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Do Bayesian methods imply a choice of loss function? I think it's a framework for observational statistics, not for policy making or decision theory. You can us
by Matumio 12y ago
Do Bayesian methods imply a choice of loss function? I think it's a framework for observational statistics, not for policy making or decision theory. You can use it as a tool during policy or decision making, where you should indeed have a debate about picking a loss function that corresponds to your goals.
- mjw 12y agoIf you're reporting point or interval estimates (rather than the entire posterior) then you are implicitly or explicitly optimising some kind of loss function. Also, worth a reminder that continuous estimation problems can be viewed as decision problems too, it's not just about discrete decision-making. I don't think it's great to take the view that, because I'm not making a decision based on this estimate myself, I don't need to worry about which loss function I'm implicitly optimising for when choosing an estimator. Someone else may need to.