Tuesday, December 4, 2007

Why I'm Now A Bayesian Who Will Use Frequentist Methods

Why I'm a Bayesian: Absolute Continuity with respect to a probability measure. The Improper Prior does not have it, and you need it for Bayes Theorem to make sense.

Why I'll Still Use Frequentest Methods: I'd say there are two reasons. First, convenience. Frequentist methods by removing the question of prior are certainly easier. Second, for large samples or very weak priors, Frequentist methods are a reasonable approximation, especially where the prior is unknown or would not contribute much.

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