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Lecture 3
Semester 1
2020/2021
Li Haizhou (haizhou.li@nus.edu.sg)
Acknowledgement:
EE2211 development team
(Thomas, Kar-Ann, Chen Khong, Helen, Robby and Haizhou
3
© Copyright EE, NUS. All Rights Reserved.
Causality
What is statistical causality or causation?
• In statistics, causation means that one thing will cause
the other, which is why it is also referred to as cause and
effect.
• The gold standard for causal data analysis is to combine
specific experimental designs such as randomized
studies with standard statistical analysis techniques.
https://www.geo.fu-berlin.de/en/v/soga/Basics-of-statistics/Descriptive-Statistics/Measures-of-Relation-Between-Variables/Correlation/index.html
https://en.wikipedia.org/wiki/Simpson%27s_paradox
Ref: Gardener, Martin (March 1979). "MATHEMATICAL GAMES: On the fabric of inductive logic, and some probability paradoxes" (PDF). Scientific American. 234
1. 𝑃𝑃𝑟𝑟 𝐴𝐴 > 0
2. 𝑃𝑃𝑃𝑃 𝑆𝑆 = 1
3. If 𝐴𝐴 ∩ 𝐵𝐵 = ∅ , then 𝑃𝑃𝑃𝑃 𝐴𝐴 ∪ 𝐵𝐵 = 𝑃𝑃𝑃𝑃 𝐴𝐴 + 𝑃𝑃𝑃𝑃 𝐵𝐵
*otherwise, 𝑃𝑃𝑃𝑃 𝐴𝐴 ∪ 𝐵𝐵 = 𝑃𝑃𝑃𝑃 𝐴𝐴 + 𝑃𝑃𝑃𝑃 𝐵𝐵 − 𝑃𝑃𝑃𝑃(𝐴𝐴 ∩ 𝐵𝐵)
s
R
X(s)
EE2211 Introduction to Machine Learning 14
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Notations
• Some books used P(·) and p(·) to distinguish between the
probability of discrete random variable and the probability
of continuous random variables respectively.
95%
90%
𝜇𝜇
𝑥𝑥1
𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 × 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝
𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 =
𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒
EE2211 Introduction to Machine Learning 25
© Copyright EE, NUS. All Rights Reserved.
Bayes’ Rule
Likelihood – propensity for
Prior – what we know about
observing a certain value of 𝑥𝑥
y BEFORE seeing 𝑥𝑥
given a certain value of 𝑦𝑦
Pr(𝑦𝑦) Pr 𝑥𝑥 𝑦𝑦 Pr(𝑦𝑦) Pr 𝑥𝑥 𝑦𝑦
Pr 𝑦𝑦 𝑥𝑥 = =
Pr(𝑥𝑥) 𝛴𝛴𝑦𝑦 Pr(𝑦𝑦) Pr 𝑥𝑥 𝑦𝑦
Evidence – a constant to
Posterior – what we know ensure that the left hand side
about y AFTER seeing 𝑥𝑥 is a valid distribution
𝜃𝜃 ∗ = argmax𝜃𝜃 Pr 𝜃𝜃 = 𝜃𝜃� 𝑋𝑋 = 𝑥𝑥
= argmax𝜃𝜃 𝑙𝑙𝑙𝑙𝑙𝑙 Pr 𝜃𝜃 = 𝜃𝜃� 𝑋𝑋 = 𝑥𝑥
𝐿𝐿(𝑋𝑋|𝜃𝜃)
− 𝑥𝑥𝑖𝑖−𝜇𝜇 2
1
= ∑𝑚𝑚
𝑖𝑖=1 log 𝑒𝑒 2𝜎𝜎2
2𝜋𝜋𝜎𝜎 2
𝑚𝑚 1
= −𝑚𝑚 𝑙𝑙𝑙𝑙𝑙𝑙 𝜎𝜎 − log 2𝜋𝜋 − 2 ∑𝑚𝑚
𝑖𝑖=1 𝑥𝑥𝑖𝑖 − 𝜇𝜇 2
2 2𝜎𝜎
and
𝜕𝜕𝐿𝐿(𝑋𝑋|𝜃𝜃) 𝑚𝑚 1 𝑚𝑚
= − + 3 ∑𝑖𝑖=1 𝑥𝑥𝑖𝑖 − 𝜇𝜇 2 =0
𝜕𝜕 𝜎𝜎 𝜎𝜎 𝜎𝜎
we have,
1 𝑚𝑚
𝜎𝜎� = ∑𝑖𝑖=1 𝑥𝑥𝑖𝑖 − 𝑥𝑥̅ 2
𝑚𝑚