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[Highlights for the busy: de-bunking standard "Bayes is optimal" arguments; frequentist Solomonoff induction; and a description of the online learning framework. Note: cross-posted from my blog.]
Short summary. This essay makes many points, each of which I think is worth reading, but if you are only going to understand one point I think it should be “Myth 5″ below, which describes the online learning framework as a response to the claim that frequentist methods need to make strong modeling assumptions. Among other things, online learning allows me to perform the following remarkable feat: if I’m betting on horses, and I get to place bets after watching other people bet but before seeing which horse wins the race, then I can guarantee that after a relatively small number of races, I will do almost as well overall as the best other person, even if the number of other people is very large (say, 1 billion), and their performance is correlated in complicated ways.
If you’re only going to understand two points, then also read about the frequentist version of Solomonoff induction, which is described in “Myth 6″.
Main article. I’ve already written one essay on Bayesian vs. frequentist statistics. In that essay, I argued for a balanced, pragmatic approach in which we think of the two families of methods as a collection of tools to be used as appropriate. Since I’m currently feeling contrarian, this essay will be far less balanced and will argue explicitly against Bayesian methods and in favor of frequentist methods. I hope this will be forgiven as so much other writing goes in the opposite direction of unabashedly defending Bayes. I should note that this essay is partially inspired by some of Cosma Shalizi’s blog posts, such as this one.
This essay will start by listing a series of myths, then debunk them one-by-one. My main motivation for this is that Bayesian approaches seem to be highly popularized, to the point that one may get the impression that they are the uncontroversially superior method of doing statistics. I actually think the opposite is true: I think most statisticans would for the most part defend frequentist methods, although there are also many departments that are decidedly Bayesian (e.g. many places in England, as well as some U.S. universities like Columbia). I have a lot of respect for many of the people at these universities, such as Andrew Gelman and Philip Dawid, but I worry that many of the other proponents of Bayes (most of them non-statisticians) tend to oversell Bayesian methods or undersell alternative methodologies.
If you are like me from, say, two years ago, you are firmly convinced that Bayesian methods are superior and that you have knockdown arguments in favor of this. If this is the case, then I hope this essay will give you an experience that I myself found life-altering: the experience of having a way of thinking that seemed unquestionably true slowly dissolve into just one of many imperfect models of reality. This experience helped me gain more explicit appreciation for the skill of viewing the world from many different angles, and of distinguishing between a very successful paradigm and reality.
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