STAT 529 - Lecture Note 1 Jan 13, 2015

Course Overview

 3 Assignments – 25% each

 Final take home exam – 25%
 Syllabus, assignments and lecture notes will be uploaded in the course website.

Class assignment: A randomized response

What is a sensitive question as far as PU students are concerned? (Domestic students will have different
answers than International students)

Sensitive questions – can be inferred from frequentist approach.

What is the Decision Model ?

The ingredients are –

 Θ = {θ}states of nature
you really want to know what is Θ
For the sensitive question example, State of Nature – What proportion of international
students answered with a yes?
Example
Question : Whether Purdue women has a lower/higher cholesterol level than men?
State of Nature : A vector of 2 {Cholesterol level for men, Cholesterol level for women}
 A = {a} action space
We specify what actions we would like to take if we knew the state of nature.
Example
State of nature – What amount of snow tomorrow
Actions – 1. Use the snow blower if it snows
2. Do not use the snow blower otherwise.

 L(a, θ) – Loss function >= 0

Measures the “regret” suffered by taking action a when the state of nature is θ

 Χ = {x}is the observation space, i.e., the “data” which can be observed.
f(x|θ) is the distribution of x given θ
 t is a decision procedure.
t : X→A maps X (observation space) onto A (action space)

has to be defined for every X in the observation space.

1
What do we know about state of nature prior to taking data?

Bayesian Approach

 Apriori (prior distribution)

 How do we get the prior distribution on the state of nature {θ} ?
 Π(θ) is the prior distribution.
 Now find an optimal decision procedure.

Define for any decision procedure t the Bayes Risk of t w.r.t Π

i.e.,
R(t ,  )  E [ L(t ( x), )]
  L(t ( x), ) f ( x |  ) ( )dxd

This is the overall expected loss. Note – The integration is replaced with a summation if x is discrete.

t*is Bayes procedure if R(t * ,  )  R(t ,  ) for any t. [since t*minimizes the overall expected loss]

Fundamental Probability Distribution equation

 ( | x) f ( x)  f ( x, )  f ( x |  ) ( ) *reminder to know this!

Middle part = f ( x,  ) = joint distribution of x and θ

Right side= (conditional distribution of x|θ) X (marginal distribution of θ)

Left side= (conditional distribution of θ | x) X (marginal distribution of x)

C-Scan Model

Background

C-sections are on the rise! Women get e C-Scan, experts look at them and decide –

 The baby looks healthy

 The baby doesn’t look healthy
 { θ } : State of nature. Θ ={θ1 , θ2} θ1= Baby OK, θ2= Baby NOT OK
 A = {a1, a2} ; a1= means no C-operation; a2= means do C-operation
 Loss Function :

2
 θ1 θ2
a1 0 d
a2 c 0
Note – according to the article, if you do C-section, there might be complications.

c, d represent regrets; c = regret when I did nothing when the baby isn’t OK

d = regret when I did a C-section when the baby is OK

 Data:
X = {x=1, x=2}
x=1, means baby looks OK in the C-scan
x=2, means baby doesn’t look OK in the C-scan
Are the expert opinions perfect? No!

Next class – Distribution of X; f(x|θ)

θ1 θ2
x=1 .9 .2
x=2 .1 .8

---------------------- X ----------------------