[SciPy-User] [OT] Bayesian vs. frequentist

Travis Oliphant travis@continuum...
Tue Feb 14 21:49:30 CST 2012


> > Coincidentally, this discussion:
> > http://andrewgelman.com/2012/02/adding-an-error-model-to-a-deterministic-model/
> > started when a civil engineering PhD posted a request for help.  My reading
> > of the ensuing discussion of both posts is that there is still a lot of
> > work to
> > do in bridging statistics (bayesian or frequentist) and deterministic
> > modeling
> > of complex systems.
> 
> I don't quite see why there should be anything deterministic (in the
> sense of correctly described by a mathematical model) about the growth
> of bacteria and the response of living tissue, (as there is nothing
> deterministic in the behavior of the macro economy). In economics we
> just add a noise variable (unexplained environmental or behavioral
> shocks) everywhere.
> 
> I thought these were exactly the kind of dynamic problems that Kalman
> Filter (or it's nonlinear successors) were invented for.
> 
> My main impression of the two articles and discussion is that being a
> Bayesian is a lot of work if you need to have a fully specified prior
> and likelihood, instead of just working with some semi-parametric
> estimation method (like least squares) that still produces results
> even if you don't have a fully specified likelihood. (It might not be
> efficient compared to the case when you have full information, but
> your results are less wrong than if your full specification is wrong.)
> 
> 
> Well, invented priors can be used to bias parametric results for political purposes. Thar's gold in them priors. So there is that ;)
> 
> I read E. T. Jaynes early papers and his book and enjoyed them, but I think treating physical entropy by Bayesian methods was a bit much. I don't think think the thermodynamic properties of a system depend on the observers knowlege. I would say both methods have their place, just use the right one for the problem at hand.
> 

It sounds like we will have to revisit your views there over drinks sometime.     I think the whole point is that there is really no such thing as physical entropy.   It's all just a property that you have to assign to a system if you want maximum reproducibility without constraining everything.   That's the way I prefer to think about it at this point anyway ;-)

-Travis




> Chuck 
> 
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