jsteinhardt comments on (Subjective Bayesianism vs. Frequentism) VS. Formalism - Less Wrong

27 Post author: potato 26 November 2011 05:05AM

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Comment author: jsteinhardt 25 November 2011 04:20:44PM 5 points [-]

The frequentist/Bayesian dispute is of real import, because ad-hoc frequentist statistical methods often break down in extreme cases, throw away useful data, only work well with Gaussian sampling distributions etc.

I think you have this backwards. Frequentist techniques typically come with adversarial guarantees (i.e., "as long as the underlying distribution has bounded variance, this method will work"), whereas Bayesian techniques, by choosing a specific prior (such as a Gaussian prior), are making an assumption that will hurt them in an extreme cases or when the data is not drawn from the prior. The tradeoff is that frequentist methods tend to be much more conservative as a result (requiring more data to come to the same conclusion).

If you have a reasonable Bayesian generative model, then using it will probably give you better results with less data. But if you really can't even build the model (i.e. specify a prior that you trust) then frequentist techniques might actually be appropriate. Note that the distinction I'm drawing is between Bayesian and frequentist techniques, as opposed to Bayesian and frequentist interpretations of probability. In the former case, there are actual reasons to use both. In the latter case, I agree with you that the Bayesian interpretation is obviously correct.

Comment author: [deleted] 26 November 2011 04:42:24PM *  4 points [-]

Bayesian techniques, by choosing a specific prior (such as a Gaussian prior), are making an assumption that will hurt them in an extreme cases or when the data is not drawn from the prior. The tradeoff is that frequentist methods tend to be much more conservative as a result (requiring more data to come to the same conclusion).

Bayesian methods with uninformative (possibly improper) priors agree with frequentist methods whenever the latter make sense.

Comment author: jsteinhardt 27 November 2011 12:11:48AM 1 point [-]

Are you referring to the result that every non-dominated decision procedure is either a Bayesian procedure or a limit of Bayesian procedures? If so, one could imagine a frequentist procedure that is strictly dominated by other procedures, but where finding the dominating procedures is computationally infeasible. Alternately, a procedure could be non-dominated, and thus Bayesian for the right choice of prior, but the correct choice of prior could be difficult to find (the only proof I know of the "non-dominated => Bayesian" result is non-constructive).

Comment author: paulfchristiano 26 November 2011 05:36:42PM *  1 point [-]

Can you explain further? Casually, I consider results like compressed sensing and multiplicative weights to be examples of frequentist approaches (as do people working in these areas), which achieve their results in adversarial settings where no prior is available. I would be interested in seeing how Bayesian methods with improper priors recommend similar behavior.

Comment author: [deleted] 26 November 2011 06:27:57PM 0 points [-]

I admit I'm not familiar with either of those... Can you make a simple example of an “adversarial setting where no prior is available”?

Comment author: paulfchristiano 26 November 2011 07:18:31PM *  0 points [-]

I let you choose some linear functionals, and then tell you the value of each one on some unknown sparse vector (compressed sensing).

We play an iterated game with unknown payoffs; you observe your payoff in each round, but nothing more, and want to maximize total payoff (multiplicative weights).

Put even more simply, what is the Bayesian method that plays randomly in rock-paper-scissors against an unknown adversary? Minimax play seems like a canonical example of a frequentist method; if you have any fixed model of your adversary you might as well play deterministically (at least if you are doing consequentialist loss minimization).

Comment author: Cyan 29 November 2011 05:31:52AM *  0 points [-]

The minimax estimator can be related to Bayesian estimation through the concept of a "least-favorable prior".