Last updated: 2020-04-07

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Motivating Question

Suppose we have results from several experiments on the effect of a certain drug. How should we use this data to estimate the drug’s effect? What is the error of the estimate?

To make this concrete,

experiment = LETTERS[1:8]
effect = rnorm(8)
df = data.frame(experiment = experiment, effect = effect)
kable(df)
experiment effect
A -0.2790875
B -0.3475191
C 0.4515379
D -0.5212846
E 0.7675587
F 0.0071625
G -0.9345939
H -0.1729252

Option A

Choose the best study. Clearly this is not optimal since you are not making use of the informatin you have; however, very smart people choose this option all the time.

Option B

Use some results from statistics class.

Our data then consists of \((\bar{y}_j, \sigma_j)\) for \(j \in 1,...,J\), where \(\bar{y}_j\) is the mean effect from experiment \(j\), and \(\sigma_j\) its standard error.

Our simplest route is to assume that \(\bar{y_j} \underset {iid}{\sim} N(\mu, \sigma_j)\), and to estimate \(\mu\). Conceptually, this assumes that each experiment provides an independent estimate of the drug’s true effect, \(\mu\).

Under this assumption, we can obtain an estimator \(\hat{\mu}\) by maximizing the likelihood of our data.

\[\begin{align} \hat{\mu} &= \underset{\mu}{\arg\max} \prod_j (2 \pi \sigma_j^2)^{-1/2} \exp \bigg(- \frac{( \bar{y}_j -\mu )^2 }{2 \sigma_j^2} \bigg) \\ &= \frac{\sum_j \bar{y}_j/ \sigma_j^2 }{\sum_j 1/ \sigma_j^2} \end{align}\]

This seems okay. However, because the experimental conditions, for example the age or other attributes of the test subjects, length of the experiment and so on, are likely to affect the results, it does not feel right to assume the are no differences at all between the groups - an assumption we make by assuming a common \(\mu\). In statistician jargon, we would like to acknowledge the unobserved heterogeneity across groups (experiments).


sessionInfo()
R version 3.6.2 (2019-12-12)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: macOS Catalina 10.15

Matrix products: default
BLAS:   /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRblas.0.dylib
LAPACK: /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRlapack.dylib

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] knitr_1.27      workflowr_1.6.1

loaded via a namespace (and not attached):
 [1] Rcpp_1.0.3      rprojroot_1.3-2 digest_0.6.23   later_1.0.0    
 [5] R6_2.4.1        backports_1.1.5 git2r_0.26.1    magrittr_1.5   
 [9] evaluate_0.14   highr_0.8       stringi_1.4.5   rlang_0.4.4    
[13] fs_1.3.1        promises_1.1.0  whisker_0.4     rmarkdown_2.1  
[17] tools_3.6.2     stringr_1.4.0   glue_1.3.1      httpuv_1.5.2   
[21] xfun_0.12       yaml_2.2.0      compiler_3.6.2  htmltools_0.4.0