Sunday 8 September 2013

The ever lasting discussion about Bayesian statistics

I do not consider myself that old, but it amazes me when I think of the difference between how Bayesian statistic was seen in the early 2000s and now, which is a difference that shapes the way current students are introduced to statistics in contrast with then.

Back then very few academics where admittedly Bayesian and there were lots or religious and ferocious opposition to these few. Back then, and perhaps even now, I considered myself sort of lost in this debate, but nevertheless willing to understand matters more as to be able to have an opinion. During my master I was happy to take a course on Bayesian statistics, and that was an opportunity very rarely offered to students.

Nowadays for the statistician who like myself did not have much contact with Bayesian statistics, and is involved with practical problems, it seem to be a subject of mandatory update; it is everywhere. Rather than positioning ourselves in one side of the debate, the rule now seems to know both sides and use whatever is most appropriated for the problem at hand.

It was with that in mind that I read this paper by Andrew Gelman and Christian Robert and the comments that follow. What surprised a little was the fact that set of papers seems to make it clear that the debate is not settled - not only Bayesians are fighting in defense of their choice but there are still Frequentists challenging them. Not that I did not know this, but I guess what happens is that we just base our position and opinion on the fact that nowadays Bayesian Analysis is mainstream and works to dismiss the still existing debate.

Related to these papers I did stay with the impression that the initial paper by Gelman and Robert was a little too picky on things seemingly not that important, as I think the comments by Stigler and Fienberg puts it, and perhaps too defensive, and that Mayo's comments raises some interesting and perhaps valid points against the Bayesian paradigm that seems to be forgotten due to the success of practical applications. However, I have to say, I always have trouble understanding Mayo's more sort of philosophical language. Finally, I found the comments by Johnson of interest for the references therein, which I did not check but seems to be of great interest for those seeking to learn Bayesian Statistics specially in comparison with Frequentist statistics. In that regard I also got interested in Casella's book on Inference, mentioned by Mayo. Too much interest for too little time, though...



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