# Gaussian Guessing Game

Guess which of these graphs shows the normal/gaussian distribution.

The correct answer is A. The rest are the logistic, cauchy, and beta distributions respectively.

Even if you picked it out correctly, it isn’t easy to figure out. All of them look like “bell curves,” they are all symmetric, they all taper off at what looks like a similar rate. In that case, why do we care about the difference between them? Why don’t we just pick whichever one is most mathematically convenient and not worry about it?

The difference lies in their tails, the parts of the graph where the plot disappears into the x axis. That difference, imperceptible in these graphs, makes these distributions behave incredibly differently, as I’ll show below.

# The Basic Operation of Probability: Multiplication

Probabilities are very rarely added together, and probability distributions even more rarely. The basic operation of probability is multiplication. This arises from Bayes’ Rule, which describes the relationship between the joint and conditional distributions of random variables:

This makes it important to understand how each distribution combines via bayes rule with other distributions; that is, how it multiplies.

Before you look at the graphs below, try to guess what each one will look like. I’ve made two copies of each distribution, shifted their centers to -4 and +4, and multiplied the two together. This simulates having two sources of evidence about the same variable that substantially disagree.

Despite the fact that these distributions had very similar looking shapes, their products are entirely different. The distributions are shifted so that the center of one is 8 standard deviations from the center of the other, well out in the range where the plots are indistinguishable from the x axis. Clearly there’s a lot going on in this invisible part of the graph!

What should we plot to give us an intuition about this? The basic operation shouldn’t be so surprising!

# Log Probabilities

The log function asymptotes at 0. This makes it a perfect choice to visualize very small values of a function by expanding their range. These plots show the log of each probability distribution, and they are all easily distinguishable at a glance. They also make it plausible to predict how the distributions will multiply together. Since multiplying the variables is equivalent to adding the log of the variables, all we have to do is figure out what happens when you add two of these curves to each other.

And as you can see, these make the logs of the products of the distributions make a lot more sense

These shapes still aren’t immediately obvious, but you’ve got a fair shot at guessing them from the log plots alone. If all you had was the probability density plots, you wouldn’t have any recourse but to go immediately to the math.

# Fitting to Data

Log probability distributions also show up when you are fitting a model to data. Regardless of whether you are using Bayesian or Frequentist methods, fitting a distribution to a set of data is going to involve maximizing a likelihood function (potentially with some additional multiplied terms.) You’ll be selecting the distribution by maximizing where is the vector of data, is the vector of parameters, and is a regularization term, typically a prior distribution for . Again we find that we’re dealing with a product of probabilities.

The first step of maximizing a function is typically to take its derivative. To make the derivative simpler, it’s easier to work with a sum of many terms than a product of many terms. Since log is monotonic, maximizing a nonnegative function is equivalent to maximizing its log, so we can instead maximize the log probability and turn the product into a sum. We’ll be maximizing . The term is exactly what we’ve been plotting. The log probability density arises for both mathematical convenience and intuitive convenience!

To determine what impact each sample will have on the likelihood, we can just read off the value from the log plot. Consider an outlier that is well away from the rest of the distribution. For a gaussian, the impact on the likelihood will be proportional to . For a logistic distribution, the impact will be roughly proportional to . This is what is meant when the gaussian is described as “sensitive to outliers.” Samples far away from the mean will yank the whole fit around because they have such a large impact on the likelihood.

Log probabilities pervade in Information Theory as well. The negative log probability is called the “surprisal,” and every other quantity is defined in terms of an expected surprisal.

# Tails and Consequences

How much all this matters depends on what type of question you want to answer with your model. If you just want to know where the bulk of the data is, then your choice of distribution doesn’t matter that much. If you are trying to determine the probability of exceptional events, events far away from the mean, then the size of the tails is the only thing that matters. An event six standard deviations from the center of a logistic distribution is several thousand times more likely than an event six standard deviations from the center of a gaussian distribution.

Here are some real world examples where answering an important question requires estimating the probability of an exceptional event.

**A professional chess player has an off game and loses to an amateur. How much should their rating decrease?**

The United States Chess Federation has switched from the gaussian distribution to the logistic in order to make ratings more stable.

**A top mathematics department has no female professors. Is this the result of sexism in the hiring decisions at the university?**

To answer this statistically, we would need to estimate the number of women qualified for these positions. The average mathematical ability as measured by IQ tests has higher variance among men. The ability found in top math departments is many standard deviations above the mean, so the variance and the shape of tails has a huge effect on the predicted number of qualified candidates of each gender.

**A widely sold security is backed by a large number of mortgages with a low rate of default. What rating should this security receive?**

The financial crisis that brought the world economy to its knees was caused largely by bad statistics. Analysts assumed that mortgage defaults are independent events, and thus that the total number of defaults in a collection of mortgages is normally distributed, with very small tails. In reality, the state of the housing market and the overall economy ties defaults together, so large numbers of them defaulting at once is much more likely than a normal distribution would predict. This left the world’s financial institutions completely unprepared when large numbers of them did default at once.

**What are the chances of a magnitude 9.5 earthquake hitting San Francisco in the next 10 years?**

The Gutenberg-Richter law describes the probability distribution of earthquakes of different magnitudes. The log probability of an earthquake is linear in its magnitude. Disagreements about the slope of that line make an exponential difference in the likelihood of a large earthquake.

**A Climate model predicts a 1°C increase in global mean temperature. If the climate were to get several standard deviations hotter than that, the soil would lose the ability to hold moisture, and terrestrial plant life would end. How likely is the end of the world?**

Unfortunately for us, climate outcomes are fat-tailed.

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The math department example is highly problematic and not well backed up by data: http://en.wikipedia.org/wiki/Sex_differences_in_intelligence

“In most nations males have greater variance. In a few females have greater variance. Hyde and Mertz argue that boys and girls differ in the variance of their ability due to sociocultural factors.”

I disagree with presenting it as a natural fact “boys have higher variance” as this may discourage women from reaching their potential.

Konrad

This is a beautiful posting, something as fundamental that every probability course should include.

I seem to have found it very late, though.

Thanks a lot nevertheless.