The chapter began with the problem of overfitting, a universal phenomenon by which models with more parameters fit a sample better, even when the additional parameters are meaningless. Two common tools were introduced to address overfitting: regularizing priors and estimates of out-of-sample accuracy (WAIC and PSIS). Regularizing priors reduce overfitting during estimation, and WAIC and PSIS help estimate the degree of overfitting. Practical functions compare in the rethinking package were introduced to help analyze collections of models fit to the same data. If you are after causal estimates, then these tools will mislead you. So models must be designed through some other method, not selected on the basis of out-of-sample predictive accuracy. But any causal estimate will still overfit the sample. So you always have to worry about overfitting, measuring it with WAIC/PSIS and reducing it with regularization.
Place each answer inside the code chunk (grey box). The code chunks should contain a text response or a code that completes/answers the question or activity requested. Make sure to include plots if the question requests them. Problems are labeled Easy (E), Medium (M), and Hard(H).
Finally, upon completion, name your final output .html file as: YourName_ANLY505-Year-Semester.html and publish the assignment to your R Pubs account and submit the link to Canvas. Each question is worth 5 points.
7E1. State the three motivating criteria that define information entropy. Try to express each in your own words.
#Here are three motivating criteria that define information energy
#1.Uncertainty should be measured continuously
#2.Uncertainty should capture the size of the possibility space and the value is correlated with possible outcomes
#3.Uncertainty should be additive for independent events 7E2. Suppose a coin is weighted such that, when it is tossed and lands on a table, it comes up heads 70% of the time. What is the entropy of this coin?
p <- c(0.7, 1 - 0.7)
H <- -sum(p * log(p))
H## [1] 0.61086437E3. Suppose a four-sided die is loaded such that, when tossed onto a table, it shows “1” 20%, “2” 25%, “3” 25%, and “4” 30% of the time. What is the entropy of this die?
p <- c(0.20, 0.25, 0.25, 0.30)
H <- -sum(p * log(p))
H## [1] 1.3762277E4. Suppose another four-sided die is loaded such that it never shows “4”. The other three sides show equally often. What is the entropy of this die?
p <- c(1/3, 1/3, 1/3)
H <- -sum(p * log(p))
H## [1] 1.0986127M1. Write down and compare the definitions of AIC and WAIC. Which of these criteria is most general? Which assumptions are required to transform the more general criterion into a less general one?
# AIC estimates out-of-sample prediction error and estimates quality of each model. It is a way to select model quality and evaluate overfitting in the model.
# WAIC is the generalized version of AIC for singular statistical models.
# To transform from WAIC to AIC, we need to assume that the posterior distribution is approximately multivariate Gaussian and the priors are flat or overwhelmed.7M2. Explain the difference between model selection and model comparison. What information is lost under model selection?
#Model selection is considered for us to select the model with the lowest information criterion value and helps to remove models with higher values. It loses information about relative model accuracy. Model averaging is using Bayesian information criteria to construct a posterior predictive distribution and leverages the uncertainty in multiple models. It doesn't lose information on its own.7M3. When comparing models with an information criterion, why must all models be fit to exactly the same observations? What would happen to the information criterion values, if the models were fit to different numbers of observations? Perform some experiments, if you are not sure.
# Deviance is a main criterion which is considered over observations without being divided by the number of observations. Models observations will have a higher deviance and lower accuracy according to information criteria. It is incorrect to contrast models fit to different numbers of observations.7M4. What happens to the effective number of parameters, as measured by PSIS or WAIC, as a prior becomes more concentrated? Why? Perform some experiments, if you are not sure.
# The likelihood will become more concentrated with more concentrated priors.So, variance will decrease. Thus, the effective number of parameters decreases.7M5. Provide an informal explanation of why informative priors reduce overfitting.
# It constricts the range of parameters to result in lower outliers to overfit the model.7M6. Provide an informal explanation of why overly informative priors result in underfitting.
# More informative priors provide a very narrow range of parameters. This results in less useful parameters and a model which is oversimplified in nature.