Likelihood

My Journey From Frequentist to Bayesian Statistics

The difference between Bayesian and frequentist inference in a nutshell: With Bayes you start with a prior distribution for θ and given your data make an inference about the θ-driven process generating your data (whatever that process happened to be), to quantify evidence for every possible value of θ. With frequentism, you make assumptions about the process that generated your data and infinitely many replications of them, and try to build evidence for what θ is not.

p-values and Type I Errors are Not the Probabilities We Need

In trying to guard against false conclusions, researchers often attempt to minimize the risk of a “false positive” conclusion. In the field of assessing the efficacy of medical and behavioral treatments for improving subjects’ outcomes, falsely concluding that a treatment is effective when it is not is an important consideration. Nowhere is this more important than in the drug and medical device regulatory environments, because a treatment thought not to work can be given a second chance as better data arrive, but a treatment judged to be effective may be approved for marketing, and if later data show that the treatment was actually not effective (or was only trivially effective) it is difficult to remove the treatment from the market if it is safe.