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Overcoming Bias Commenter's avatar

Hal, I have a couple of ideas where priors come from, and I'd be interested to hear your thoughts on them.

Robin, I really like this observation that many interesting implications follow just from the idea that information is whatever allows us to exclude possibilities, and do not depend on the more controversial parts of Bayesianism. Thanks!

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Overcoming Bias Commenter's avatar

It is quite mysterious to me where priors come from, and seems unfortunate to have such an instability at the foundation of the Bayesian reasoning system.

It really is unfortunate -- and even more unfortunate is the fact that all reasoning systems have that instability. Even the PAC framework and SVMs are grounded in assumptions about the data-generating mechanism. I'm not (100 - ɛ)% sure of this, but my understanding is that the NFL theorems imply that learning or optimization is pretty much impossible without making some kind of structural assumption.

I personally don't worry too much about where priors come from in the general sense; as Andrew Gelman says, they come from the same place likelihoods come from. (I do carefully consider the appropriateness of the priors and likelihoods I actually put to use.)

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