. Demchels, P. Magn, P. Pergorg, M. Rubn, and R. Bellazz. A herarchcal Nave Bayes model for handlng sample heterogenety n classfcaton problems: an applcaton to tssue mcroarrays. BMC Bonformatcs, 7:54, 6. [GCSR4] A. Gelman, J. Carln, H. Stern, and D. Rubn. Bayesan data analyss. Chapman and Hall, 4. nd edton. [GH94] D. Geger and D. Heckerman. Learnng Gaussan networks. Techncal Report MSR-TR-94-, Mcrosoft Research, 994. [Koo3] Gary Koop. Bayesan econometrcs. Wley, 3. [Lee4] Peter Lee. Bayesan statstcs: an ntroducton. Arnold Publshng, 4. Thrd edton. [Mn] T. Mnka. Inferrng a Gaussan dstrbuton. Techncal report, MIT,. [Pre5] S. J. Press. Appled multvarate analyss, usng Bayesan and frequentst methods of nference. Dover, 5. Second edton. 9