|
I agree with a tiny caveat, in that I'd change Jeffreys prior to reference prior. On the other hand, these priors can be difficult to create in some (many?) situations and it's often more tractable to do ML. Bayesian inference seems more principled to me in general if you allow for and use reference priors, but outside of that I think there are still reasons to prefer ML. There's two areas where I still have problems with priors. The first is that the sequential testing paradigm (that is, prior -> posterior -> prior) doesn't always work in reality because you often have multiple experimenters operating simultaneously and independently with different priors. In one sense this is a trivial problem but in another sense it is not. E.g., if you are a meta-analyst faced with integrating such results, is prior variation akin to publication bias? What implications does that have? The second is that there are situations in which using a prior actually might lead to unfair inequities. For example, let's say you're trying to make some inference about an individual, and know that ethnicity provides information in a statistical sense about the parameter you are making an inference about. Is it prejudicial or not to use a prior? I think using a reference prior would address this situation, but depending on the scenario you could make an argument that it is unfair (e.g., if the informative prior would suggest a positive outcome, not using it might be seen as prejudicial, but if the informative prior would suggest a negative outcome, using it might be seen as unfair). In this case, not using a prior at all actually might make sense--you might make a similar argument about non-Bayesian inference as Bayesian reference inference, but using non-prior-based inference does sidestep the issue in a sense, in that there is no longer a prior to decide about. This might be especially important in that, e.g., if you have a series of individuals, the act of choosing a prior might be seen as prejudicial in itself. I generally consider myself as an "objective Bayesian" in the Jaynesian / reference prior sense, but there are practical and theoretical scenarios where I think people are likely to run into problems. |
https://arxiv.org/abs/1705.01166