Friday, March 22, 2013

Bayesian Versus Frequentist

In 2008 I took a course from Michael Lavine called "Introduction to Statistical Thought".  Beyond delivering the material promised in the title, it also got me hooked on Bayesian inference by making the tools so readily accessible conceptually and technically.  One thing I did not get out of the class was a good understanding of how, in general, one goes about estimating things outside the Bayesian framework.  Cosma Shalizi just fixed that for me, and maybe he could for you too.  Somehow it's much easier for me to think about the technical requirements after seeing this sketch.  I am not sure why this is not part of Michael's class, but I can't repeat the class over and over just to find out if he skipped asymptotic estimation on purpose or by accident*.

* Michael's book (linked above) does have a new section on Asymptotics which was absent when I took the course!

No comments:

Post a Comment