of Econometrics
29 (1985) 149-163.
North-Holland
NY I?.?_.?, USA
A common
problem
is to determine by an elicitation process the parameters
of a subjective
distribution
in a location-scale
family. One method is to elicit assessments of the median and one
other quartile, equate the assessed median to the location parameter,
and estimate the scale from
the difference. In a second method, all three quartiles are elicited and then the scale is estimated
from the interquartile
range. With either method, the location and scale estimates are not made
independently.
These methods are here studied by introducing
probability
models for the elicitation process itself. It is shown that the second (full-quartiles)
method has important advantages not
held by the first.
1. Introduction
Subjective elicitation of a probability
distribution
has two uses:
(i) Choosing a subjective probability
distribution
to articulate and express a
persons uncertainty.
The assessment of a Bayesian subjective prior distribution is a special case.
(ii) Subjectively
estimating an unknown
objective probability
distribution.
Such a task can arise, for example, when there is a lack of adequate sample
data from such a distribution.
In either context, the words assess and
estimate tend to appear interchangeably.
The treatment
here will refer explicitly to the first use, (i), but the findings will apply as well to use (ii).
In a bisection
method, an expert establishes
a distribution
function
by
assessing particular fractiles _v4of the subjectively distributed random quantity
Y, namely the fractiles at those probability
values which are truncated binary
113135
are elicited sequentially
in
expansions,
q=
i,
ii,
4,
X,
X,
x, etc. The fractiles
accordance
with the power of 4 involved. For a continuous
distribution,
they
*The authors wish to thank Gordon W. Cook and Dennis V. Lindley for helpful comments. This
research was supported
by the U.K. Science and Engineering
Research Council, by Imperial
Chemical Industries, and by the U.S. National Science Foundation
(Grant MCS-8301335).
0304.4076/85/$3.30
B.V. (North-Holland)
150
P. H. Gurthwuite
und J.M.
Dtckq,
of being obvious
SuhjectiLle
prohahuli!,:
conditional
nssessment
medians,
(Y]y;<
Y<y;),
or, in general,
for i odd and q = i/2, y, = med( Y Iv,, -C Y-C y,,,) where
q = (i - 1)/2 and q = (i + 1)/2. Th us, the expert need only assess medians,
based on various hypothetical (or even real) states of information.
That is, he
assesses points for which he considers it conditionally
equally likely that Y falls
above or below the point. After sufficiently
many such points have been
assessed, a parametric form for the distribution
can be fitted. The method has
been studied in many experiments;
reviews of these may be found in Hampton,
Moore and Thomas (1973), Huber (1974), Lichtenstein,
Fischoff and Phillips
(1977) and Garthwaite (1977).
Assessment
by bisection has special appeal for choosing a member of a
location-scale
family. In this case, the location parameter can be equated to
the elicited median. An estimate of the scale parameter may then be obtained,
either from (a) the distance between one quartile and the median, or (b) the
assessed interquartile
range (distance between upper and lower quartiles).
Under the parameterized
model, these differences are proportional
to the scale
parameter.
We call the method of (a), in which only one further quartile need
be assessed, the single bisection method, and (b), in which two further quartiles
are assessed, the double bisection method. Both methods form parts of elicitation procedures
that have recently been developed
and used in practice.
Kadane et al. (1980) use method (a) in one procedure for quantifying
opinion
about a normal linear model. In a different procedure with the same aim,
Garthwaite
(1984) uses method (b).
In this note attention
will be focused on the case of a symmetric
location-scale
family and we study the mathematical
relations between the
eventual errors in the single and the double bisection methods. In the context
(i) of choosing a subjective probability
distribution,
an error is the difference
between an assessed value and the experts corresponding
actual opinion, while
in (ii), the difference between an estimated value and the objective population
parameter
is intended.
We follow Dickey (1980) in postulating
a further
probability
model for a distribution
of elicitation
errors conditional
on the
unknown distribution
sought by the assessment. [See also Lindley, Tversky and
Brown (1979).] Without wishing to offend by claiming priority, we note that
this is a new use for probability,
in the sense that neither are the stochastic
elicitations
a sample from the distribution
they portray, nor are they Bayesian
random parameters.
151
A consequence
of the mechanics of these bisection methods is that an error
in the location assessment should have an effect on the scale assessment. For
example, if the expert inadvertently
chooses his 40th percentile when assessing
the median, then subsequent
perfect bisections would correspond
to his 20th
and 70th percentiles. The distance between such percentiles will generally differ
from the actual interquartile
distance, and this will have an effect on the scale
assessment.
We shall analyse the relationship
between such scale assessments
and errors in the location assessment and will give properties
of this relationship for each of the bisection methods.
Efforts will be made to evaluate whether the effect of a property is good or
bad, but such evaluations,
to some extent, depend on the purpose for which
the distribution
is assessed. Clearly, in many contexts, lack of dependence
between the assessment
of the scale and that of the location is a desirable
property. We pay particular attention
to the effect of such dependence
on a
computed
weighted average of means in which weights are proportional
to
reciprocal variances. Such weighted averages arise in many applications.
For
example, Ericson (1969) shows that in a range of situations the posterior mean
will be a weighted average of the prior mean and the sample mean, with
weights inversely proportional
to their respective variances. A similar weighting scheme is also found in methods of combining the opinions of two or more
experts to form a consensus opinion [Winkler (1968) De Groot (1974) Morris
(1974)], or in methods that have been proposed for reconciling a single experts
assessments
when his expressed opinions do not cohere [Lindley, Tversky and
Brown (1979), Kadane
et al. (1980), Dickey (1980) Dickey, Dawid and
Kadane (1982)]. Our results will indicate that the double bisection method can
have advantages
over the single bisection
method, even when the experts
opinion is adequately modelled by a symmetric distribution.
This has relevance
to the design of elicitation
methods, since a seemingly innocuous
way of
shortening
an elicitation
session would be to use the single bisection rather
than the double bisection method.
We shall develop relations between location and expected scale estimates for
the double bisection method, first, together with consequences,
in section 2. In
section 3 we investigate the extent to which single bisection has these properties; and in section 4 we compare the two methods. Practical implications
will
be discussed in section 5.
2. Double bisection method
2. I. General
Consider
the uncertain
quantity
Y having a subjective probability
distribution with continuous
cumulative function F(y) and density function f(y).
This distribution
is unknown and is to be assessed. It is conceived, however, to
(1)
Note that u need not be the square root of the variance for Y. We denote the
qth fractile of Y by yq.
In terms of the lower and upper quartiles, ya and y:, we have for the scale
parameter
(2)
where y4o is the q th fractile for the standard density g. The denominator
here
is the (known) interquartile
range of the assumed symmetric standard distribution having unit scale. Note also that
Denote assessed values for the median, lower and upper quartiles, respectively, by M, L and U. A further probability
model is assumed for these
assessments
conditional
on the model f(y).
That is, random
elicitations
M, L, U have a joint probability
distribution
parameterized
by p, u, or redundantly, by the true subjective values p, y;, yi. We suppose that the joint
distribution
of M, L, U is determined by f.
It will be convenient
to define the error of assessment for the location,
Z=M-p,
having an achieved value z = m - p, and the corresponding
pected assessments in the quartiles,
(3)
conditional ex-
I; = E( LIZ = z),
@a)
u;=E(UlZ=z).
(4b)
F(p+z)-F(l,)=:F(p+z),
(54
F(u,)-F(/.L+z)=+{l-F(p++)}.
(5b)
Denote
the resulting
assessment
(2) by
s = (u- L)/(yp-yp),
and define
the analogous
function
SL=(U2-li)/(yp-yp).
153
(6)
of the first error Z = I,
(7)
2.2. Property
(8)
1: Mean insensitivity
In these next sections we give properties relating the assessed location and
expected scale estimates, M = m and sz, for the double bisection method, and
The following theorem states the first of these
we examine
consequences.
properties. The proofs, omitted here, are given in the appendix.
Theorem 1. Suppose that the density f( y) is continuous at the centre y = p and
at the upper quartile y = u0 (z = 0) and that f( uO) is non-zero. Then the
following derivative exists and takes the value indicated:
Various
statistical
methods require independence
of location
and scale
estimates, and Theorem 1 gives a first-order or expectation independence
for
these estimates, given that the error in the location estimate is small. The result
implies
an insensitivity
of the scale assessment
to error in the location
assessment,
in the following obvious sense. The Taylor expansion
for the
expected scale about z = 0 is now
s; = u +
o(z).
154
2.3. Property
assessment
2: Monotonicity
Example
E { (o~~+~*&J~
+ T)-
-(s2x+
T2m)(s2
+ 72)-1}2],
amemment
155
of x. [We are
that variance
unit variance.]
= p2 + u2 + 72
s2=a2+z2.
(10)
2.4. Property
3: Unbiasedness
Our third property, stated in the following theorem, shows that the double
bisection method leads to a joint distribution
for the location error and scale
assessment
which is symmetric in the location error. The result follows from
the symmetry of the underlying distribution
of Y about p and the assumption
that the distribution
of median and quartile elicitations for a random quantity
Y is determined
by the distribution
f of that quantity.
Theorem
3.
hl(z, s) = h,(
(11)
-z,s).
To interpret
Property 3, note
statements,
taken together:
that
it is equivalent
to the following
two
(a) The marginal p.d.f. of the error in the location assessment is symmetrical
about the origin.
(b) The conditional
distribution
of the scale assessment, given the error in the
location assessment, depends only on the magnitude of this error and not
on its sign.
156
P. H. Gurthwuire
This property ensures the validity of results which one might often take for
granted. Examples are particularly
prevalent in the context of weighted averages of means, where weights are functions of the variances of the means and
some, or all, of the means and variances are obtained from subjective assessments. For such weighted averages, an elicitation
method could introduce
deterministic
bias, rather than purely random error, because mean and variance assessments are not, in general, independent
of each other. (An example
will be given in section 4, when the double and single bisection methods are
compared.) The following corollary to Theorem 3, though a weaker result than
independence
between location and scale assessments,
will normally
ensure
that the double bisection method does not introduce deterministic
bias.
Corollary 1.
If + is any function
S, then
E{ W@)) =PE{@)).
Proof.
Q.E.D.
E{(M
- PM(S)~
(12)
= E( .WS)),
which
equals
0 from
Theorem
3.
We now give an example showing that the double bisection method can
avoid introducing
bias. The result will, perhaps, seem intuitively
obvious.
However,
in general it will not hold for other elicitation
methods unless
Corollary 1 is applicable to them.
Example
(13)
where the expectation
E{S2X(S2+~2))11~,a2
quantities.
Now
} =~E{S2(S2+r2))l~,cr2},
Thus, from Corolla;y 1, (13) is satisfied for the double bisection method. For
other elicitation
methods, the equation will only be satisfied if the corollary
applies to them when +(S) = 7*(S* + 7*)-l.
3. Single bisection method
We turn now to consider the extent to which the single bisection method
shares in the foregoing properties. For this method, assessments of the median
and only one other quartile are used to estimate the scale. For explicitness, we
assume throughout
that the upper quartile and the median are assessed, and we
denote the scale assessment which these imply by T, where
T= (UAnalogously
M)/yf.
to the definition
(14)
of s:, we define t, by
tZ= E(TIZ=z),
where
tz= {uz-(P++z)}/Yp,
(15)
assessment,
Z = M - p. Hence
(16)
(17)
158
(18)
= 2f(u,).
(19)
t) = h2( -z,
t).
(20)
ussessment
159
Table 1
Expected
scale assessments
Elicitation
Location
assessment
error
Single
bisection using
upper
quartile
deviations)
method
Single
bisection using
lower
quartile
Double
bisection
1.005
1.044
1.166
1.414
1.803
0.1
0.3
0.6
1.0
1.5
0.947
0.858
0.164
0.693
0.662
0.1
0.3
0.6
1.0
1.5
0.947
0.851
0.731
0.607
0.494
0.1
0.3
0.6
1.0
1.5
1
1
1
1
1
(b) t-distribution
1.005
1.044
1.166
1.414
1.803
1.005
1.044
1.166
1.414
1.803
1.060
1.200
1.465
1.917
2.605
1.003
1.029
1.115
1.305
1.633
1.057
1.185
1.410
1.779
2.348
1.002
1.018
1.071
1.193
1.421
1.025
1.184
1.512
2.227
3.150
1.013
1.092
1.286
1.614
2.075
on 7 d.f:
(d) Double-exponentialdistribution
160
Subjective
prohuholi!l~
msessmeni
To illustrate this last point, suppose we form a consensus opinion from the
expressed opinions of two experts and that the consensus mean is defined as
the weighted
average of the experts individual
means, with the weights
proportional
to the reciprocal variances. Suppose further that the true prior
opinions
of the experts are identical and correspond
to a standard normal
distribution
(mean: 0, variance: 1) but that one expert incorrectly assesses his
median as - 0.3 while the other expert incorrectly assesses his median as + 0.3.
One might hope that, in the weighted average, these errors would cancel out
and hence that one would obtain the correct mean, 0, as the consensus.
However, if assessment of the median and upper quartile is used to estimate
the scale, and if subsequent bisections were accurately made, then from table 1,.
the consensus mean would be
{O.3(1.185)2
- 0.3(0.851)}/{0.851+
1.1852} = 0.10.
A consequence
of Corollary 1 is that this type of bias will not arise with the
double bisection method, for which the two expected scale assessments would
be identical.
5. Discussion
We have made assumptions
about the form of the experts subjective
probability
distribution.
Such assumptions
may not be verifiable,
since a
subjective probability
distribution
may fail to exist before its assessment. That
is, although
the expert has opinions
about the unknown
quantity,
these
opinions are not stored mentally as a probability
distribution.
In practice, of
course, one does not hope to elicit an actual subjective probability
distribution.
Rather, one endeavours
to capture some aspects of the experts opinions
through eliciting assessments and modelling by a probability
distribution.
The
distribution
will, in general, be constrained
to be a member of a known
parametric
family, since this facilitates both the elicitation
process and the
subsequent
use of the elicited distribution.
The results given in this article are
applicable,
provided the following conditions apply:
(a) The parametric
family is a symmetric location-scale
family.
(b) There is some symmetric distribution
(not necessarily
a member of the
location-scale
family) which could usefully represent the experts opinions.
(c) The aspects of the experts beliefs which we wish to model are the median
and interquartile
range of the distribution
in (b) [i.e., we regard the true
scale as the scale of that distribution
from the specified location-scale
family having the same interquartile
range as the distribution
in (b)].
P. H. Garthwxte
and J.M.
Dickey.
Suhjectme prohaholrt~
assessment
161
We know whether conditions (a) and (c) are satisfied since these depend, not
on the experts opinions, but on how these opinions are to be modelled. In
contrast, we cannot be certain whether condition (b) is satisfied, since this does
depend on the experts opinions. However, suppose (b) is not satisfied. That is,
the experts opinion corresponds
to a markedly asymmetric distribution
but is
to be represented
by a symmetric
distribution.
Then clearly the double
bisection method is preferable to the single bisection method. Unlike the latter,
it will yield a scale estimate that at least partly reflects the opinion about both
the left- and right-hand
halves of his subjective distribution.
Also, it can
provide some indication
of whether the distribution
is markedly skew and
should not be modelled by a symmetric distribution.
The main result of this paper is that, when conditions
(a), (b) and (c) are
satisfied, the double bisection method has real advantages
over the single
bisection method. From the above comments, this conclusion does not actually
depend on condition (b). That is, the double bisection method is preferable to
the single bisection
method whether or not the subjective
distribution
is
approximately
symmetric, provided only that this distribution
is to be modelled by a symmetric distribution
whose interquartile
range should (ideally)
equal that of the subjective distribution.
This suggests that in designing an
elicitation
procedure, the double bisection method should be preferred to the
single bisection
method and that, in certain elicitation
procedures
already
developed
[e.g., the procedure described in Kadane et al. (1980)], the single
bisection
method could advantageously
be replaced by the double bisection
method.
if(p){l/f(uO)-l/f(l,)}/y:.
f(uo)
= f(f,),
so [dsl/dz]Z=,
Fromthesymmetryoftheden= 0.
Proof of Theorem 2. Let a, b denote two values of ]Z], where ]a] < lb/. We
must show that s, <s,,. Theorem 3 (whose validity follows from the basic
assumptions
of section 2.1) indicates that s, depends only on the magnitude of
162
[If, for example, a and b are the 60th and 70th percentiles of f(.), then I,, I,,
U, and uh are the 30th, 35th, 80th and 85th percentiles of f(.).] Also, since
a 2 P,
(ii)
u, - p 2 p - I,.
By assumption,
f(y) is a strictly decreasing function of ]y - ~1. Hence (i) and
(ii) imply that for all y, E (ua, u,,) and Y, E (I,, l,), f(rt)<f(~~).
If eqs. (5a) and (5b) are added, one obtains
F(u,) - F(IZ) = t. Hence
F( uU) - F( l,) = F( uh) - F(I,) or, equivalently,
As f(y) is always greater for y E (I,, I,,) than for y E (u,, uh), it follows that
(~,,-~,)>(f~-l~).
But, by definition,
sh-s,={(u~-Ih)-(~,-l,)}/(yg
- y!), so Sh - s, > 0.
Proof of Theorem
4.
Since
Proof of Theorem
5.
Fbz+a)-F(u;)=+{F(p+z++)-F(p+z)}.
Because f(p) is bounded and f(y) is a strictly decreasing function of ]y - ~1,
we have that f(y) is (i) finite for all y and (ii) non-zero for all y. From (i), as
-+ 0. Hence from (ii), as S + 0, u,+~ + u,.
6+0,
{F(p+z+-t)-F(p+z)}
Thus uz, and hence t,, is a continuous
function of z.
Suppose b, is a strictly increasing
function of ]z] then we have, for any
z 2 E 2 0, that t,+, 2 t_, 2 t,_,. Let E --) 0 and the continuity of tr implies that
tz = t -z.
Suppose on the other hand, that t, = t_, for all z. Then it is straightforward
to show that t, = s, for all z. From Theorem 2, sz is a strictly increasing
function of ]z], so the same is true of t2.
Proof of Theorem
all z. Then
since
6.
assessment
163
(Theorem 3) h2( z, t) = h2( -z, t). Suppose, on the other hand, that h 2( z, t) =
h,( -z, t) for all z. Then clearly t, = t _-z for all z. Also IZI will be sufficient for
T. Consequently,
if in addition tZ is a strictly increasing function of 1~1,then
the mapping from IzI to t, is one-to-one and tZ is also sufficient for T.
Proof that tr = t _ z for the Cauchy distribution.
Assume that f(y) = { ~(1 +
00
<y
<
CO,
so
that
the
assessors
true
median,
p, is zero. Integration
y2)} -l. implies that F(y)=
i +v
tany.
From (5b), F(u,) - $ = *F(z), so that
r-tan-(uZ)
= + + (2n))tanz.
Thus
u, = (1 + tan(ttan~z)}/{l
tan(jtan-z)}.
Letting w = tan{ +tan -z } leads to z = 2w/(l - w), and one
obtains u, - z = (1 + w2)/(1 - w2). Now w2 depends only on the magnitude
of z and not on its sign, so the same is true of (uz - z). Since t, = (u, - z)/yg,
we have the required result, that tZ = t_:.
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