Cyan comments on A Fervent Defense of Frequentist Statistics - Less Wrong

43 Post author: jsteinhardt 18 February 2014 08:08PM

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Comment author: Cyan 10 February 2014 05:24:40AM *  8 points [-]

What you have labelled Cox's theorem is not Cox's theorem; it's some version of the Dutch book argument and/or Savage's theorem. Cox's theorem is more like this. (I am the author of those blog posts.)

Also, you've misstated the complete class theorem -- it's actually weaker than you claim. It says that every estimator is either risk-equivalent to some Bayesian minimum posterior expected loss estimator (BMPELE) or has worse risk in at least one possible world. Conversely, no non-BMPELE risk-dominates any BMPELE. (Here "risk" is statistical jargon for expected loss, where the expectation is taken with respect to the sampling distribution.)

Comment author: jsteinhardt 10 February 2014 05:38:15AM 3 points [-]

Thanks. What do you think I should call it instead of Cox's theorem? Should I just call it "Dutch book argument"?

For the complete class theorem, is the beef with my use of "strictly worse" when I really mean "weakly worse" / "at least as bad"? That was me being sloppy and I'll fix it now, but let me know if there's a further issue.

Comment author: Cyan 10 February 2014 06:02:56AM *  4 points [-]

Yeah, stick with "Dutch book".

For the complete class theorem, is the beef with my use of "strictly worse" when I really mean "weakly worse" / "at least as bad"? That was me being sloppy and I'll fix it now, but let me know if there's a further issue.

Yup, "strictly worse" overstates things. Basically, the complete class theorem says the class of Bayesian minimum posterior expected loss estimators is the risk-Pareto frontier of the set of all estimators.

Comment author: jsteinhardt 10 February 2014 06:46:19AM 1 point [-]

Thanks!