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On the Relevance of the Bayesian Approach to Statistics

Author

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  • Christian P. Robert

    (Universite Paris-Dauphine, CEREMADE, and CREST)

Abstract

In this essay, I argue about the relevance and the ultimate unity of the Bayesian approach in a neutral and agnostic manner. My main theme is that Bayesian data analysis is an effective tool for handling complex models, as proven by the increasing proportion of Bayesian studies in the applied sciences. I thus disregard the philosophical debates on the meaning of probability and on the random nature of parameters as things of the past that ultimately do a disservice to the approach and are irrelevant to most bystanders.

Suggested Citation

  • Christian P. Robert, 2010. "On the Relevance of the Bayesian Approach to Statistics," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 2(2), pages 139-152, June.
    • Handle: RePEc:ren:journl:v:2:y:2010:i:2:p:139-152
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    References listed on IDEAS

    as
    1. Sylvia Fruhwirth-Schnatter, 2004. "Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 143-167, June.
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    Cited by:

    1. Christian P. Robert & Judith Rousseau, 2010. "On Bayesian Data Analysis," Working Papers 2010-31, Center for Research in Economics and Statistics.
    2. Jerome K. Vanclay, 2012. "Impact factor: outdated artefact or stepping-stone to journal certification?," Scientometrics, Springer;Akadémiai Kiadó, vol. 92(2), pages 211-238, August.

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    More about this item

    Keywords

    Bayesian inference; Bayes model choice; foundations; testing; non-informative prior; Bayes factor; computational statistics;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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