**Stephen Senn**

Head, Methodology and Statistics Group,

Competence Center for Methodology and Statistics (CCMS),

Luxembourg

**“Dawid’s Selection Paradox”**

You can protest, of course, that Dawid’s Selection Paradox is no such thing but then those who believe in the inexorable triumph of logic will deny that *anything* is a paradox. In a challenging paper published nearly 20 years ago (Dawid 1994), Philip Dawid drew attention to a ‘paradox’ of Bayesian inference. To describe it, I can do no better than to cite the abstract of the paper, which is available from Project Euclid, here: http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?

When the inference to be made is selected after looking at the data, the classical statistical approach demands — as seems intuitively sensible — that allowance be made for the bias thus introduced. From a Bayesian viewpoint, however, no such adjustment is required, even when the Bayesian inference closely mimics the unadjusted classical one. In this paper we examine more closely this seeming inadequacy of the Bayesian approach. In particular, it is argued that conjugate priors for multivariate problems typically embody an unreasonable determinism property, at variance with the above intuition.

I consider this to be an important paper not only for Bayesians but also for frequentists, yet it has only been cited 14 times as of 15 November 2013 according to Google Scholar. In fact I wrote a paper about it in the *American Statistician* a few years back (Senn 2008) and have also referred to it in a previous blogpost (12 May 2012). That I think it is important and neglected is excuse enough to write about it again.

Philip Dawid is not responsible for my interpretation of his paradox but the way that I understand it can be explained by considering what it means to have a prior distribution. First, as a reminder, if you are going to be 100% Bayesian, which is to say that all of what you will do by way of inference will be to turn a prior into a posterior distribution using the likelihood and the operation of Bayes theorem, then your prior distribution has to satisfy two conditions. First, it must be what you would use to bet now (that is to say at the moment it is established) and second no amount of subsequent data will change your prior *qua* prior. It will, of course, be updated by Bayes theorem to form a posterior distribution once further data are obtained but that is another matter. The relevant time here is your observation time not the time when the data were collected, so that data that were available in principle but only came to your attention after you established your prior distribution count as further data.

Now suppose that you are going to make an inference about a population mean, θ, using a random sample from the population and choose the standard conjugate prior distribution. Then in that case you will use a Normal distribution with known (to you) parameters μ and σ^{2}. If σ^{2} is large compared to the random variation you might expect for the means in your sample, then the prior distribution is fairly *uninformative* and if it is small then fairly *informative* but being uninformative is not in itself a virtue. Being not informative enough runs the risk that your prior distribution is not one you might wish to use to bet now and being too informative that your prior distribution is one you might be tempted to change given further information. In either of these two cases your prior distribution will be wrong. Thus the task is to be neither too informative nor not informative enough. Continue reading →

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