The paper

- Aki Vehtari, Daniel Simpson, Andrew Gelman, Yuling Yao, and
Jonah Gabry (2024). Pareto smoothed importance sampling.
*Journal of Machine Learning Research*, 25(72):1-58.

presents Pareto smoothed importance sampling, but also
Pareto-$\hat{k}$ diagnostic that can be used when estimating any
expectation based on finite sample. This vignette illustrates the use of
these diagnostics.
The individual diagnostic functions are `pareto_khat()`

, `pareto_min_ss()`

, `pareto_convergence_rate()`

and `pareto_khat_threshold()`

. The function `pareto_diags()`

will return all of these.

Additionally, the `pareto_smooth()`

function can be used to transform draws by smoothing the tail(s).

library(posterior) library(dplyr) options(pillar.neg = FALSE, pillar.subtle=FALSE, pillar.sigfig=2)

Generate `xn`

a simulated MCMC sample with 4 chains each with 1000
iterations using AR process with marginal normal(0,1)

N <- 1000 phi <- 0.3 set.seed(6534) dr <- array(data=replicate(4,as.numeric(arima.sim(n = N, list(ar = c(phi)), sd = sqrt((1-phi^2))))), dim=c(N,4,1)) %>% as_draws_df() %>% set_variables('xn')

Transform `xn`

via cdf-inverse-cdf so that we have variables that
have marginally distributions $t_3$, $t_{2.5}$, $t_2$, $t_{1.5}$,
and $t_1$. These all have thick tails. In addition $t_2$,
$t_{1.5}$, and $t_1$ have infinite variance, and $t_1$ (aka Cauchy)
has infinite mean.

drt <- dr %>% mutate_variables(xt3=qt(pnorm(xn), df=3), xt2_5=qt(pnorm(xn), df=2.5), xt2=qt(pnorm(xn), df=2), xt1_5=qt(pnorm(xn), df=1.5), xt1=qt(pnorm(xn), df=1))

We examine the draws with the default `summarise_draws()`

.

drt %>% summarise_draws()

All the usual convergence diagnostics $\widehat{R}$, Bulk-ESS, and Tail-ESS look good, which is fine as they have been designed to work also with infinite variance (Vehtari et al., 2020).

If these variables would present variables of interest for which we would like to estimate means, we would be also interested in Monte Carlo standard error (MCSE, see case study How many iterations to run and how many digits to report).

drt %>% summarise_draws(mean, sd, mcse_mean, ess_bulk, ess_basic)

Here MCSE for mean is based on standard deviation and Basic-ESS, but these assume finite variance. We did sample also from distributions with infinite variance, but given a finite sample size, the empirical variance estimates are always finite, and thus we get overoptimistic MCSE.

To diagnose whether our variables of interest may have infinite variance and even infinite mean, we can use Pareto-$\hat{k}$ diagnostic.

drt %>% summarise_draws(mean, sd, mcse_mean, ess_basic, pareto_khat)

$\hat{k} \leq 0$ indicates that all moments exist, and the inverse
of positive $\hat{k}$ tells estimate for the number of finite (fractional)
moments. Thus, $\hat{k}\geq 1/2$ indicates infinite variance,
and $\hat{k}\geq 1$ indicates infinite mean. Sometimes very thick
distribution tails may affect also sampling, but assuming sampling
did go well, and we would be interested only in quantiles, infinite
variance and mean are not a problem. But if we are interested in mean,
then we need to care about the number of (fractional) moments. Here we
see $\hat{k} \geq 1/2$ for $t_2$, $t_{1.5}$, and $t_{1}$, and
we should not trust their `mcse_mean`

values. Without trustworthy MCSE
estimate we don't have good estimate of how accurate the mean estimate is.
Furthermore, as $\hat{k} \geq 1$ for $t_{1}$, the mean is not finite and
the mean estimate is not valid.

If we really do need those mean estimates, we can improve trustworthiness by Pareto smoothing, which replaces extreme tail draws with expected ordered statistics of Pareto distribution fitted to the tails of the distribution. Pareto smoothed mean estimate (computed using Pareto smoothed draws) has finite variance with a cost of some bias which we know when it is negligible. As a thumb rule when $\hat{k}<0.7$, the bias is negligible.

We do Pareto smoothing for all the variables.

drts <- drt %>% mutate_variables(xt3_s=pareto_smooth(xt3), xt2_5_s=pareto_smooth(xt2_5), xt2_s=pareto_smooth(xt2), xt1_5_s=pareto_smooth(xt1_5), xt1_s=pareto_smooth(xt1)) %>% subset_draws(variable="_s", regex=TRUE)

Now the `mcse_mean`

values are more trustworthy when $\hat{k} < 0.7$.
When $\hat{k}>0.7$ both bias and variance grow so fast that Pareto smoothing
rarely helps (see more details in the paper).

drts %>% summarise_draws(mean, mcse_mean, ess_basic, pareto_khat)

The bias and variance depend on the sample size, and we can
use additional diagnostic `min_ss`

which tells the minimum sample size needed
so that `mcse_mean`

can be trusted.

drt %>% summarise_draws(mean, mcse_mean, ess_basic, pareto_khat, min_ss=pareto_min_ss)

Here required `min_ss`

is smaller than `ess_basic`

for all except $t_1$, for
which there is no hope.

Given finite variance, the central limit theorem states that to halve MCSE we need four times bigger sample size. With Pareto smoothing, we can go further, but the convergence rate decreases when $\hat{k}$ increases.

drt %>% summarise_draws(mean, mcse_mean, ess_basic, pareto_khat, min_ss=pareto_min_ss, conv_rate=pareto_convergence_rate)

We see that with $t_2$, $t_{1.5}$, and $t_1$ we need $4^{1/0.86}\approx 5$, $4^{1/0.60}\approx 10$, and $4^{1/0}\approx \infty$ times bigger sample sizes to halve MCSE for mean.

The final Pareto diagnostic, $\hat{k}$-threshold, is useful for smaller sample sizes. Here we select only 100 iterations per chain to get total of 400 draws.

drt %>% subset_draws(iteration=1:100) %>% summarise_draws(mean, mcse_mean, ess_basic, pareto_khat, min_ss=pareto_min_ss, khat_thres=pareto_khat_threshold, conv_rate=pareto_convergence_rate)

With only 400 draws, we can trust the Pareto smoothed result only when
$\hat{k}<0.62$. For $t_{1.5}$ $\hat{k}\approx 0.64$, and `min_ss`

reveals
we would probably need more than 560 draws to be on the safe side.

We can get all these diagnostics with `pareto_diags()`

, and it's
easy to use it also for derived quantities.

drt %>% mutate_variables(xt2_5_sq=xt2_5^2) %>% subset_draws(variable="xt2_5_sq") %>% summarise_draws(mean, mcse_mean, pareto_diags)

All these diagnostics are presented in Section 3 and summarized in Table 1 in PSIS paper (Vehtari et al., 2024).

If you don't need to estimate means of thick tailed distributions, and there are no sampling issues due to thick tails, then you don't need to check existence of finite variance, and thus there is no need to check Pareto-$\hat{k}$ for all the parameters and derived quantities.

It is possible that the distribution has finite variance, but pre-asymptotically given a finite sample size the behavior can be similar to infinite variance. Thus the diagnostic is useful even in cases where theory guarantees finite variance.

Vehtari, A., Simpson, D., Gelman, A., Yao, Y., & Gabry, J. (2024).
Pareto smoothed importance sampling.
*Journal of Machine Learning Research*, 25(72):1-58.

Vehtari A., Gelman A., Simpson D., Carpenter B., & Bürkner P. C. (2020).
Rank-normalization, folding, and localization: An improved Rhat for assessing
convergence of MCMC. *Bayesian Analysis*, 16(2):667-718.

**Any scripts or data that you put into this service are public.**

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.