Bayesian Statistics: The three cultures
I miss the college days where professors would argue endlessly on Bayesian vs Frequentist.
The article is very well succinct and even explains why even my Bayesian professors had different approaches to research and analysis. I never knew about the third camp, Pragmatic Bayes, but definitely is in line with a professor's research that was very through on probability fit and the many iteration to get the prior and joint PDF just right.
Andrew Gelman has a very cool talk "Andrew Gelman - Bayes, statistics, and reproducibility (Rutgers, Foundations of Probability)", which I highly recommend for many Data Scientists
I never liked the clubs you were expected to put yourself in, what "side" you were on, or the idea that problems in science that we see today could somehow be reduced to the inferential philosophy you adopt. In a lot of ways I see myself as information-theoretic in orientation, so maybe objective Bayesian, although it's really neither frequentist nor Bayesian.
This three cultures idea is a bit of slight of hand in my opinion, as the "pragmatic" culture isn't really exclusive of subjective or objective Bayesianism and in that sense says nothing about how you should approach prior specification or interpretation or anything. Maybe Gelman would say a better term is "flexibility" or something but then that leaves the question of when you go objective and when you go subjective and why. Seems better to formalize that than leave it as a bit of smoke and mirrors. I'm not saying some flexibility about prior interpretation and specification isn't a good idea, just that I'm not sure that approaching theoretical basics with the answer "we'll just ignore the issues and pretend we're doing something different" is quite the right answer.
Playing a bit of devil's advocate too, the "pragmatic" culture reveals a bit about why Bayesianism is looked at with a bit of skepticism and doubt. "Choosing a prior" followed by "seeing how well everything fits" and then "repeating" looks a lot like model tweaking or p-hacking. I know that's not the intent, and it's impossible to do modeling without tweaking, but if you approach things that way, the prior just looks like one more degree of freedom to nudge things around and fish with.
I've published and edited papers on Bayesian inference, and my feeling is that the problems with it have never been in the theory, which is solid. It's in how people use and abuse it in practice.
If you want to get an informed opinion on modern Frequentist methods check out the book "In All Likelihood" by Yudi Pawitawn.
In an early chapter it outlines, rather eloquently, the distinctions between the Frequentist and Bayesian paradigms and in particular the power of well-designed Frequentist or likelihood-based models. With few exceptions, an analyst should get the same answer using a Bayesian vs. Frequentist model if the Bayesian is actually using uninformative priors. In the worlds I work in, 99% of the time I see researchers using Bayesian methods they are also claiming to use uninformative priors, which makes me wonder if they are just using Bayesian methods to sound cool and skip through peer review.
One potential problem with Bayesian statistics lies in the fact that for complicated models (100s or even 1000s of parameters) it can be extremely difficult to know if the priors are truly uninformative in the context of a particular dataset. One has to wait for models to run, and when systematically changing priors this can take an extraordinary amount of time, even when using high powered computing resources. Additionally, in the Bayesian setting it becomes easy to accidentally "glue" a model together with a prior or set of priors that would simply bomb out and give a non-positive definite hessian in the Frequentist world (read: a diagnostic telling you that your model is likely bogus and/or too complex for a given dataset). One might scoff at models of this complexity, but that is the reality in many applied settings, for example spatio-temporal models facing the "big n" problem or for stuff like integrated fisheries assessment models used to assess status and provide information on stock sustainability.
So my primary beef with Bayesian statistics (and I say this as someone who teaches graduate level courses on the Bayesian inference) is that it can very easily be misused by non-statisticians and beginners, particularly given the extremely flexible software programs that currently are available to non-statisticians like biologists etc. In general though, both paradigms are subjective and Gelman's argument that it is turtles (i.e., subjectivity) all the way down is spot on and really resonates with me.
So my theory is that probability is an ill-defined, unfalsifiable concept. And yet, it _seems_ to model aspects of the world pretty well, empirically. However, might it be leading us astray?
Consider the statement p(X) = 0.5 (probability of event X is 0.5). What does this actually mean? It it a proposition? If so, is it falsifiable? And how?
If it is not a proposition, what does it actually mean? If someone with more knowledge can chime in here, I'd be grateful. I've got much more to say on this, but only after I hear from those with a rigorous grounding the theory.
Bare in mind that Breiman's polemic was about generative vs discriminative methods. I.e. that we should not start an analysis by thinking about how the data generation can be modelled, but instead we should start with prediction. From that vein came boosted trees, bagging, random forests, xgboost and so on: non generative black box methods.
Still today most of the classical machine learning toolbox is not generative.
The great thing about Bayesian statistics is that it's subjective. You don't have to be in the subjectivist school. You can choose your own interpretation based on your (subjective) judgment.
I think this is a strength of Bayesianism. Any statistical work is infused with the subjective judgement of individual humans. I think it is more objective to not shy away from this immutable fact.
Bayesian hacking: Find the iteration that gives the most significance to your research.
Where does Deep Learning come in?
A priori distributions are a form of stereotyping. How do people reconcile that?
> Subjective Bayes
> I’m not sure if anyone ever followed this philosophy strictly, nor do I know if anyone would register their affiliation as subjective Bayesian these days.
lol the lesswrong/rationalist "Bayesians" do this all the time.
* I have priors
* YOU have biases
* HE is a toxoplasmotic culture warrior
The author is claiming that Bayesians vary along two axes: (1) whether they generally try to inform their priors with their knowledge or beliefs about the world, and (2) whether they iterate on the functional form of the model based on its goodness-of-fit and the reasonableness and utility of its outputs. He then labels 3 of the 4 resulting combinations as follows:
My main disagreement with this model is the empty bottom-left box - in fact, I think that's where most self-labeled Bayesians in industry fall:- Iterating on the functional form of the model (and therefore the assumed underlying data generating process) is generally considered obviously good and necessary, in my experience.
- Priors are usually uninformative or weakly informative, partly because data is often big enough to overwhelm the prior.
The need for iteration feels so obvious to me that the entire "no iteration" column feels like a straw man. But the author, who knows far more academic statisticians than I do, explicitly says that he had the same belief and "was shocked to learn that statisticians didn’t think this way."