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You should be familiar with Bayesian inference for a normal mean.

The Normal Means problem

The “Normal means” problem is as follows: assume we have data \[X_j \sim N(\theta_j, s_j^2) \quad (j=1,\dots,n)\] where the standard deviations \(s_j\) are known, and the means \(\theta_j\) are to be estimated.

It is easy to show that the maximum likelihood estimate of \(\theta_j\) is \(X_j\).

The idea here is that we can do better than the maximum likelihood estimates, by combining information across \(j=1,\dots,n\).

The Empirical Bayes approach

The Empirical Bayes (EB) approach to this problem assumes that the \(\theta_j\) come from some underlying distribution \(g \in G\) where \(G\) is some appropriate family of distributions. Here, for simplicity, we will assume \(G\) is the set of all normal distributions. That is, we assume \(\theta_j \sim N(\mu, V)\) for some mean \(\mu\) and variance \(V\). Of course this assumption is somewhat inflexible, but it is a starting point. More flexible assumptions are possible, but we will stick with the simple normal assumption for now.

If we knew (or were willing to specify) \(\mu,V\) then it would be easy to do Bayesian inference for \(\theta_j | X_j, \mu, V\) like this. The idea behind the EB approach is to instead estimate \(\mu,V\) from the data – specifically, by maximum likelihood estimation. It is called “Empirical Bayes” because you can think of estimating \(\mu,V\) as “estimating the prior” on \(\theta_j\) from the data.

The likelihood

Notice that we can write \(X_j = \theta_j + N(0,s_j^2)\) and \(\theta_j | \mu,V \sim N(\mu,V)\). So using the fact that the sum of two normal distributions is normal we have: \[X_j | \mu,V \sim N(\mu, V+ s_j^2).\]

Assuming that the \(X_j\) are independent, we can compute the log-likelihood using the following function. Notice that we parameterize in terms of \(\log(V)\) rather than \(V\) - this is to make the numerical optimization easier later. Specifically, the optimization over \(\log(V)\) is
unconstrained, which is often easier to do than the constrained optimization (\(V>0\)).

#' @title the loglikelihood for the EB normal means problem
#' @param par a vector of parameters (mu,log(V))
#' @param x the data vector
#' @param s the vector of standard deviations 
nm_loglik = function(par,x,s){
  mu = par[1]
  V = exp(par[2])

Optimizing the likelihood

We use the R function optim to optimize this log-likelihood. (By default optim performs a minimization; here we set fnscale=-1 so that it will maximize the log-likelihood.) If we wanted to make the optimization more reliable we should compute the gradient of the log likelihood, but for now we will try with just providing it the function.

ebnm_normal = function(x,s){
  par_init = c(0,0)
  res = optim(par=par_init,fn = nm_loglik,method="BFGS",control=list(fnscale=-1),x=x,s=s)

Here, to illustrate we run this on a simulated example with \(\mu=1,V=7\).

mu = 1
V = 7
n = 1000
t = rnorm(n,mu,sqrt(V))
s = rep(1,n)
x = rnorm(n,t,s)
res = ebnm_normal(x,s)
[1] 0.952920 7.606758

TODO: complete this by computing the posterior distributions \(\theta_j | \mu_j, X_j, \hat{V}\).

R version 3.5.2 (2018-12-20)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: macOS Mojave 10.14.1

Matrix products: default
BLAS: /Library/Frameworks/R.framework/Versions/3.5/Resources/lib/libRblas.0.dylib
LAPACK: /Library/Frameworks/R.framework/Versions/3.5/Resources/lib/libRlapack.dylib

[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     

loaded via a namespace (and not attached):
 [1] workflowr_1.2.0 Rcpp_1.0.0      digest_0.6.18   rprojroot_1.3-2
 [5] backports_1.1.3 git2r_0.24.0    magrittr_1.5    evaluate_0.12  
 [9] stringi_1.2.4   fs_1.2.6        whisker_0.3-2   rmarkdown_1.11 
[13] tools_3.5.2     stringr_1.3.1   glue_1.3.0      xfun_0.4       
[17] yaml_2.2.0      compiler_3.5.2  htmltools_0.3.6 knitr_1.21     

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