a talk with Jay

IMG_1900I had a wonderful time in CMU, talking with a lot of faculty about their research (and mine), like reminiscing of things past and expanding on things to come with Larry (not to mention exchanging blogging impressions), giving my seminar talk, having a great risotto at Casbah, and a nice dinner at Legume, going for morning runs in the nearby park… One particularly memorable moment was the discussion I had with Jay as/since he went back to our diverging views about objective Bayes and improper priors, as expressed in the last chapter of his book and my review of it. While we kept disagreeing on their relevance and on whether or not they should be used, I had to concede that one primary reason for using reference priors is one of laziness in not seeking expert opinions. Even though there always is a limit to the information provided by such experts that means a default input at one level or the next (of a hierarchical model). Jay also told me of his proposal (as reported in his 1996 Bayesian methods and ethics in a clinical trial design book) for conducting clinical trials with several experts (with different priors) and sequentially weighting them by their predictive success. Proposal which made me think of a sequential way to compare models by their predictive abilities and still use improper priors…

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