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If you're reporting point or interval estimates (rather than the entire posterior) then you are implicitly or explicitly optimising some kind of loss function.
by mjw 12y ago
If 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.