An X validated question as to why the MLE is not necessarily (well) covered by a posterior distribution. Even for a flat prior… Which in restrospect highlights the fact that the MLE (and the MAP) are invasive species in a Bayesian ecosystem. Since they do not account for the dominating measure. And hence do not […]
Category: dominating measure
dominating measure
Yet another question on X validated reminded me of a discussion I had once with Jay Kadane when visiting Carnegie Mellon in Pittsburgh. Namely the fundamentally ill-posed nature of conjugate priors. Indeed, when considering the definition of a conjugate family as being a parameterised family Þ of distributions over the parameter space Θ stable under […]
risk-adverse Bayes estimators
An interesting paper came out on arXiv in early December, written by Michael Brand from Monash. It is about risk-adverse Bayes estimators, which are defined as avoiding the use of loss functions (although why avoiding loss functions is not made very clear in the paper). Close to MAP estimates, they bypass the dependence of said […]