4.9. Lecture 13#
Maximum likelihood for least-squares fitting#
Here we consider the problem of fitting a polynomial to correlated data. We do this here first with a frequentist approach and come back later to the Bayesian way.
Our underlying motivation is to get familiar with the linear algebra manipulations.
We’ll use the notation and some of the discussion from Hogg, Bovy, Lang, arXiv:1008.4686, “Data analysis recipes: Fitting a model to data”.
This paper has 41 extended reference notes, which are worth looking at. Provocative statements about fitting straight lines include:
“Let us break with tradition and observe that in almost all cases in which scientists fit a straight line to their data, they are doing something simultaneously wrong and *unnecessary. “
Wrong because it’s very rare that a set of two-dimensional measurements are truly drawn from a narrow, linear relationship
Probably not linear in detail
Unnecessary because communicated slope and intercept are much less informative than the full distribution of data.
Let’s consider fitting \(N\) data points to a straight line \(y=mx+b\) (here we’ll use unbolded capital letters to denote matrices):
\[\begin{split} Y = \pmatrix{y_1 \\ y_2 \\ \vdots \\ y_N} \qquad A = \pmatrix{1 & x_1 \\ 1 & x_2 \\ \vdots & \vdots \\ 1 & x_N} \qquad \Sigma = \pmatrix{\sigma_{y_1}^2 & \rho_{12}\sigma_{y_1}\sigma_{y_2} & \cdots & \rho_{1N}\sigma_{y_1}\sigma_{y_N} \\ & \sigma_{y_2}^2 & \cdots & \cdots \\ & & \ddots & \cdots \\ & & & \sigma_{y_N}^2 } \end{split}\]Here \(Y\) is an \(N\times 1\) matrix, \(A\) is an \(N\times 2\) matrix, and \(\Sigma\) is an \(N\times N\) symmetric covariance matrix (because \(\Sigma\) is symmetric, we only have to show the upper triangular part).
The off-diagonal covariances in \(A\) are parametrized by \(\rho_{ij}\) in a generalization of the \(2\times 2\) form. At this stage they are independent of each other; in the future we’ll consider a smooth, function-based variation as \(|i - j|\) increases.
Goal: find \(\thetavec = \pmatrix{b \\ m}\) where \(Y = A \thetavec\). (Note that \(\thetavec\) is a \(2\times 1\) matrix, and the matrix dimensions of the equation for \(Y\) work out: \((N\times 1) = (N\times 2)\cdot (2\times 1)\).)
Check the \(N=2\) case
so each row is \(y_i = b + mx_i\), as desired.
Note
Reader: convince yourself that \(N=3\) and higher is correct (e.g., by writing out the \(N=3\) case).
Why don’t we just solve the matrix equation \(Y = A \thetavec \ \Lra \ \thetavec \overset{?}{=}A^{-1}Y\) ?
Because the equation is overconstrained for \(N>2\) (ok for \(N=2\)). What goes wrong?
Frequentist answer: maximize the likelihood \(\propto e^{-\chi^2/2}\)#
What is the dimension of \(\chi^2\)?
It is in the exponent by itself, so it must be dimensionless.
In the familiar, uncorrelated case:
\[ \chi^2 = \sum_{i=1}^N \frac{[y_i - f(x_i)]^2}{\sigma_{y_i}^2} \]In the generalized case:
\[ \chi^2 = [Y - A\thetavec]^\intercal\, \Sigmavec^{-1}\, [Y - A\thetavec] \]Before going on, make sure you can see how the uncorrelated case is a special case of this expression and how the generalization plays out.
Check the matrix dimensions on the right side: \((1\times N)\cdot (N\times N)\cdot (N\times 1) \rightarrow 1 \times 1\), which works because \(\chi^2\) is a scalar. (If it is confusing how these combine, first write out the matrix products with sums over indices for all matrices. Adjacent indices must run over the same integer values.)
We have twice used here that \(Y - A\thetavec \sim (N\times 2)\cdot (2\times 1) \rightarrow (N\times 1)\). In the first instance the transpose converts \((N\times 1)\) to \((1\times N)\).
Claim: the maximum likelihood estimate (MLE) for \(\thetavec\) is
Why can’t I say \([A^\intercal \Sigmavec^{-1} A]^{-1}[A^\intercal \Sigmavec^{-1} Y] = A^{-1}\Sigmavec (A^{\intercal})^{-1}A^\intercal \Sigmavec^{-1} Y = A^{-1}Y\)?
Because these are not square, invertible matrices, so those operations don’t hold.
Let’s make a plausibility argument for the \(\thetavechat\) result. We need square, invertible matrices before we can do the inversion that fails for \(Y = A\thetavec\).
Start with \(Y = A\thetavec\), which has \(A\) as an \((N\times 2)\) matrix.
We need to change what multiplies \(\thetavec\) into a \((2\times 2)\) square matrix.
We do this by multiplying both sides by \(A^\intercal \Sigmavec^{-1}\), which is \((2\times N)\):
\[ A^\intercal \Sigmavec^{-1} Y = A^\intercal \Sigmavec^{-1} A \thetavec \]Now we can take the inverse to get the result for \(\thetavechat\).
Before proving the results carefully, let’s generalize to a higher-order polynomial. E.g., for the quadratic case.
If \(y_i = q x_i^2 + m x_i + b\), what do \(\thetavec\) and \(A\) look like?
\[\begin{split} \thetavec = \pmatrix{b \\ m \\ q} \quad\mbox{and}\quad \pmatrix{1 & x_1 & x_1^2 \\ \vdots & \vdots & \vdots \\ 1 & x_N & x_N^2 } \end{split}\]The generalization to higher order is straightforward.
To derive the result for \(\thetavechat\), we will write all matrices and vectors with indices, using the Einstein summation convention.
Start with
\[ \chi^2 = [Y - A\thetavec]^\intercal\, \Sigmavec^{-1}\, [Y - A\thetavec] = (Y_i - A_{ij}\thetavec_j)(\Sigma^{-1})_{ii'}(Y_{i'}- A_{i'j'}\thetavec_{j'}) , \]where \(i,i'\) run from \(1\) to \(N\) and \(j,j'\) run from one to \(p\), where the highest power term is \(x^{p-1}\). Be sure you understand the indices on the leftmost term, remembering that the matrix expression has this term transposed.
We find the MLE from \(\partial\chi^2/\partial\thetavec_k = 0\) for \(k = 1,\ldots p\).
Carry out the derivatives.
Isolate the \(\thetavec\) terms on one side and show the doubled terms are equal:
\[ A_{ik}(\Sigmavec^{-1})_{i,i'}Y_{i'} + Y_i (\Sigmavec^{-1})_{i,i'} A_{i'k} = A_{ik}(\Sigmavec^{-1})_{i,i'}A_{i'j'}\thetavechat_{j'} + A_{ij}\thetavechat_{j}(\Sigmavec^{-1})_{i,i'}A_{i'k} \]In the second term on the left, switch \(i\leftrightarrow i'\) and use \((\Sigmavec^{-1})_{i',i} = (\Sigmavec^{-1})_{i,i'}\) because it is symmetric. This is then the same as the first term.
In the first term on the right, we switch \(j\leftrightarrow j'\) and use the symmetry of \(\Sigmavec\) again to show the two terms are the same.
Writing \(A_{ik} = (A^\intercal)_{ki}\), we get
\[\begin{align} 2(A^\intercal)_{ki} (\Sigmavec^{-1})_{i,i'} Y_i = 2 (A^{\intercal})_{ki} (\Sigmavec^{-1})_{i,i'} A_ {i'j}\thetavechat_j \end{align}\]or, removing the indices,
\[ (A^{\intercal}\Sigmavec^{-1} Y) = (A^{\intercal}\Sigmavec^{-1}A) \thetavechat \]and then inverting (which we showed earlier was possible because the expression in parentheses on the right is a square, invertible matrix), we finally obtain:
\[ \thetavechat = [A^\intercal \Sigmavec^{-1} A]^{-1} [A^\intercal \Sigmavec^{-1} Y] . \]Q.E.D.
Dealing with outliers#
Our exploration of different approaches to handling outliers is worked out in Dealing with outliers.
The details are in the notebook; here we give an overview.
Our example is linear regressions with data outliers, meaning we fit a linear function (here just a line in one variable) to data that includes one or more points that are many standard deviations from the trend.
The model setup is familiar by now (\(\yth \equiv \ym\)):
\[\begin{split}\begin{align} \yexp = \yth + \delta \yexp \\ \yth \longrightarrow \ym(x;\thetavec) = \theta_1 x + \theta_0 \\ \delta\yexp \sim \mathcal{N}(0,\sigma_0^2) \end{align}\end{split}\]What is the likelihood \(p(\{x_i,y_i\}|\thetavec,\sigma_0)\)?
\[ p(\{x_i,y_i\}|\thetavec,\sigma_0) =\frac{1}{\sqrt{2\pi\sigma_0^2}} e^{-(y_i-y_m(x_i;\thetavec))^2/2\sigma_0^2} \]Having defined a likelihood, we can apply frequentist methods. Later, when we do the Bayesian approach and we’ll need priors, we will take them as uniform (even if that choice is not so well motivated).
Frequentist: standard likelihood approach and Huber loss#
The standard approach shows the out-sized influence of outliers with a squared-loss function (usual least squares).
The Huber loss approach switches to a linear loss function for larger deviations (with the crossover parametrized), which reduces the loss contribution of outliers \(\Lra\) much more intuitive.
Some issues are identified.
Bayesian approaches#
Conservative model
Good-and-bad data model
Cauchy formulation
Many nuisance parameters.
Step through these and discuss how each one works (and how well). Sivia in chapter 8 has further commentary.