396,059 research outputs found
Rethinking the Effective Sample Size
The effective sample size (ESS) is widely used in sample-based simulation
methods for assessing the quality of a Monte Carlo approximation of a given
distribution and of related integrals. In this paper, we revisit and complete
the approximation of the ESS in the specific context of importance sampling
(IS). The derivation of this approximation, that we will denote as
, is only partially available in Kong [1992]. This
approximation has been widely used in the last 25 years due to its simplicity
as a practical rule of thumb in a wide variety of importance sampling methods.
However, we show that the multiple assumptions and approximations in the
derivation of , makes it difficult to be considered even
as a reasonable approximation of the ESS. We extend the discussion of the ESS
in the multiple importance sampling (MIS) setting, and we display numerical
examples. This paper does not cover the use of ESS for MCMC algorithms
Improving detection probabilities for pests in stored grain
BACKGROUND: The presence of insects in stored grains is a significant problem for grain farmers, bulk grain handlers and distributors worldwide. Inspections of bulk grain commodities is essential to detect pests and therefore to reduce the risk of their presence in exported goods. It has been well documented that insect pests cluster in response to factors such as microclimatic conditions within bulk grain. Statistical sampling methodologies for grains, however, have typically considered pests and pathogens to be homogeneously distributed throughout grain commodities. In this paper we demonstrate a sampling methodology that accounts for the heterogeneous distribution of insects in bulk grains. RESULTS: We show that failure to account for the heterogeneous distribution of pests may lead to overestimates of the capacity for a sampling program to detect insects in bulk grains. Our results indicate the importance of the proportion of grain that is infested in addition to the density of pests within the infested grain. We also demonstrate that the probability of detecting pests in bulk grains increases as the number of sub-samples increases, even when the total volume or mass of grain sampled remains constant. CONCLUSION: This study demonstrates the importance of considering an appropriate biological model when developing sampling methodologies for insect pests. Accounting for a heterogeneous distribution of pests leads to a considerable improvement in the detection of pests over traditional sampling models
Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
Scenario generation is the construction of a discrete random vector to
represent parameters of uncertain values in a stochastic program. Most
approaches to scenario generation are distribution-driven, that is, they
attempt to construct a random vector which captures well in a probabilistic
sense the uncertainty. On the other hand, a problem-driven approach may be able
to exploit the structure of a problem to provide a more concise representation
of the uncertainty.
In this paper we propose an analytic approach to problem-driven scenario
generation. This approach applies to stochastic programs where a tail risk
measure, such as conditional value-at-risk, is applied to a loss function.
Since tail risk measures only depend on the upper tail of a distribution,
standard methods of scenario generation, which typically spread their scenarios
evenly across the support of the random vector, struggle to adequately
represent tail risk. Our scenario generation approach works by targeting the
construction of scenarios in areas of the distribution corresponding to the
tails of the loss distributions. We provide conditions under which our approach
is consistent with sampling, and as proof-of-concept demonstrate how our
approach could be applied to two classes of problem, namely network design and
portfolio selection. Numerical tests on the portfolio selection problem
demonstrate that our approach yields better and more stable solutions compared
to standard Monte Carlo sampling
Effective Sample Size for Importance Sampling based on discrepancy measures
The Effective Sample Size (ESS) is an important measure of efficiency of
Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance
Sampling (IS) techniques. In the IS context, an approximation
of the theoretical ESS definition is widely applied, involving the inverse of
the sum of the squares of the normalized importance weights. This formula,
, has become an essential piece within Sequential Monte Carlo
(SMC) methods, to assess the convenience of a resampling step. From another
perspective, the expression is related to the Euclidean
distance between the probability mass described by the normalized weights and
the discrete uniform probability mass function (pmf). In this work, we derive
other possible ESS functions based on different discrepancy measures between
these two pmfs. Several examples are provided involving, for instance, the
geometric mean of the weights, the discrete entropy (including theperplexity
measure, already proposed in literature) and the Gini coefficient among others.
We list five theoretical requirements which a generic ESS function should
satisfy, allowing us to classify different ESS measures. We also compare the
most promising ones by means of numerical simulations
Bayesian computation via empirical likelihood
Approximate Bayesian computation (ABC) has become an essential tool for the
analysis of complex stochastic models when the likelihood function is
numerically unavailable. However, the well-established statistical method of
empirical likelihood provides another route to such settings that bypasses
simulations from the model and the choices of the ABC parameters (summary
statistics, distance, tolerance), while being convergent in the number of
observations. Furthermore, bypassing model simulations may lead to significant
time savings in complex models, for instance those found in population
genetics. The BCel algorithm we develop in this paper also provides an
evaluation of its own performance through an associated effective sample size.
The method is illustrated using several examples, including estimation of
standard distributions, time series, and population genetics models.Comment: 21 pages, 12 figures, revised version of the previous version with a
new titl
Approximating Probability Densities by Iterated Laplace Approximations
The Laplace approximation is an old, but frequently used method to
approximate integrals for Bayesian calculations. In this paper we develop an
extension of the Laplace approximation, by applying it iteratively to the
residual, i.e., the difference between the current approximation and the true
function. The final approximation is thus a linear combination of multivariate
normal densities, where the coefficients are chosen to achieve a good fit to
the target distribution. We illustrate on real and artificial examples that the
proposed procedure is a computationally efficient alternative to current
approaches for approximation of multivariate probability densities. The
R-package iterLap implementing the methods described in this article is
available from the CRAN servers.Comment: to appear in Journal of Computational and Graphical Statistics,
http://pubs.amstat.org/loi/jcg
A systematic review of the role of bisphosphonates in metastatic disease
Objectives: To identify evidence for the role of bisphosphonates in malignancy for the treatment of hypercalcaemia, prevention of skeletal morbidity and use in the adjuvant setting. To perform an economic review of current literature and model the cost effectiveness of bisphosphonates in the treatment of hypercalcaemia and prevention of skeletal morbidity Data sources: Electronic databases (1966-June 2001). Cochrane register. Pharmaceutical companies. Experts in the field. Handsearching of abstracts and leading oncology journals (1999-2001). Review methods: Two independent reviewers assessed studies for inclusion, according to predetermined criteria, and extracted relevant data. Overall event rates were pooled in a meta-analysis, odds ratios ( OR) were given with 95% confidence intervals (CI). Where data could not be combined, studies were reported individually and proportions compared using chi- squared analysis. Cost and cost-effectiveness were assessed by a decision analytic model comparing different bisphosphonate regimens for the treatment of hypercalcaemia; Markov models were employed to evaluate the use of bisphosphonates to prevent skeletal-related events (SRE) in patients with breast cancer and multiple myeloma. Results: For acute hypercalcaemia of malignancy, bisphosphonates normalised serum calcium in >70% of patients within 2-6 days. Pamidronate was more effective than control, etidronate, mithramycin and low-dose clodronate, but equal to high dose clodronate, in achieving normocalcaemia. Pamidronate prolongs ( doubles) the median time to relapse compared with clodronate or etidronate. For prevention of skeletal morbidity, bisphosphonates compared with placebo, significantly reduced the OR for fractures (OR [95% CI], vertebral, 0.69 [0.57-0.84], non-vertebral, 0.65 [0.54-0.79], combined, 0.65 [0.55-0.78]) radiotherapy 0.67 [0.57-0.79] and hypercalcaemia 0.54 [0.36-0.81] but not orthopaedic surgery 0.70 [0.46-1.05] or spinal cord compression 0.71 [0.47-1.08]. However, reduction in orthopaedic surgery was significant in studies that lasted over a year 0.59 [0.39-0.88]. Bisphosphonates significantly increased the time to first SRE but did not affect survival. Subanalyses were performed for disease groups, drugs and route of administration. Most evidence supports the use of intravenous aminobisphosphonates. For adjuvant use of bisphosphonates, Clodronate, given to patients with primary operable breast cancer and no metastatic disease, significantly reduced the number of patients developing bone metastases. This benefit was not maintained once regular administration had been discontinued. Two trials reported significant survival advantages in the treated groups. Bisphosphonates reduce the number of bone metastases in patients with both early and advanced breast cancer. Bisphosphonates are well tolerated with a low incidence of side-effects. Economic modelling showed that for acute hypercalcaemia, drugs with the longest cumulative duration of normocalcaemia were most cost-effective. Zoledronate 4 mg was the most costly, but most cost-effective treatment. For skeletal morbidity, Markov models estimated that the overall cost of bisphosphonate therapy to prevent an SRE was pound250 and pound1500 per event for patients with breast cancer and multiple myeloma, respectively. Bisphosphonate treatment is sometimes cost-saving in breast cancer patients where fractures are prevented. Conclusions: High dose aminobisphosphonates are most effective for the treatment of acute hypercalcaemia and delay time to relapse. Bisphosphonates significantly reduce SREs and delay the time to first SRE in patients with bony metastatic disease but do not affect survival. Benefit is demonstrated after administration for at least 6-12 months. The greatest body of evidence supports the use of intravenous aminobisphosphonates. Further evidence is required to support use in the adjuvant setting
Standardized or simple effect size: what should be reported?
It is regarded as best practice for psychologists to report effect size when disseminating quantitative research findings. Reporting of effect size in the psychological literature is patchy – though this may be changing – and when reported it is far from clear that appropriate effect size statistics are employed. This paper considers the practice of reporting point estimates of standardized effect size and explores factors such as reliability, range restriction and differences in design that distort standardized effect size unless suitable corrections are employed. For most purposes simple (unstandardized) effect size is more robust and versatile than standardized effect size. Guidelines for deciding what effect size metric to use and how to report it are outlined. Foremost among these are: i) a preference for simple effect size over standardized effect size, and ii) the use of confidence intervals to indicate a plausible range of values the effect might take. Deciding on the appropriate effect size statistic to report always requires careful thought and should be influenced by the goals of the researcher, the context of the research and the potential needs of readers
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