Bayesian and frequentist results are not the same, ever

Bayesian and frequentist results are not the same, ever

I often hear people say that the results from Bayesian methods are the same as the results from frequentist methods, at least under certain conditions. And sometimes it even comes from people who understand Bayesian methods.

Today I saw this tweet from Julia Rohrer: “Running a Bayesian multi-membership multi-level probit model with a custom function to generate average marginal effects only to find that the estimate is precisely the same as the one generated by linear regression with dummy-coded group membership.” [emphasis mine]

Which elicited what I interpret as good-natured teasing, like this tweet from Daniël Lakens: “I always love it when people realize that the main difference between a frequentist and Bayesian analysis is that for the latter approach you first need to wait 24 hours for the results.”

Ok, that’s funny, but there is a serious point here I want to respond to because both of these comments are based on the premise that we can compare the results from Bayesian and frequentist methods. And that’s not just wrong, it is an important misunderstanding.

You can’t compare results from Bayesian and frequentist methods because the results are different kinds of things. Results from frequentist methods are generally a point estimate, a confidence interval, and/or a p-value. Each of those results is an answer to a different question:

• Point estimate: If I have to pick a single value, which one minimizes a particular cost function under a particular set of constraints? For example, which one minimizes mean squared error while being unbiased?
• Confidence interval: If my estimated parameters are correct and I run the experiment again, how much would the results vary due to random sampling?
• p-value: If my estimated parameters are wrong and the actual effect size is zero, what is the probability I would see an effect as big as the one I saw?

In contrast, the result from Bayesian methods is a posterior distribution, which is a different kind of thing from a point estimate, an interval, or a probability. It doesn’t make any sense to say that a distribution is “the same as” or “close to” a point estimate because there is no meaningful way to compute a distance between those things. It makes as much sense as comparing 1 second and 1 meter.

If you have a posterior distribution and someone asks for a point estimate, you can compute one. In fact, you can compute several, depending on what you want to minimize. And if someone asks for an interval, you can compute one of those, too. In fact, you could compute several, depending on what you want the interval to contain. And if someone really insists, you can compute something like a p-value, too.

But you shouldn’t.

The posterior distribution represents everything you know about the parameters; if you reduce it to a single number, an interval, or a probability, you lose useful information. In fact, you lose exactly the information that makes the posterior distribution useful in the first place.

It’s like comparing a car and an airplane by driving the airplane on the road. You would conclude that the airplane is complicated, expensive, and not particularly good as a car. But that would be a silly conclusion because it’s a silly comparison. The whole point of an airplane is that it can fly.

And the whole point of Bayesian methods is that a posterior distribution is more useful than a point estimate or an interval because you can use it to guide decision-making under uncertainty.

For example, suppose you compare two drugs and you estimate that one is 90% effective and the other is 95% effective. And let’s suppose that difference is statistically significant with p=0.04. For the next patient that comes along, which drug should you prescribe?

You might be tempted to prescribe the second drug, which seems to have higher efficacy. However:

1. You are not actually sure it has higher efficacy; it’s still possible that the first drug is better. If you always prescribe the second drug, you’ll never know.
2. Also, point estimates and p-values don’t help much if one of the drugs is more expensive or has more side effects.

With a posterior distribution, you can use a method like Thompson sampling to balance exploration and exploitation, choosing each drug in proportion to the probability that it is the best. And you can make better decisions by maximizing expected benefits, taking into account whatever factors you can model, including things like cost and side effects (which is not to say that it’s easy, but it’s possible).

Bayesian methods answer different questions, provide different kinds of answers, and solve different problems. The results are not the same as frequentist methods, ever.

Conciliatory postscript: If you don’t need a posterior distribution — if you just want a point estimate or an interval — and you conclude that you don’t need Bayesian methods, that’s fine. But it’s not because the results are the same.