Occasional reflections on Life, the World, and Mathematics

Annie Get Your Prior


I was reading Sharon McGrayne’s wonderful popular (no, really!) book on the history of Bayesian statistics. At one point it is mentioned that George Box wrote a song for a departmental Christmas party

There’s no theorem like Bayes’ Theorem
Like no theorem I know…

A bit later we read of Howard Raiffa and Robert Schlaifer singing

Anything frequentists can do, Bayesians do better

(More or less… the exact text is not reproduced.) So it seems the underappreciated role of Irving Berlin in the development of Bayesian thought has yet to be adumbrated. Perhaps researchers will some day uncover such hits manqués as “How High is the Bayes Factor?”, “I’m Dreaming of a Conjugate Prior”, or even “Bayes Bless America”.

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