Before moving on to a couple of rather different areas, there’s an issue that, while mentioned by both Senn and Gelman, did not come up for discussion; so let me just note it here as one of the pieces to pick up on later.
“It is hard to see what exactly a Bayesian statistician is doing when interacting with a client. There is an initial period in which the subjective beliefs of the client are established. These prior probabilities are taken to be valuable enough to be incorporated in subsequent calculation. However, in subsequent steps the client is not trusted to reason. The reasoning is carried out by the statistician. As an exercise in mathematics it is not superior to showing the client the data, eliciting a posterior distribution and then calculating the prior distribution; as an exercise in inference Bayesian updating does not appear to have greater claims than ‘downdating’ and indeed sometimes this point is made by Bayesians when discussing what their theory implies. (59)…..” Stephen Senn
“As I wrote in 2008, if you could really construct a subjective prior you believe in, why not just look at the data and write down your subjective posterior.” Andrew Gelman commenting on Senn
I’ve even heard subjective Bayesians concur on essentially this identical point, but I would think that many would take issue with it…no?