Cyan2 comments on Searching for Bayes-Structure - Less Wrong
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... but only when the frequentist methods are easier to get working than the Bayesian approach. Even in large sample settings, it doesn't make sense to give up the nice things that Bayesian methods provide (like coherence, directly interpretable credible intervals and regions, marginalization for nuisance parameters, etc.) unless the tradeoff gives you something of value in return, e.g., a reasonably accurate answer computed much faster.