The sequential sawyer – a tale of frequentist fright

Michael R. Powers

Journal of Risk Finance, 2008, vol. 9, issue 4, 313-316

Abstract: Purpose - The editorial aims to illustrate a major weakness of frequentist estimation – overlooking prior beliefs that are clearly relevant. Design/methodology/approach - A hypothetical forecasting problem is considered in which a law‐enforcement officer has to determine who will be the next victim in a coded sequence constructed by a serial killer. The frequentist method of maximum likelihood is used to select the underlying pattern. Findings - The example shows that it is quite possible for the maximum‐likelihood approach to overlook an intuitively obvious model. Originality/value - The editorial provides a simple and clear example of the shortcomings of the maximum‐likelihood principle.

Keywords: Statistics; Forecasting statistics (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:15265940810894981

DOI: 10.1108/15265940810894981

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