Chris Sims, who got the Nobel Prize in Economics yesterday, or more precisely the Sveriges Riksbank Prize in Economic Sciences, has [also] done work in Bayesian econometrics. See for instance his talk on Why Econometrics Should Always and Everywhere Be Bayesian. Or his analysis of a counterexample of Larry Wasserman’s. He even has a tech report on adaptive Metropolis-Hastings algorithms (that apparently did not get published). He has also been teaching Bayesian statistics and econometrics at Princeton for many years, so this is a cool day for Bayesian stats! (The picture of a switching regime estimation on his webpage is actually similar to a rendering of mine from the late 90’s, when I was working on semi-Markov switching AR models with Catalin Starica, except I cannot find any trace but for the Splus code!)
Archive for Larry Wasserman
A Bayesian Nobel recipient
Posted in Statistics, University life with tags Bayesian econometrics, Larry Wasserman, Metropolis-Hastings algorithms, Nobel Prize on October 11, 2011 by xi'anAnother review of Search for Certainty
Posted in Books, Statistics with tags Andrew Gelman, book review, Kolmogorov, Krzysztof Burdzy, Larry Wasserman, The Search for Certainty on February 25, 2010 by xi'an
The best thing about this book is that it will offend and annoy both frequentists and subjectivists. I implore my friends on both sides of the philosophical divide to read the book with an open mind.
Our comments, Andrew‘s and mine‘s, led Larry Wasserman to read Krzysztof Burdzy’s The Search for Certainty to make his own opinion and Andrew just posted Larry’s review. The review is highly positive, arguing that “this is an interesting and important book” and that “Burdzy makes a convincing case that the philosophy of probability is a complete failure“. While remaining utterly unconvinced (that the book has any bearing on the philosophical foundations of Statistics), I will not engage here into another debate about The Search for Certainty as the readers can check for themselves the strength of Larry’s arguments. Needless to say, I cannot be convinced into redefining probability as an experimental science where Burdzy’s five laws would replace Kolmogorov’s three axioms…
