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What Is Bayesian/Frequentist Inference? (2012)

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Re: What Is Bayesian/Frequentist Inference? (2012)

#31

Earlier quoted context omitted.

"giving a point estimate and an associated quantification of its uncertainty is one of the most basic statistical tasks". My argument is that this is only true in a frequentist framing. A bayesian framing would ask, "why do you need a point estimate when you have the posterior?" In the cookie-jar case, what do you actually need to do in the real world that a confidence interval of jars helps you with? Do you win a pr…

Well, I am not really interested in cookie jars. But I am interested in, for example, particle physics. There we need need simple ways to communicate point estimates and the associated uncertainties for various parameters of nature. Intervals are a convenient way to do this. Frequentist confidence intervals have the virtue that they will cover the true parameter at the nominal rate. Bayesian credible intervals in gen…

> I am interested in, for example, particle physics. There we need need simple ways to communicate point estimates and the associated uncertainties for various parameters of nature.

Okay, but what do you _do_ with a confidence interval once you have it? It's just an abstract object that can't be used to take your knowledge and make better predictions about the future. If I tell you "This new particle decays with a half life of 28 years with a 95% confidence interval of +/- 5 years", can you take that information and use it to estimate the age of an object that started with 236 particles and now has 182 particles?

> this is not a question about estimating an unknown parameter of a distribution, so it's not statistical in the sense Wasserman is talking about

And a frequentist confidence interval doesn't answer a question about how you should update your knowledge so you can make better predictions in the future, so it's not statistical in the sense bayesians talk about.

Re: What Is Bayesian/Frequentist Inference? (2012)

#32

Earlier quoted context omitted.

Well, I am not really interested in cookie jars. But I am interested in, for example, particle physics. There we need need simple ways to communicate point estimates and the associated uncertainties for various parameters of nature. Intervals are a convenient way to do this. Frequentist confidence intervals have the virtue that they will cover the true parameter at the nominal rate. Bayesian credible intervals in gen…

> I am interested in, for example, particle physics. There we need need simple ways to communicate point estimates and the associated uncertainties for various parameters of nature. Okay, but what do you _do_ with a confidence interval once you have it? It's just an abstract object that can't be used to take your knowledge and make better predictions about the future. If I tell you "This new particle decays with a ha…

The blog post talks about inference, not prediction, so I find it odd you keep bringing up prediction tasks. There are interesting questions and differences here, but it is very much not the subject of the post.

A standard frequentist tool for making predictions is the prediction interval. This is the appropriate comparison point for Bayesian prediction methods, and exactly the same issues arise as in the comparison of confidence intervals to credible intervals (or posteriors). Namely, frequentist prediction intervals have guaranteed error control, while Bayesian predictions generally do not. So in certain cases you have to choose between being right most of time about your predictions, and being Bayesian.

Re: What Is Bayesian/Frequentist Inference? (2012)

#33
post #11

The difference between Bayesian and Frequentist is in the interpretation of randomness. In Bayesian statistics 'randomness' is not a property of nature but a description of our knowledge. What's randomness in a coin toss? If we had all the information we could perfectly predict the result of a toss. But if we know nothing then at most we can say is that both outcomes are equally probable. Another example, if you had…

> Another example, if you had no idea who the next presidential winner will be between two candidates, than saying it's 50-50 is an accurate description of your knowledge.

How do you capture the difference between having no idea and having the absolute best possible idea that anyone has or can has and that idea being the probability is 50-50?

    50-50 = no idea, zero certainty
    50-50 = expert analysis with as high degree of certainty as possible of a very, very close race
These two things are expressed as being equal? Feels like something important has been lost.
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