Just a quickie to advertise a nice blog post by Ted Bunn in which he takes down an article in Science by Bradley Efron, which is about frequentist statistics. I’ll leave it to you to read his piece, and the offending article, but couldn’t resist nicking his little graphic that sums up the matter for me:

The point is that as scientists we are interested in the probability of a model (or hypothesis) *given the evidence* (or data) arising from an experiment (or observation). This requires inverse, or inductive, reasoning and it is therefore explicitly Bayesian. Frequentists focus on a different question, about the probability of the data *given the model*, which is not the same thing at all, and is not what scientists actually need. There are examples in which a frequentist method accidentally gives the correct (i.e. Bayesian) answer, but they are nevertheless still answering the wrong question.

I will make one further comment arising from the following excerpt from the Efron piece.

Bayes’ 1763 paper was an impeccable exercise in probability theory. The trouble and the subsequent busts came from overenthusiastic application of the theorem in the absence of genuine prior information, with Pierre-Simon Laplace as a prime violator.

I think this is completely wrong. There is *always* prior information, even if it is minimal, but the point is that frequentist methods always ignore it even if it is “genuine” (whatever that means). It’s not always easy to encode this information in a properly defined prior probability of course, but at least a Bayesian will not deliberately answer the wrong question in order to avoid thinking about it.

It is ironic that the pioneers of probability theory, such as Laplace, adopted a Bayesian rather than frequentist interpretation for his probabilities. Frequentism arose during the nineteenth century and held sway until recently. I recall giving a conference talk about Bayesian reasoning only to be heckled by the audience with comments about “new-fangled, trendy Bayesian methods”. Nothing could have been less apt. Probability theory pre-dates the rise of sampling theory and all the frequentist-inspired techniques that modern-day statisticians like to employ and which, in my opinion, have added nothing but confusion to the scientific analysis of statistical data.

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