arxivmath.STstat.MEstat.ML2026-07-21
Some cautionary tales about Bayesian predictive inference
Emanuela Dreassi, Fabrizio Leisen, Luca Pratelli, Pietro Rigo
Two misunderstandings, frequently arising in Bayesian predictive inference, are discussed. The first deals with the data generating mechanism, while the second consists in overestimating the role played by asymptotic exchangeability. Some consequences of such misunderstandings ar…