The Living Thing / Notebooks :

Frequentist properties of Bayesian methods

Bayesian consistency

Life is short. You want to use some tasty tool, such as a hierarchical model without anyone getting cross at you for apostasy? Why not use whatever estimator works, and then show that it works on both frequentist and Bayesian grounds?

Regularisation and priors

An excellent answer by Tymoteusz Wołodźko must be in the running for punchiest summary ever, made precise by Andrew Milne.

Question: What do nonconvex regularizers look like in a Bayesian context, and are they an argument for Bayesian sampling from the posterior rather than the frequntist’s NP-hard optimum search? And what does, e.g. the GJPS08’s recommended alternative Cauchy prior look like?


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