Bayesian – What Are the Cons of Bayesian Analysis?

bayesian

What are some practical objections to the use of Bayesian statistical methods in any context? No, I don't mean the usual carping about choice of prior. I'll be delighted if this gets no answers.

Best Answer

I'm going to give you an answer. Four drawbacks actually. Note that none of these are actually objections that should drive one all the way to frequentist analysis, but there are cons to going with a Bayesian framework:

  1. Choice of prior. This is the usual carping for a reason, though in my case it's not the usual "priors are subjective!" but that coming up with a prior that's well reasoned and actually represents your best attempt at summarizing a prior is a great deal of work in many cases. An entire aim of my dissertation, for example, can be summed up as "estimate priors".
  2. It's computationally intensive. Especially for models involving many variables. For a large dataset with many variables being estimated, it may very well be prohibitively computationally intensive, especially in certain circumstances where the data cannot readily be thrown onto a cluster or the like. Some of the ways to resolve this, like augmented data rather than MCMC, are somewhat theoretically challenging, at least to me.
  3. Posterior distributions are somewhat more difficult to incorporate into a meta-analysis, unless a frequentist, parametric description of the distribution has been provided.
  4. Depending on what journal the analysis is intended for, either the use of Bayes generally, or your choice of priors, gives your paper slightly more points where a reviewer can dig into it. Some of these are reasonable reviewer objections, but some just stem from the nature of Bayes and how familiar people in some fields are with it.

None of these things should stop you. Indeed, none of these things have stopped me, and hopefully doing Bayesian analysis will help address at least number 4.

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