Bayesian and Frequentist – Is Bias a Frequentist or Bayesian Concept?

bayesianbiasfrequentist

I know that bias is the difference between this estimator's expected value and the true value of the parameter being estimated. In classical approach the parameter has one particular true value, meanwhile in Bayesian approach the parameter value (is fixed but) is chosen from a probability distribution.

But is it Bayesian or frequentist concept?

Best Answer

Suppose there is a model for the data $Y$ that depends on a parameter $\theta$ and, for a particular experiment, there is a true value of the parameter, $\theta_0$. You develop an estimator $\hat\theta = \hat\theta(Y)$, i.e. the estimator is a function of the data $Y$. Then the bias is $$ bias(\hat\theta) = E_{Y|\theta_0}[\hat\theta(Y) - \theta_0] $$ where the expectation is taken with respect to the randomness of the data $Y$ for the given true value of the parameter $\theta_0$ (and the subscript on the expectation attempts to make this explicit). As we are talking about an expectation over possible realizations of data, this is a frequentist concept.

In the description above, I have not mentioned how the estimator arises. This estimator could be a method of moments, maximum likelihood, Bayes, or something else estimator. Thus, the concept of bias of an estimator is frequentist, but the estimator itself could arise from a Bayesian analysis.