Bayesian Modeling via Goodness-of-fit (1802.00474v3)

Abstract: The two key issues of modern Bayesian statistics are: (i) establishing principled approach for distilling statistical prior that is consistent with the given data from an initial believable scientific prior; and (ii) development of a Bayes-frequentist consolidated data analysis workflow that is more effective than either of the two separately. In this paper, we propose the idea of "Bayes via goodness of fit" as a framework for exploring these fundamental questions, in a way that is general enough to embrace almost all of the familiar probability models. Several illustrative examples show the benefit of this new point of view as a practical data analysis tool. Relationship with other Bayesian cultures is also discussed.