Classification loss function for parameter ensembles in Bayesian hierarchical models

DOI10.1016/J.SPL.2011.12.015zbMATH Open1243.62090arXiv1105.6322OpenAlexW2059908658WikidataQ60373102 ScholiaQ60373102MaRDI QIDQ434738FDOQ434738

Authors: Cedric E. Ginestet, Nicky Best, Sylvia Richardson 

Publication date: 16 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Parameter ensembles or sets of point estimates constitute one of the cornerstones of modern statistical practice. This is especially the case in Bayesian hierarchical models, where different decision-theoretic frameworks can be deployed to summarize such parameter ensembles. The estimation of these parameter ensembles may thus substantially vary depending on which inferential goals are prioritised by the modeller. In this note, we consider the problem of classifying the elements of a parameter ensemble above or below a given threshold. Two threshold classification losses (TCLs) --weighted and unweighted-- are formulated. The weighted TCL can be used to emphasize the estimation of false positives over false negatives or the converse. We prove that the weighted and unweighted TCLs are optimized by the ensembles of unit-specific posterior quantiles and posterior medians, respectively. In addition, we relate these classification loss functions on parameter ensembles to the concepts of posterior sensitivity and specificity. Finally, we find some relationships between the unweighted TCL and the absolute value loss, which explain why both functions are minimized by posterior medians.

Full work available at URL: https://arxiv.org/abs/1105.6322

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zbMATH Keywords

sensitivityspecificitydecision theoryepidemiology

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

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Cited In (1)

• Hunting for significance: Bayesian classifiers under a mixture loss function

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