Cyan comments on A Fervent Defense of Frequentist Statistics - Less Wrong
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Comments (125)
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.)
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.
Yeah, stick with "Dutch book".
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.
Thanks!