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The sequential sawyer – a tale of frequentist fright

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  • Michael R. Powers

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.

Suggested Citation

  • Michael R. Powers, 2008. "The sequential sawyer – a tale of frequentist fright," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 9(4), pages 313-316, August.
    • Handle: RePEc:eme:jrfpps:15265940810894981
    DOI: 10.1108/15265940810894981
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    Keywords

    Statistics; Forecasting statistics;

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