Hacker News new | past | comments | ask | show | jobs | submit login

The issue isn't that Bayesian methods used incorrectly can have bad frequentist properties. It's that, according to many flavors of Bayesianism, having bad frequentist properties isn't a valid line of critique.

You may not believe in the particular stances I'm calling out, but if so, we don't disagree.




Maybe we don't disagree. You wrote:

> a Bayesian solution that, upon further examination with simulations, gives the wrong answer 90% of time on identical problems

If "with simulations" means either

"with simulations using a probability distribution different from the prior used in the Bayesian analysis"

or

"with simulations using a model different from the one used in the Bayesian analysis"

are we expected to conclude that there is something wrong with the Bayesian way?


I mean "with simulations using a probability distribution [for the true parameter] different from the prior used in the Bayesian analysis." (The issue of model error is a separate question.)

Yes, in this case would should conclude there is something wrong with the Bayesian way. If you hand me a statistical method to e.g. estimate some parameter that frequently returns answers that are far from the truth, that is a problem. One cannot assume the prior exactly describes reality (or there would be no point in doing inference, because the prior already gives you the truth).


At least a Bayesian posterior tries to describe reality. In a way which is consistent with the prior and the data. But again, GIGO. Including prior information into the inferential process will be beneficial if it's correct but detrimental if it isn't. Hardly surprising.

On the other hand, Frequentist methods do not claim anything concrete about reality. Only about long-run frequencies in hypothetical replications.

You may think that makes them better, it's your choice.


Sure, I agree bad priors will give inaccurate inferences. My point is simply that to make a statement like, "an inaccurate prior generates many inaccurate inferences, and therefore it is garbage," one has to adopt a frequentist criterion for the quality of an estimator (like "gets good results most of the time").




Consider applying for YC's Spring batch! Applications are open till Feb 11.

Guidelines | FAQ | Lists | API | Security | Legal | Apply to YC | Contact

Search: