Savage-Dickey rejected

Our Savage-Dickey paper has been rejected by the Annals of Statistics, for being too obscure. I completely understand the Editor’s perspective that this resolution of ours has very little bearing on statistical practice and on the community as a whole (“the readership at large”, as I used to write for Series B). But I fear both screeners have missed the main point of our paper which is that papers and books using the Savage-Dickey ratio all start with an assumption that does not make sense from a measure-theoretic point of view… One screener argued that our point is moot, given that everyone agrees on the same version of the density, as otherwise “would even a likelihood function be properly defined?” But this is not true: a likelihood

\ell(\theta|x)=f(x|\theta)

is the value of the density at the observed value of the random variable. Since this observed value is by nature random, it is not possible to define a specific version of the density function at x… This may alas be related with the progressive disappearance of measure-theory from the Statistics programs: when my third year exchange students go abroad, it is rarer and rarer to find a place that offers Measure Theory at a level lower than a PhD course.

4 Responses to “Savage-Dickey rejected”

  1. [...] and do not require prerequisites in complex calculus or functional analysis. (Although I take no joy in this, even measure theory does not appear to be a prerequisite!) On the other hand, there is a [...]

  2. [...] theory requirement in Stanford’s statistics graduate program“, to which I completely subscribe, should be heard more [...]

  3. [...] Last night, I received the very nice news from the Electronic Journal of Statistics that our paper on the Savage-Dickey paradox was in for revision. One referee recommended acceptance as is and the [...]

  4. [...] means that our Savage-Dickey paper has been rejected as a topic for a talk. Rejected twice in a week, this is not a very promising prospect! (I will obviously resubmit the paper as a poster [...]

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