[SciPy-User] Unit testing of Bayesian estimator

Johann Cohen-Tanugi cohen@lpta.in2p3...
Sun Nov 15 15:02:38 CST 2009


Anne, do you know of a python implementation of Lomb-Scargle?
Johann

Anne Archibald wrote:
> Hi,
>
> I have implemented a simple Bayesian regression program (it takes
> events modulo one and returns a posterior probability that the data is
> phase-invariant plus a posterior distribution for two parameters
> (modulation fraction and phase) in case there is modulation). I'm
> rather new at this, so I'd like to construct some unit tests. Does
> anyone have any suggestions on how to go about this?
>
> For a frequentist periodicity detector, the return value is a
> probability that, given the null hypothesis is true, the statistic
> would be this extreme. So I can construct a strong unit test by
> generating a collection of data sets given the null hypothesis,
> evaluating the statistic, and seeing whether the number that claim to
> be significant at a 5% level is really 5%. (In fact I can use the
> binomial distribution to get limits on the number of false positive.)
> This gives me a unit test that is completely orthogonal to my
> implementation, and that passes if and only if the code works. For a
> Bayesian hypothesis testing setup, I don't really see how to do
> something analogous.
>
> I can generate non-modulated data sets and confirm that my code
> returns a high probability that the data is not modulated, but how
> high should I expect the probability to be? I can generate data sets
> with models with known parameters and check that the best-fit
> parameters are close to the known parameters - but how close? Even if
> I do it many times, is the posterior mean unbiased? What about the
> posterior mode or median? I can even generate models and then data
> sets that are drawn from the prior distribution, but what should I
> expect from the code output on such a data set? I feel sure there's
> some test that verifies a statistical property of Bayesian
> estimators/hypothesis testers, but I cant quite put my finger on it.
>
> Suggestions welcome.
>
> Thanks,
> Anne
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