Science, subjectivity and software (comment on articles by Berger and by Goldstein)

Abstract

The dangerous heresy of so-called 'objective' Bayesian methods is again propounded by Berger. These comments are my attempt to save Bayesian statistics.

I have deliberately chosen rather dramatic, perhaps inflammatory, language in the above sentences. I do not expect all readers to view Berger's proposals in the same terms, but I hope that they will find my comments thought-provoking and constructive. It is undoubtedly true that the use of weakly informative prior distributions is both essential and valuable in practice. However, it is vitally important that their role is properly understood, instead of being grossly overstated.

My comments continue with some thoughts about Bayesian software that I hope are in tune with the agenda of the 'objective Bayesians', and certainly with the goal of spreading Bayesian methods more widely.