Statistical Modeling and Bayesian Inference: Homework Solutions - Prof. Peter Hutchison We, Assignments of Data Analysis & Statistical Methods

Solutions to homework problems related to statistical modeling and bayesian inference. Topics include defining statistical concepts, creating statistical models, identifying parameters of interest, and calculating posterior distributions using bayes' theorem.

Typology: Assignments

Pre 2010

Uploaded on 03/11/2009

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HW 9 due 11/18
1. Pick an example from your own research or general interest where statistical data are
used. Don’t pick any application discussed in class. In the context of your example,
do the following:
(a) Define Nature, Design and Measurement, and DATA.
(b) Write down a statistical model for {Nature + Design and Measurement} that you
are willing to assume produces the DATA in your study.
(c) Identify a particular parameter θthat is part of your statistical model you identified
in (b). Explain why you are interested in this parameter.
(d) Draw a graph, by hand, of your prior distribution of θfor your example. Explain
your logic.
2. Look at the document called "My introductory document describing the necessity of
Bayesian models for learning, and the Bayesian method in general" that is on our class
web page. Suppose the survey that got separated from the pile had the response
"2" instead of "4". Find the posterior distribution of Company, assuming a uniform
prior. Write tutorial-style, so that people other than your professor may understand.
Interpret your result.
3. Repeat 2., but assume that there were five surveys that got separated from the pile,
with responses 2, 1, 1, 2, 4. You may assume that they all came from the same
company and that they are the result of an independent sampling. Find the posterior
distribution of Company, assuming a uniform prior. Write tutorial-style, so that people
other than your professor may understand. Interpret your result. (Big picture alert:
Data reduce the uncertainty. More data, more reduction.)
4. Consider the EXCEL spreadsheet from my web document "Graphs of Likelihood Func-
tions," under the tab "Ex 2. Uniform, 1 obs".
(a) Find the posterior distribution of θassuming a uniform (0,10) prior.
(b) Find the posterior probability that θis greater than 4.0.
5. Consider the EXCEL spreadsheet from my web document "Graphs of Likelihood Func-
tions,"under the tab "Ex 2. Uniform, sample".
(a) Find the posterior distribution of θassuming a uniform (0,10) prior.
(b) Find the posterior probability that θis greater than 4.0.
(Big picture alert: Data reduce uncertainty. More data, more reduction.)
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HW 9 due 11/

  1. Pick an example from your own research or general interest where statistical data are used. Don’t pick any application discussed in class. In the context of your example, do the following:

(a) Define Nature, Design and Measurement, and DATA. (b) Write down a statistical model for {Nature + Design and Measurement} that you are willing to assume produces the DATA in your study. (c) Identify a particular parameter θ that is part of your statistical model you identified in (b). Explain why you are interested in this parameter. (d) Draw a graph, by hand, of your prior distribution of θ for your example. Explain your logic.

  1. Look at the document called "My introductory document describing the necessity of Bayesian models for learning, and the Bayesian method in general" that is on our class web page. Suppose the survey that got separated from the pile had the response "2" instead of "4". Find the posterior distribution of Company, assuming a uniform prior. Write tutorial-style, so that people other than your professor may understand. Interpret your result.
  2. Repeat 2., but assume that there were five surveys that got separated from the pile, with responses 2, 1, 1, 2, 4. You may assume that they all came from the same company and that they are the result of an independent sampling. Find the posterior distribution of Company, assuming a uniform prior. Write tutorial-style, so that people other than your professor may understand. Interpret your result. (Big picture alert: Data reduce the uncertainty. More data, more reduction.)
  3. Consider the EXCEL spreadsheet from my web document "Graphs of Likelihood Func- tions," under the tab "Ex 2. Uniform, 1 obs".

(a) Find the posterior distribution of θ assuming a uniform (0,10) prior. (b) Find the posterior probability that θ is greater than 4.0.

  1. Consider the EXCEL spreadsheet from my web document "Graphs of Likelihood Func- tions,"under the tab "Ex 2. Uniform, sample".

(a) Find the posterior distribution of θ assuming a uniform (0,10) prior. (b) Find the posterior probability that θ is greater than 4.0. (Big picture alert: Data reduce uncertainty. More data, more reduction.)

  1. Consider "Example 1: Testing regression relationships" from the class web page. The probability that Eastman Kodak’s return Y is positive, given that the S&P 500 return X is equal to x, is given by P (Y > 0 |X = x). The model assumes that the distribution of Y |X = x is the normal distribution with mean β 0 + β 1 x and variance σ^2. The SAS expression for P (Y > 0 |X = x) is thus 1-cdf(’normal’,0,beta0+beta1*&x,sigma).

(a) Display the histograms that estimate the posterior distribution of this probability for the cases X = − 1 , X = 0, and X = 1. Explain meanings of these histograms, tutorial-style, so that someone other than your professor may understand, with special emphasis on the application to stock returns (both Eastman Kodak and S&P 500), and also incorporating concepts of Bayesian analysis. (b) For each of the three cases indicated in (a), estimate the posterior probability that the probability in question is greater than 0.5. Explain meanings of these esti- mates, tutorial-style, so that someone other than your professor may understand, with special emphasis on the application to stock returns, and also incorporating concepts of Bayesian analysis.