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On the relevance of the Bayesian approach to Statistics

Robert, Christian P. (2010), On the relevance of the Bayesian approach to Statistics, Review of Economic Analysis, 2, p. 139-152. 1973-3909/2010139

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Type
Article accepté pour publication ou publié
Date
2010
Journal name
Review of Economic Analysis
Number
2
Publisher
Rimini Centre for Economic Analysis
Pages
139-152
Publication identifier
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Author(s)
Robert, Christian P.
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Centre de Recherche en Économie et Statistique [CREST]
Abstract (EN)
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.
Subjects / Keywords
Bayesian inference; Bayes model choice; foundations; testing; non-informativeprior; Bayes factor; computational statistics
JEL
C63 - Computational Techniques; Simulation Modeling
C52 - Model Evaluation, Validation, and Selection
C51 - Model Construction and Estimation
C44 - Operations Research; Statistical Decision Theory
C15 - Statistical Simulation Methods: General
C13 - Estimation: General
C12 - Hypothesis Testing: General
C11 - Bayesian Analysis: General