Category Archives: Statistics

Struggles with getting the (Bayesian) language right

Maybe it is a function of being originally trained in the Frequentist paradigm, but I am finding it hard to get my Bayesian language right.

At some point when you are learning about Bayesian things you will come across a statement that says something along these lines:

Frequentists believe that the data is random and that parameter of interest is unknown and fixed. Bayesian, on the other hand, believe that the data is fixed, and that the parameter of interest is unknown and random.

At a certain level I am reasonably happy with this. The Bayesian statement leaves out something about the data generating mechanism being random, but on the whole – well, fine. However, I feel this does not mesh well with our statements. For example, let’s say we are doing a rather dull, but simple univariate analysis with inference about the mean. We have a set of observations, and we might propose a normal prior, a normal likelihood and consequently arrive at a normal posterior. How do we choose to summarise this information? Well, we might give a statement about the posterior density:

\mu|\mathbf{x}\sim N(\mu^\prime, (\sigma^{\prime})^2)

Or, we might give a (95%) credible interval:

\Pr(q_{0.025}^\prime\lt\mu|\mathbf{x}\lt q^{\prime}_{0.975})=0.95

Or we might just report the posterior mean and standard deviation. I think it is the last two where I question myself. Let’s take the credible interval. If we express it in words, then we say something along the lines of I am 95% sure the mean lies between a and b (where a and b are the respective lower and upper bounds of the credible interval. It seems implicit in this statement, at least to mean–and feel free to disagree, that there is this underlying belief that there is a single true value for the mean. Similarly, if we report the posterior mean, there is a feel (again to me) that we are reporting our best estimate of the one true mean. Clearly this flies in the face of what we actually think as Bayesians.

What brought this to the fore was working on the book my good friend David Lucy left unfinished.

David, like me, came to Bayesian thinking later in his academic career. He started out his academic life as an archaeologist, working on age estimation. If you are unfamiliar with this problem, it is essentially a classical calibration problem. You have a set of remains–perhaps teeth–from individuals of known age, and for whom you can measure some characteristic, say Y with variability. The idea is given a new value of Y, can you estimate the age of the individual. It parallels the calibration problem because (in theory) the age is measured without error, whereas Y contains all the usual sources of variation. David became interested in Bayesian solutions to this problem, and based on his thesis work, was firmly convinced that it was the only way to approach it.

David liked ontology and epistemology, and as a consequence of this introduces the idea of a Platonic view of statistics. I don’t know if this line will capture his thinking but it suffices. He writes:

Statistical modelling is very Platonic in that it is the parameters of a model which are the ontologically real matter which control the way in which the world works.

Implicit in this statement, again perhaps only to me, is the idea that there is one true value. In fact, if David was around to argue the point, I would say, based on the little I know about Plato, that his ideas were essentially reductionist. That is perhaps not a flaw if the building blocks are probability distributions, and maybe this is what David was arguing.

Anyway – there is no natural conclusion to these thoughts, except perhaps to ask “Are we actually conveying our intent accurately with our language when it comes to reporting Bayesian results?”

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Some quirks of JAGS

I return to JAGS infrequently enough these days that I forget a lot of things. Do not get me wrong. I love JAGS and I think it is one of the most valuable tools in my toolbox. However administrative and professional duties often destroy any chance I might have of concentrating long enough to actually do some decent statistics.

Despite this I have been working with my colleagues and friends, Duncan Taylor and Mikkel Andersen–who has been visiting from Aalborg since February and really boosting my research, on some decent Bayesian modelling. Along the way we have encountered a few idiosyncrasies of JAGS which are probably worth documenting. I should point out that the issues here have been covered by Martyn Plummer and others on Stack Overflow and other forums, but perhaps not as directly.

Local variables

JAGS allows local variables. In fact you probably use them without realizing as loop indices. However, what it does not like is the declaration of local variables within a loop. That is

  k <- 10

is fine, whereas

  for(i in 1:10){
    k <- 10

is not. This would be fine, except the second code snippet will yield an error which tells you that k is an unknown variable and asks you to: Either supply values for this variable with the data or define it on the left hand side of a relation. I think this error message is a bit of a head scratcher because look at your code and say “But I have defined it, and it works in R.” – do not fall into the latter mode of thinking – it’s a trap!

There are a couple of solutions to this problem. Firstly, you could do as I did and give up on having your model code readable, and just not use temporary variables like this, or, secondly, you could like the temporary variable vary with the index, like so

  for(i in 1:10){
    k[i] <- 10

Missing data / ragged arrays

JAGS cannot deal with missing covariates very well. However, it is happy enough for you to include these observations and “step over” them some how. An example of this might be a balanced experiment where some of the trials failed. As an example let us consider a simple two factorial completely randomised design where each factor only has two levels. Let the first factor have levels A and B, and the second factor have levels 1 and 2. Furthermore let there be 3 replicates for each treatment (combination of the factors). Our (frequentist) statistical model for this design would be

y_{ijk}=\mu + \alpha_i + \beta_j + \gamma_{ij} + \varepsilon_{ijk},~i\in\{A,B\},j\in\{1,2\},k=1,\ldots,3,\varepsilon_{ijk}\sim N(0,\sigma^2)

And we would typically programme this up in JAGS as something like this

  for(i in 1:2){
    for(j in 1:2){
      for(k in 1:3){
        y[i,j,k] ~ dnorm(mu[i,j], tau)
      mu[i,j] <- alpha[i] + beta[j] + gamma[i,j]

  for(i in 1:2){
    alpha[i] ~ dnorm(0, 0.000001)

  for(j in 1:2){
    beta[j] ~ dnorm(0, 0.000001)

  for(i in 1:2){
    for(j in 1:2){
      gammma[i,j] ~ dnorm(0, 0.000001)

  tau ~ dgamma(0.001, 0.001)

Implicit in this code is that y is a 2 x 2 x 3 array, and that we have a fully balanced design. Now let us assume that, for some reason, the treatments $$\tau\in\{A1,A2,B1,B2\}$$ have been replicated 2, 3, 2, 3 times respectively. We can deal with this in JAGS by creating another variable in our input data which we will call reps with reps = c(3, 2, 3, 2). This then can be accommodated in our JAGS model by

  for(i in 1:2){
    for(j in 1:2){
      for(k in 1:reps[(i-1) * 2 + j]){
        y[i,j,k] ~ dnorm(mu[i,j], tau)
      mu[i,j] <- alpha[i] + beta[j] + gamma[i,j]

y is still a 2 x 2 x 3 array, but simply has NA stored in the positions without information. It is also worth noting that ever since JAGS 4.0 the syntax for loops allows

for(v in V){

where V is a vector containing integer indices. This is very useful for irregular data.

NOTE I have not compiled the JAGS code in my second example, so please let me know if there are mistakes. This is an ongoing article and so I may update it from time to time.

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I am an applied statistician

Today brings a very nice blog post from Rafael Irizarry on being pragmatic in applied statistics rather than rigidly/religiously Bayesian or Frequentist.

Link to article: As an applied statistician I find the Frequentists versus Bayesians debate completely inconsequential.

Does this article reverse or contradict my thinking in forensic science? Not really. I am a strong proponent of Bayesian thinking in that field. However, in the shorter term I would be happier if practitioners simply had a better understanding of the Frequentist interpretation issues. As a statistician I depend on the collaboration of forensic scientists for both the problems and the data. Telling scientists that everything they are doing is incorrect is generally unhelpful. It is more productive to collaborate and make it better.

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R Markdown and undergraduates

I am seriously considering the introduction of R Markdown for assignments in our second year statistics course. The folks at RStudio have made some great improvements in the latest version of R Markdown (R Markdown V2), which allow you to add a Markdown document template to your R package, which in turn does things like let you provide a document skeleton for the user with as much information as you like, link CSS files (if you are doing HTML), and specify the output document format as well. The latter is an especially important addition to RStudio.

The lastest version of RStudio incorporates Pandoc which is a great format translation utility (and probably more) written by John Macfarlane. It is an important addition to RStudio because it makes it easy to author documents in Microsoft Word, as well as HTML, LaTeX, and PDF. I am sure that emphasizing the importance having the option to export to Word will cause some eye-rolling and groans, but I would remind you that we are teaching approximately 800 undergrads a year in this class, most of who will never ever take another statistics class again, and join a workforce where Microsoft Word is the dominant platform. I like LaTeX too (I do not think I will ever write another book ever again in Word), but it is not about what I like. I should also mention that there are some pretty neat features in the new R Markdown like authoring HTML slides in ioslides format, or PDF/Beamer presentations, and creating HTML documents with embedded Shiny apps (interactive statistics apps).

I think on the whole the students should deal with this pretty well, especially since they can tidy up their documents to their own satisfaction in Word — not saying that RStudio produces messy documents, but rather that the facility to edit post rendering is available.


However there is one stumbling block that I hope my readers might provide some feedback on — the issue of loading data. My class is a data analysis class. Every assignment comes with its own data sets. The students are happy, after a while, using read.csv() or read.table in conjunction with file.choose(). However, from my own point of view, reproducible research documents with commands that require user input quickly become tedious because you tend to compile/render multiple times whilst getting your code and your document right. So we are going to have to teach something different. As background, our institution has large computing labs that any registered student can use. The machines boot in either Linux or Windows 7 (currently, and I do not think that is likely to change soon given how much people loathe Windows 8 and what a headache it is for IT support). There is moderate market penetration of Apple laptops in the student body (I would say around 10%). So here is my problem — we have to teach the concept of file paths to a large body of students who on the whole do not have this concept in their skill set and who will find it foreign/archaic/voodoo. They will also regard this as another burdensome thing to learn on top of a whole lot of other things they do not want to learn like R and R Markdown. To make things worse, we have to deal with file paths over multiple platforms.

My thoughts so far are:

  • Making tutorial videos
  • Providing the data for each assignment in an R package that is loaded at the start of the document
  • Providing code in the template document that reads the data from the web

I do not really like the last two options as they let the students avoid learning how to read data into R. Obviously this is not a problem for those who do not go on, but it shifts the burden for those who do. So your thoughts please.


One option that has sort of occurred to me before is that in the video I could show how the fully qualified path name to a file can be obtained using file.choose() and then then students could simply copy and paste that into their R code.

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MCMC in Excel — an exercise in perversity

I found myself working in Excel as part of the work I did fitting exponential (and gamma) distributions to left censored data. This was partly due to do the fact that my research colleagues had done the initial distribution fitting using Microsoft Excel’s Solver to do maximum likelihood, something it does quite well. A shortcoming of this approach is that you cannot get the Hessian matrix for models with two or more parameters which you need if you want to place any sort of confidence interval around your estimates. There is nothing stop you, of course, from doing the actual mathematics, and calculating the values you need directly, but this all sounds like rather too much work and is distribution specific. One can equally make the criticism that the approximations used by the BFGS and other quasi-Newton methods are not guaranteed to be close to the true Hessian matrix.

The next step along the chain (I am sure this is a terribly mixed-metaphor but hey who cares), for me at least, was to use MCMC — in particular, to implement a simple random walk Metropolis-Hastings sampling scheme.

Note: The method I describe here is almost impossible for a multi-parameter model, or a model where the log-likelihood does not reduce to a simple sum of the data (or a sum of a function of the data). The reason for this is that Excel’s distribution functions are not vector functions, which means in many circumstances the values of the likelihood for different observations must be stored in separate cells, and then we have to sum over the cells. In a problem with n observations and m proposals, we then would have to store \(n\times m\) values unless we resort to Visual Basic for Applications (VBA). However, I wanted to do this problem without VBA.

Note 2:I know that it is very easy to estimate the variance for the exponential distribution, but please refer to the title of this post.

Microsoft Excel 2013 for Mac

In order to do MCMC we need to be able to generate random numbers. This functionality is provided in Excel by the Data Analysis Add-In. However, the Data Analysis Add-In has not been available since Excel 2008 for the Mac. There is a claim that this functionality can be restored by a third party piece of software called StatPlus LE, but in my limited time with it it seems a very limited solution. There are number of other pieces of functionality missing in the Mac version of Excel, which reduces its usefulness greatly.

What do we need?

We need data

I will use the similar data from my first post on this subject. However, this time I am going to switch to using data generated from a gamma distribution. To get some consistency, I have generated the data in R with \(\alpha=\mbox{shape}=10.776\), a rate of \(\beta=\mbox{rate}=5.138\), and a detection limit of \(\log(29)\). These numbers might seem absurdly specific but they come from maximum likelihood estimates in a real data set. This leaves me with 395 observations above the detection limit, and 9,605. below it. We only need the sum of the observations above the limit, the sum of the log of the observations above the limit, and the two counts, because the log-likelihood only depends on the sum, the sum of the logs, and the two counts. That is, if \(x_i\sim Gamma(\alpha,\beta), i=1,\ldots,N\) where \(n\) is the number of observations above the detection limit (395) (and \(m=N-n\) is the number of observations that are below the detection limit) then the likelihood function is

\(L(\alpha,\beta;{\mathbf x}) = \prod_{i=1}^{n}\frac{\beta^{\alpha}}{\Gamma(\alpha)}x^{\alpha-1}e^{-\beta x_i}\prod_{i=1}^{m}F(T; \alpha, \beta) \)

where \(T=\log(29)\), and \(F(T; \alpha, \beta)\) is the Gamma cumulative distribution function. The log-likelihood then simplifies to

l(\alpha,\beta;{\mathbf x}) &= n\left(\alpha\log(\beta)-\log\Gamma(\alpha)\right)+(\alpha-1)\sum \log x_i -\beta\sum x_i \\
&+m \log F(T; \alpha, \beta) \\
&= (\alpha-1)\sum \log x_i -\beta\sum x_i + \kappa(\alpha,\beta,n,m)\\

which depends only the sum the observations above the limit, the sum of the logarithms of the observations above the detection limit, and the number of observations above and below the detection limit.

We need to specify the priors and to get a set of proposal values

In my JAGS model I used a \(\Gamma(0.001, 0.001)\) priors for \(\alpha\) and \(\beta\). This would be easy enough to implement in Excel if the inverse Gamma function was sufficiently robust. However, it is not, and so I have opted for a prior which is \(U(-2,3)\) on log-scale.

Prior for alpha and beta. It is uniform (U[-2,3]) on the log-scale
Prior for alpha and \beta. It is uniform (U[-2,3]) on the log-scale

This prior is a little less extreme than the \(\Gamma(0.001, 0.001)\) prior but has reasonable properties for this example.

We can use the Data Analysis Add-In to generate a set of proposal values. The screen capture below shows the dialog box from the Random Number Generation part of the Data Analysis Add-In. We need proposals for both \(\alpha\) and \(\beta\). Therefore we ask Excel to give us 2 random variables. In a standard MCMC implementation we usually choose a “burn-in” period to make sure our samples are not to correlated with the starting values, and to give the sampler time to get somewhere near the target distribution. In this example we will use a burn-in period of 1,000 iterations and then sample for a further 10,000 iterations, for a total of 11,000 iterations. We get Excel to put the proposals out into columns B and C starting at row 2 (and extending to row 11,001). Note: I have set the random number seed (to 202) here so that my results can be replicated.

Generating uniform (U[-2,3]) random variates for the proposal distribution
Generating uniform (U[-2,3]) random variates for the proposal distribution

We also need a column of U[0,1] random variates for our Metropolis-Hastings update step. The screen capture below shows the dialog box how we set this up. We store these values in column F, and as before I have set the random number seed (to 456) so that my results can be replicated.


We use columns C and D to transform our uniform random variates to the original scale to get our proposals for \(\alpha\) and \(\beta\). We do this by entering the formula


into cell D2, and then selecting cells D2 to D11001 and using the Fill Down command to propagate the formula. We select the range D2:E:11001 and use the Fill Right command to propagate the formula formula across for \(\beta\). Columns C and D contain my proposal values for \(\alpha\) and \(\beta\).

We need some data

As noted before, all we need to is the sum of the observed values and the sum of the log of the observed values, plus the number of observed and censored values. The sum of the observed values in my data set is 1478.48929487124 (stupid accuracy for replication), and the sum of the logs of the observed values is 519.633872429806. As noted before the number of observed values is 395, and there are 9,605 censored values. I will insert these values in cells I2 to I5 respectively, and in cells H2 to H5 I will enter the labels sum_x, sum_log_x, nObs, and nCens.

We need some names

It is useful to label cells with names when working with Excel formulae. This allows us to refer to cells containing values by a name that means something rather than a cell address. We can define names by using the tools on Formula tab. I will use this tool to assign the names I put into cells H2 to H5 to the values I put into cells I2 to I5. To do this I select the range H2:I5, and the I click on the Formula tab, then the “Create names from Selection” button as shown in the screenshot below: Note I do not believe you can do this on the Mac, but I do not know for sure.

Excel (Windows) allows you to create multiple names in a spreadsheet at once.
Excel (Windows) allows you to create multiple names in a spreadsheet at once.

I can now use, for example, the name sum_x to refer to cell address $I$2 in my formulae. It also removes the need to make sure that the address is absolute every time I type it.

We need to be able to calculate the log-likelihood

The only “tricks” we need to calculate the log likelihood are knowing how to calculate the natural logarithm, the Gamma cdf, and the log-gamma function. I mention the first because the natural logarithm in Excel conforms to mathematical convention in that \(\log_e(x)={\rm ln}(x)\), and the corresponding Excel function is LN. The LOG function calculates \(\log_{10}(x)\) in Excel. Excel’s GAMMA.DIST function provides both the pdf and the cdf. The latter is obtained by setting the fourth argument (CUMULATIVE) to TRUE. It is important to note that Excel uses parameters alpha and beta, but these correspond to shape and scale, not shape and rate. Finally, the GAMMALN function provides us with the logarithm of the complete gamma function. We will calculate the log-likelihood in column J, therefore we enter the following formula into cell J2

=(D2 - 1) * sum_log_x - E2 * sum_x 
+ nObs * (D2 * LN(E2) - GAMMALN(D2))
+ nCens * LN(
GAMMA.DIST(LN(29), D2, 1 / E2, TRUE))

After you have got this formula correct (and it will probably take more than one go), then select cells J2:J11001 and use the “Fill Down” command (Ctrl-F on Windows) to propagate the formula down for every proposed value.

We need starting values

We will store our sampler’s current state in columns K, L and M. The current value of \(\alpha\) gets stored in column K, the current value of \(\beta\) in column L, and the current value of the log-likelihood in column M. We need some starting values, and so in this example we will use the first proposal values. In cell K2 we enter the formula


in cell L2 we enter the formula


and in cell M2 we enter the formula


We need a Metropolis-Hastings update step

Recall that the state of the sampler changes from \(G_0\) to \(G_1\) with probability 1 if \(G_0\) is more likely than \(G_1\) \((l(G_1)>l(G_0))\) or if \(\log(u) < l(G_1)-l(G_0)[/latex], where [latex]u\sim U(0,1)[/latex]. Therefore, to implement this in Excel, we need to use an IF function in conjunction with an OR function. The OR function can handle our two conditions: either the likelihood is bigger or with probability proportional to the ratio of the likelihoods. Therefore, in cell K3, we enter the formula [code] =IF(OR($J3>$M2, LN($F3)<($J3-$M2)),D3,K2) [/code] Note that the comparisons are made to the current state, not the previous cell. We could write a very similar formula for cells L3 and M3. However, we can just check to see with cell K3 has the same value as cell K2. That is we can see whether there has been a change. Checking for equality of floating point numbers is bad programming practice, however if we are concerned about scientific accuracy we probably would not be doing this in Excel. Therefore, we insert the formulae

=IF(K3=K2, L2, E3)
=IF(K3=K2, M2, J3)

is cells L3 and M3 respectively. We need to propagate these formulae down to row 11,001 by selecting and using the “Fill Down” command as before.

We need to summarize our chain

Finally, we need to gather some summary statistics about our sample from the posterior distribution. Recall we are using a burn-in period of 1,000 samples and a sampling period of 10,000 iterations. Therefore all our summary functions are only applied from row 1,002 to row 11,001.

We are interested in the mean, standard deviation, and 0.025 and 0.975 quantiles for [latex]\alpha\) and \(\beta\). We can get these values using the AVERAGE, STDEV.S, and PERCENTILE.EXC functions. In cells P2 to P7 we insert the following formulae.

=PERCENTILE.EXC(K1002:K11001, 0.025)
=PERCENTILE.EXC(K1002:K11001, 0.975)
=P2 - 1.96 * P3
=P2 + 1.96 * P3

and then we select cells P2:Q7 and use the “Fill Right” command.

How did we do?

How did we do?
How did we do?

The screen capture above shows my results. Rather embarrassingly the 95% credible interval does not contain the true values \(\alpha=10.776\) and \(\beta=5.138\). The main reason for this is that there is a total of 10 acceptances in our sample of size 10,000! That is, the sampler is incredibly inefficient. This is not completely surprising. The interval calculated under the assumption that the posterior distribution is symmetric is a little wider and does contain the true values. However, I would not put much stock in this. Of course, we can easily have the sampler run for a longer time, by generating more random variates and using more cells. I will leave that task to the reader.


In this article I have shown how to fit a gamma distribution to left censored data using MCMC in Excel. It is definitely not the best way to do this — I would use R and JAGS, which would be infinitely faster and give me more useable results — but it can be done. It does offer functionality to non-R users, of which there are many more than actual users, and it also allows the chance to observe the Markov chain so that we can see how the sampler is working at every stage of the process.


For completeness the sheet I created whilst writing this post is available from the link below. (1.7MB)

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If you are not a statistician, this cartoon is mocking statistical significance used in most frequentist hypothesis tests. If we use a threshold of \(\)P<0.05[/latex] then we accept that on average we will falsely declare there to be a significant departure from the null approximately one time in twenty ([latex]1/20 = 0.05[/latex]). In lay terms we will decide there is a difference when there really is not one time in twenty. Thanks Randall.

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Python and statistics – is there any point?

This semester I gave my graduate student class a project. The brief was relatively simple: implement the iteratively reweighted least squares (IRLS) algorithm to perform a simple (single covariate) logistic regression in Python. Their programmes were supposed to be able to read data in from a text file, perform the simple matrix algebra and math needed to carry out the IRLS computation and return some formatted output – similar to that you would get from R’s summary.glm function. Of course, you do not need matrix algebra to do this, but the idea was for the students to learn a bit of mathematical statistics that they had not seen before.  On the IRLS front, they were allowed to use a simple least squares routine like numpy’s linalg.lstsq and some of numpy’s simple matrix operators, but expressly forbidden from simply loading pandas or statsmodels and using the generalized linear models functions contained therein.

I thought this sounded like a straightforward enough task. The students divided themselves into pairs to work on it, and they had 13 weeks to complete the task.

The kicker was that I did not provide any instruction, either in Python or in the IRLS algorithm. An aim of the project was to simulate the situation where someone asks you to solve a problem, and you have to go and do some research to do it. Their first task was to complete 100 exercises on as a reasonable introduction to a language none of them had seen before.

Problems – versions

There are two major versions of Python in the wild, 2.7 and 3.4. Codeacademy teaches using version 2.7. One fundamental difference between 2.7 and 3.4 is the syntax of the print function. All of my students are users of R, to varying levels of skill. When they go to install R at home, they know to go to the CRAN website, or a mirror, and download the current, stable release of R. If they followed this policy, as I did myself, then they would have installed Python 3.4 and found that the way they were taught to use print by Codeacademy does not work, without any sort of helpful “That syntax has been depricated. Python 3 onwards uses the syntax…” This is not the only issue, with the way Python 3.4 handles execution of loops over numbered ranges being another example of a fundamental difference.

Problems – platform issues

Most students at my institution use Windows, especially at home. There is some Mac penetration, and Linux is virtually non-existent (these are statistics students, not computer science remember). The official Python installers work perfectly well under Windows in my experience. However, then we come to the issue of installing numpy. The official advice from the numpy website seems to be “download a third party version of Python which already has it.” For students who come from a world where a package can be installed by going to a menu, this is less than useful. The common advice from the web is that “there is no official release of numpy 1.8.1 for Python 2.7 or higher for Windows” but that you can download it and install it from a the builds very thoughtfully provided by Christoph Gohlke at UC Irvine here. Christoph’s builds work fine, but again, for something that seems, at least from the outside, very mainstream in the Python community should the user have to go to this level of effort?

Problems – local installations

Like any instructor, I face the issue that a number of my students have no option but to use the computer laboratories provided for them by the university. This means that we encounter the issue of local installation of libraries for users. Most, if not all, R packages from CRAN can be installed in a local library. As far as I can tell, this is not true for a Windows installation of Python. I am happy to be corrected on this point. The aforementioned Python binaries come with proper Windows installers, which want to install into the Python root directory, something students do not have permission to do. If I had realized this problem in December of last year, I could have asked the admins to pre-install it for all users, however, given I only formulated the problem in February, it was just a tad too late.

Would I do it again?

I might, but there would have to be serious efforts to resolve the problems listed above on my part. It also would not solve problems of students trying to set up Python at home, and I do not feel like hand-holding people through an installation process. My initial plan had been to try Javascript. I may return to this idea.

I would be the first to admit that I am not a Python user, but I am an experienced programmer with over thirty years of experience in at least a dozen different languages, and on multiple platforms. I know many people find Python a very useful language for their scientific computing, and I am not attempting to bad mouth the language – it seems a decent enough language with the constructs and functionality that I would expect to find in any modern language – but I do not think there is much incentive for a statistician to move away from R, or an R/C++ combination when raw compute power is required.

I am glad that my students experienced programming in a non-vectorized language. R does give a distorted perspective on programming with regards to its handling of vectors, and I think it is beneficial for students to learn about flow structures for element-wise computation.


Nat Dudley has made the suggestion I used on online IDE like

Second updates

Despite the difficulties, nearly all of my students have managed to complete the task, and some have done an exceptionally good job, even adding in the ability to parse R-like formulae.

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Bayesian modelling of left-censored data using JAGS

Bayesian modelling of left-censored data using JAGS

Martyn Plummer's JAGS very helpfully provides us with a way to model censored data through the use of the dinterval distribution. However, almost all of the examples that one finds on the web are for right censored data. The changes to model left censored data are not major, but I do think they warrant a) a post/page of their own and b) hopefully an easy-to-understand example.

Left-censored data arises very commonly when dealing with detection limits from instrumentation. In my own work, I often end up involved in the modelling of data derived from electropherograms.

I will start by generating some left censored data. For simplicity I am going to assume that my data is exponentially distributed, with a true rate of 1.05 (\(\lambda = 1.05\)), and a detection/censoring threshold at log(29). This means that approximately 97.1% of my data (on average) will not exceed my detection threshold. This may seem extreme, but it is the kind of setup that is common in my own work.

x = rexp(10000, rate = 1.05)

## set all the censored values to NA's
x[x < log(29)] = NA

This gives us a data set of size 10,000 with 9,691 values that fall below the detection threshold.

It can be a useful check, if feasible, to see what the maximum likelihood estimate is. We can do this in R using the optim function

## define the log-likelihood
logLik = function(lambda){
  isCensored =
  nCensored = sum(isCensored)
  LOD = log(29)

  ll = sum(dexp(x[!isCensored], rate = lambda, 
                log = TRUE)) + 
       nCensored  * pexp(LOD, rate = lambda, 
                         log = TRUE)

  ## return the -ve value because optim 
  ## is a minimizer

fit = optim(0.5, logLik, method = "Brent", 
            lower = 0, upper = 10, 
            hessian = TRUE)
fisherInfo = 1/fit$hessian
sigma = sqrt(fisherInfo)
upper = fit$par + 1.96 * sigma
lower = fit$par - 1.96 * sigma
interval = c(lower, fit$par, upper)
names(interval) = c("lower", "MLE", "upper")
## lower   MLE upper 
## 1.001 1.032 1.064

So the 95% confidence interval contains our true value which is always a good start!

The trick, if there is any, to dealing with left-censored data in JAGS is to make sure that your indicator variable tells JAGS which variables are above the detection threshold.

So in the next step I will set up the list that contains my data.

bugsData = list(N = length(x),
                isAboveLOD = ifelse(!, 
                                    1, 0),
                x = x,
                LOD = rep(log(29), length(x)))

There are two points to make about the preceding code. Firstly the variable isAboveLOD uses the NA status of the data. If you have not recoded your censored values to NA then obviously this will not work. Secondly, there is a limit of detection vector LODregardless of whether the observation is below the limit of detection or not.

Next we need to set up some intial values. The key here is setting not only an initial value for \(\lambda\), but initial values for the observations that have been censored.

bugsInits = list(list(lambda = 0.5, 
                      x = rep(NA, length(x))))

## set the missing values to 
## random variates from
## U(0, log(29))
nMissing = sum(!bugsData$isAboveLOD)
bugsInits[[1]]$x[!bugsData$isAboveLOD] = 
           runif(nMissing, 0, log(29))

I have chosen uniform random variates between zero and the limit of detection (log(29)) as initial values for my censored data.

Now we need to set up our JAGS model. I will store this in a string, and then use writeLines to write this to disk.

modelString = "
    for(i in 1:N){
      isAboveLOD[i] ~ dinterval(x[i], LOD[i])
      x[i] ~ dexp(lambda)

    lambda ~ dgamma(0.001, 0.001)

writeLines(modelString, con = "model.bugs.R")

Note that I have used a vague gamma prior for \(\lambda\). This is not especially noteworthy, except from the point of view about being explicit about what I have done. dinterval returns 0 if x[i] < LOD[i] and a 1 otherwise. Many people who try to use dinterval often get this cryptic error Observed node inconsistent with unobserved parents at initialization. This can happen for two reasons. Firstly the indicator variable can be incorrectly set, that is the observations above the limit of detection have been coded with a 0 instead of a 1 and vice versa for the censored observations. Secondly, the error can occur because the initial values for the censored observations are outside of the censored interval.

We now have the three components necessary to fit our model: a list containing the data, a list of initial values, and a BUGS model. Firstly we initialize the model

## Loading required package: coda
## Loading required package: lattice
## Linked to JAGS 3.3.0
## Loaded modules: basemod,bugs
jagsModel = jags.model(file = "model.bugs.R", data = bugsData, inits = bugsInits)
## Compiling model graph
##    Resolving undeclared variables
##    Allocating nodes
##    Graph Size: 30003
## Initializing model

Next, we let the model burn-in for an arbitrary period. I will use a burn-in period of 1,000 iterations.

update(jagsModel, n.iter = 1000)

And finally, we take a sample (hopefully) from the posterior distribution of the parameter of interest, \(\lambda\)

parameters = c("lambda")
simSamples = coda.samples(jagsModel, 
                          variable.names = parameters, 
                          n.iter = 10000)
stats = summary(simSamples)

We can obtain a 95% confidence interval by using the posterior mean and standard error, i.e.

mx = stats$statistics[1]
sx = stats$statistics[2]
ci = mx + c(-1, 1) * 1.96 * sx
## [1] 1.002 1.065

or we can get a 95% credible interval by using the posterior quantiles, i.e.

ci = stats$quantiles
##  2.5% 97.5% 
## 1.002 1.065

Both intervals contain the true value of 1.05 and have a fairly reasonable estimate of it as well. They also are very close to the ML interval.

I hope this clears things up for someone.

Credit where credit is due

I could not have written this without following the right censored example provided by John Kruschke here, and from reading Martyn Plummer's presentation here.

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