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Canonical directions

 

For a general belief adjustment we can construct a series of linear combinations, or canonical directions, with the properties that the first canonical direction is the linear combination of tex2html_wrap_inline8938 's with the largest possible resolution; the second canonical direction is the linear combination with the largest resolution amongst those combinations which are uncorrelated with the first direction; and so forth. We take each canonical direction to have prior expectation zero and prior variance unity by convention. Our term for this collection of canonical directions is belief grid, as they comprise a multidimensional grid of directions over which the implications of the adjustment for the belief structure tex2html_wrap_inline8554 may be summarised as follows.

Each quantity in tex2html_wrap_inline8554 can be written as a linear combination of the canonical directions, and the resolution of each such quantity can be decomposed into a weighted sum of the resolutions for the canonical directions. The weights correspond to the strength of (squared) correlation between the quantity and the canonical directions. In this way, we expect to learn most about those quantities that are strongly correlated with the first few canonical directions; and least about those quantities that are weakly correlated with the first few canonical directions, and strongly correlated with the last few directions.

The belief grid for our simple example consists of the following two canonical directions:

eqnarray753

or, in standardised form,

eqnarray755

with approximate resolutions

eqnarray761

Thus, the linear combination of quantities in tex2html_wrap_inline8610 about which we expect to learn most is tex2html_wrap_inline8956 , and we expect to remove about 32% of our uncertainty in this direction. Any other linear combination of elements in tex2html_wrap_inline8610 which is highly correlated with tex2html_wrap_inline8956 will likewise have a similar variance reduction.

There is only one direction in tex2html_wrap_inline8610 which is orthogonal to tex2html_wrap_inline8956 : we expect to learn least about tex2html_wrap_inline8966 . A resolution of only about 2% suggests that we learn almost nothing about both tex2html_wrap_inline8966 and linear combinations highly correlated with tex2html_wrap_inline8966 .

Thus, for the purpose of learning about tex2html_wrap_inline8580 and tex2html_wrap_inline8582 , the information contained in tex2html_wrap_inline8806 is essentially one-dimensional: we reduce uncertainty only in the direction of tex2html_wrap_inline8956 . Examination of the standardised form of the first canonical direction tex2html_wrap_inline8956 above shows that tex2html_wrap_inline8580 is the major component, whereas tex2html_wrap_inline8582 is the major component of tex2html_wrap_inline8966 . Hence, we are learning mostly in the direction of tex2html_wrap_inline8580 , and learning very little in the direction of tex2html_wrap_inline8582 .


next up previous
Next: Adjusting the canonical belief Up: Adjusting beliefs by data Previous: Adjusting a collection of

David Wooff
Thu Oct 15 12:20:04 BST 1998