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62
Bayesian Experimental Design: A Review
 Statistical Science
, 1995
"... This paper reviews the literature on Bayesian experimental design, both for linear and nonlinear models. A unified view of the topic is presented by putting experimental design in a decision theoretic framework. This framework justifies many optimality criteria, and opens new possibilities. Various ..."
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Cited by 171 (1 self)
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This paper reviews the literature on Bayesian experimental design, both for linear and nonlinear models. A unified view of the topic is presented by putting experimental design in a decision theoretic framework. This framework justifies many optimality criteria, and opens new possibilities. Various design criteria become part of a single, coherent approach.
Strictly Proper Scoring Rules, Prediction, and Estimation
, 2007
"... Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distribution F if he ..."
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Cited by 143 (17 self)
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Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distribution F if he or she issues the probabilistic forecast F, rather than G ̸ = F. It is strictly proper if the maximum is unique. In prediction problems, proper scoring rules encourage the forecaster to make careful assessments and to be honest. In estimation problems, strictly proper scoring rules provide attractive loss and utility functions that can be tailored to the problem at hand. This article reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions, and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the Savage representation. Examples of scoring rules for probabilistic forecasts in the form of predictive densities include the logarithmic, spherical, pseudospherical, and quadratic scores. The continuous ranked probability score applies to probabilistic forecasts that take the form of predictive cumulative distribution functions. It generalizes the absolute error and forms a special case of a new and very general type of score, the energy score. Like many other scoring rules, the energy score admits a kernel representation in terms of negative definite functions, with links to inequalities of Hoeffding type, in both univariate and multivariate settings. Proper scoring rules for quantile and interval forecasts are also discussed. We relate proper scoring rules to Bayes factors and to crossvalidation, and propose a novel form of crossvalidation known as randomfold crossvalidation. A case study on probabilistic weather forecasts in the North American Pacific Northwest illustrates the importance of propriety. We note optimum score approaches to point and quantile
Bayesian measures of model complexity and fit
 Journal of the Royal Statistical Society, Series B
, 2002
"... [Read before The Royal Statistical Society at a meeting organized by the Research ..."
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Cited by 132 (2 self)
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[Read before The Royal Statistical Society at a meeting organized by the Research
Benchmark Priors for Bayesian Model Averaging
 FORTHCOMING IN THE JOURNAL OF ECONOMETRICS
, 2001
"... In contrast to a posterior analysis given a particular sampling model, posterior model probabilities in the context of model uncertainty are typically rather sensitive to the specification of the prior. In particular, “diffuse” priors on modelspecific parameters can lead to quite unexpected consequ ..."
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Cited by 94 (5 self)
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In contrast to a posterior analysis given a particular sampling model, posterior model probabilities in the context of model uncertainty are typically rather sensitive to the specification of the prior. In particular, “diffuse” priors on modelspecific parameters can lead to quite unexpected consequences. Here we focus on the practically relevant situation where we need to entertain a (large) number of sampling models and we have (or wish to use) little or no subjective prior information. We aim at providing an “automatic” or “benchmark” prior structure that can be used in such cases. We focus on the Normal linear regression model with uncertainty in the choice of regressors. We propose a partly noninformative prior structure related to a Natural Conjugate gprior specification, where the amount of subjective information requested from the user is limited to the choice of a single scalar hyperparameter g0j. The consequences of different choices for g0j are examined. We investigate theoretical properties, such as consistency of the implied Bayesian procedure. Links with classical information criteria are provided. More importantly, we examine the finite sample implications of several choices of g0j in a simulation study. The use of the MC3 algorithm of Madigan and York (1995), combined with efficient coding in Fortran, makes it feasible to conduct large simulations. In addition to posterior criteria, we shall also compare the predictive performance of different priors. A classic example concerning the economics of crime will also be provided and contrasted with results in the literature. The main findings of the paper will lead us to propose a “benchmark” prior specification in a linear regression context with model uncertainty.
Modelbased clustering and visualization of navigation patterns on a web site
 Data Mining and Knowledge Discovery
, 2003
"... We present a new methodology for exploring and analyzing navigation patterns on a web site. The patterns that can be analyzed consist of sequences of URL categories traversed by users. In our approach, we rst partition site users into clusters such that users with similar navigation paths through th ..."
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Cited by 53 (0 self)
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We present a new methodology for exploring and analyzing navigation patterns on a web site. The patterns that can be analyzed consist of sequences of URL categories traversed by users. In our approach, we rst partition site users into clusters such that users with similar navigation paths through the site are placed into the same cluster. Then, for each cluster, we display these paths for users within that cluster. The clustering approach weemployis modelbased (as opposed to distancebased) and partitions users according to the order in which they request web pages. In particular, we cluster users by learning a mixture of rstorder Markov models using the ExpectationMaximization algorithm. The runtime of our algorithm scales linearly with the number of clusters and with the size of the data � and our implementation easily handles hundreds of thousands of user sessions in memory. In the paper, we describe the details of our method and a visualization tool based on it called WebCANVAS. We illustrate the use of our approach on usertra c data from msnbc.com. Keywords: Modelbased clustering, sequence clustering, data visualization, Internet, web 1
Probabilistic forecasts, calibration and sharpness
 Journal of the Royal Statistical Society Series B
, 2007
"... Summary. Probabilistic forecasts of continuous variables take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive dis ..."
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Cited by 38 (15 self)
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Summary. Probabilistic forecasts of continuous variables take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distributions subject to calibration. Calibration refers to the statistical consistency between the distributional forecasts and the observations and is a joint property of the predictions and the events that materialize. Sharpness refers to the concentration of the predictive distributions and is a property of the forecasts only. A simple theoretical framework allows us to distinguish between probabilistic calibration, exceedance calibration and marginal calibration. We propose and study tools for checking calibration and sharpness, among them the probability integral transform histogram, marginal calibration plots, the sharpness diagram and proper scoring rules. The diagnostic approach is illustrated by an assessment and ranking of probabilistic forecasts of wind speed at the Stateline wind energy centre in the US Pacific Northwest. In combination with crossvalidation or in the time series context, our proposal provides very general, nonparametric alternatives to the use of information criteria for model diagnostics and model selection.
Active Learning of Causal Bayes Net Structure
, 2001
"... We propose a decision theoretic approach for deciding which interventions to perform so as to learn the causal structure of a model as quickly as possible. Without such interventions, it is impossible to distinguish between Markov equivalent models, even given infinite data. We perform online MCMC t ..."
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Cited by 37 (2 self)
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We propose a decision theoretic approach for deciding which interventions to perform so as to learn the causal structure of a model as quickly as possible. Without such interventions, it is impossible to distinguish between Markov equivalent models, even given infinite data. We perform online MCMC to estimate the posterior over graph structures, and use importance sampling to find the best action to perform at each step. We assume the data is discretevalued and fully observed.
Stochastic Plans for Robotic Manipulation
, 1990
"... Geometric uncertainty is unavoidable when programming robots for physical applications. We propose a stochastic framework for manipulation planning where plans are ranked on the basis of expected cost. That is, we express the desirability of states and actions with a cost function and describe uncer ..."
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Cited by 35 (7 self)
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Geometric uncertainty is unavoidable when programming robots for physical applications. We propose a stochastic framework for manipulation planning where plans are ranked on the basis of expected cost. That is, we express the desirability of states and actions with a cost function and describe uncertainty with probability distributions. We illustrate the approach with a new design for a programmable parts feeder, a mechanism that orients twodimensional parts using a sequence of openloop mechanical motions. We present a planning algorithm that accepts an nsided polygonal part as input and, in time O(n²), generates a stochastically optimal plan for orienting the part.
Bayesian Deviance, the Effective Number of Parameters, and the Comparison of Arbitrarily Complex Models
, 1998
"... We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. We follow Dempster in examining the posterior distribution of the loglikelihood under each model, from which we derive measures of fit and complexity (the effective number of p ..."
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Cited by 28 (7 self)
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We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. We follow Dempster in examining the posterior distribution of the loglikelihood under each model, from which we derive measures of fit and complexity (the effective number of parameters). These may be combined into a Deviance Information Criterion (DIC), which is shown to have an approximate decisiontheoretic justification. Analytic and asymptotic identities reveal the measure of complexity to be a generalisation of a wide range of previous suggestions, with particular reference to the neural network literature. The contributions of individual observations to fit and complexity can give rise to a diagnostic plot of deviance residuals against leverages. The procedure is illustrated in a number of examples, and throughout it is emphasised that the required quantities are trivial to compute in a Markov chain Monte Carlo analysis, and require no analytic work for new...