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Some cautionary tales about Bayesian predictive inference

Published on Jul 21math.ST

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Do you know Emanuela Dreassi?You can claim authorship or link another user.Do you know Fabrizio Leisen?You can claim authorship or link another user.Do you know Luca Pratelli?You can claim authorship or link another user.Do you know Pietro Rigo?You can claim authorship or link another user.

Abstract

Two misunderstandings, frequently arising in Bayesian predictive inference, are discussed. The first deals with the data generating mechanism, while the second consists in overestimating the role played by asymptotic exchangeability. Some consequences of such misunderstandings are highlighted through examples.

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