# Jeffreys Priors versus Experienced Physicist Priors Arguments against Objective Bayesian Theory

## 1 Introduction

The choice of the prior is usually felt to be a vital problem by all those who approach the Bayesian methods with a purely utilitarian spirit, without having assimilated the philosophy of subjective probability. Some use “Bayesian formulae” simply because they “have proved”, by Monte Carlo simulation, that they work in a particular problem. Others like the principles of Bayesian reasoning, but are embarrassed by the apparent “arbitrariness” of the priors. Just to mention an example of this second attitude, I have been told of a conference in which astrophysicists discussing which statistical methods to use concluded, more or less: “yes, Bayesian statistics looks nice, but now we should make an effort to define our priors in an objective way”. The use of the reference priors (hereafter I will refer only to Jeffreys’ priors, the most common in Physics applications) gives a chance to avoid taking responsibility when assessing which priors are suitable for a specific problem, and it gives the illusion of objectivity (the dream of the simple minded practitioner). Although I agree on the validity of a “concept of a ‘minimal informative’ prior specification \- appropriately defined!”, to those who are not fully aware of the intentions and limits of reference analysis, the Bayesian approach can be perceived as dogmatic. In this paper I would like to comment on Jeffreys’ priors from the side of the “experienced physicist”<sup>1</sup><sup>1</sup>1With this generic name I mean whoever is used to an everyday confrontation with real data., a point of view often neglected, since this matter is more often debated among mathematicians, statisticians or philosophers. So, instead of focusing on the original intentions of Jeffreys’ priors, I will criticize their uncritical use, the shadow of dogmatism they diffuse on the theory, and the unstated psychological motivations of some of their supporters. In contrast, I will stress the guiding role of the guess of the “expert”, which allows the subjective assessment of uncertainty even in the case of a single observation. To make this point understandable to those who are not familiar with experimentation, I will give a brief reminder, later, of how measurements are actually performed and I will comment on the ISO (International Organization for Standardization) recommendations concerning measurement uncertainty.

## 2 Bayesian dogmatism and its dangers

In principle there is little to comment on the indiscriminate use and uncritical recommendation of reference priors. It is enough to glance at many books, lecture notes, articles and conference proceedings on Bayesian theory and applications. I would just like to give an example which concerns me very much, because it may influence the High Energy Physics community to which I belong. In a paper which recently appeared in Physical Review it is stated that

> “For a parameter $`\mu `$ which is restricted to $`[0,\mathrm{}]`$, a common non-informative prior in the statistical literature is $`P(\mu _t)=1/\mu _t`$…In contrast the PDG<sup>2</sup><sup>2</sup>2PDG stands for “Particle Data Group”, a committee that publishes every second year the Review of Particle Properties, a very influential collection of data, formulae and methods, including sections on Probability and Statistics.description is equivalent to using a prior which is uniform in $`\mu _t`$. This prior has no basis that we know of in Bayesian theory”

This example should be taken really very seriously. The authors in fact use the pulpit of a prestigious journal<sup>3</sup><sup>3</sup>3This is also an example of bad style, publishing a paper in a Physics journal, pretending that it is a contribution to statistical theory, but avoiding undergoing the scrutiny of a more appropriate referee (“In this paper, we use the freedom inherent in Neyman’s construction in a novel way to obtain a unified set of classical confidence intervals for setting limits and quoting two-sided confidence intervals. The new element is a particular choice of ordering, based on likelihood ratios, which we substitute for more common choices in Neyman’ construction”.) . to appear as if they understand well both the Bayesian and the classical approach and, on this basis, they discourage the use of Bayesian methods (“We then obtain confidence intervals which are never unphysical or empty. Thus they remove an original intention for the description of Bayesian intervals by the PDG”).

So, while someone can be in favour of default use of reference priors, which may have some advantage in attracting practitioners reluctant to subjectivism, it seems to me that in the long term it can play against the Bayesian theory, in a similar way to that which happened at the end of last century, because of the abuse of uniform distribution. This worry is well expressed in John Earman’s conclusions to his “critical examination of Bayesian confirmation theory”:

> “We than seem to be faced with a dilemma. On the one hand, Bayesian considerations seem indispensable in formulating and evaluating scientific inference. But on the other hand, the use of the full Bayesian apparatus seems to commit the user to a form of dogmatism”.

## 3 Unstated psychological motivations behind Jeffreys’ priors?

From the most general (and abstract) point of view, it is not difficult to agree that “in one-dimensional continuous regular problems, Jeffreys’ prior is appropriate”. Unfortunately, it is rarely the case that in physical situations the status of prior knowledge is equivalent to that expressed by the Jeffreys’ priors, as I will discuss later. Reading “between the lines”, it seems to me that the reason for choosing them is essentially psychological. For instance, when used to infer $`\mu `$ (typically associated with the “true value”) from “Gaussian small samples”, the use of a prior of the kind $`f_{}(\mu ,\sigma )1/\sigma `$ has two formal benefits:

* first, the mathematical solution is simple (this reminds me of the story of the drunk under the streetlamp, looking for the key lost in the dark alley);
* second, one recovers the Student distribution, and for some it seems to be reassuring that a Bayesian result gets blessed by “well established” frequentistic methods. (“We know that this is the right solution”, a convinced Bayesian once told me…)

But these arguments, never explicitly stated, cannot be accepted, for obvious reasons. I would like only to comment on the Student distribution, the “standard way” for handling small samples, although there is in fact no deep reason for aiming to get such a distribution for the posterior. This becomes clear to anyone who, having measured the size of this page twice and having found a difference of 0.3 mm between the measurements, then has to base his conclusion on that distribution. Any rational person will refuse to state that, in order to be 99.9 % confident in the result, the uncertainty interval should be 9.5 cm wide (any carpenter would laugh…). This may be the reason why, as far as I know, physicists don’t use the Student distribution.

Another typical application of the Jeffrey’ prior is in the case of inference on the $`\lambda `$ parameter of a Poisson distribution, having observed a certain number of events. Many have, in fact, a reluctance to accept as an estimate of $`\lambda `$ a value which differs from the observed number of counts (for example, $`\text{E}(\lambda )=x+1`$ starting from a uniform prior) and which is deemed to be distorted by the “distorted” frequentistic criteria to analyse the problem. In my opinion, in this case one should simply educate the practitioners about the difference between the concept of maximum belief and that of prevision (or expected value). An example in which the difference becomes crucial is the case where no counts are observed, a typical situation for frontier physics, where new phenomena are constantly looked for. Any reasonable prior consistent with an investigated rare process, close to the limit of experimental sensitivity, provides reasonable results (even a uniform prior is good for the purpose) and allows the calculation of “upper limits”. Instead, a prior of the kind $`f_{}(\lambda )1/\lambda `$ prevents the use of any quantitative probabilistic statement to summarize the achievement of the measurement and the same result ($`0\pm 0`$) will come out independently of the size, sensitivity and running time of the experiment.

In the following I will only consider the case of normally distributed observations.

## 4 Unavoidable prior knowledge behind any measurement

To understand why an “experienced physicist” has difficulty in accepting a prior of the kind $`f_{}(\sigma )1/\sigma `$ (or $`f_{}(\mathrm{ln}(\sigma ))=k`$), one has to remember that the process of measurement is very complex (even in everyday situations, like measuring the size of the page You are reading now, just to avoid abstract problems):

* first You have to define the measurand (the quantity we are interested in);
* then You have to choose the appropriate instrument, having known properties, well suited range and resolution, and in which You have some confidence, achieved on the basis of previous measurements;
* the measurement is performed and, if possible, repeated several times;
* then, if needed, You apply corrections, also based on previous experience with that kind of measurement, in order to take into account known (within uncertainty) systematic effects;
* finally<sup>4</sup><sup>4</sup>4This is not really the end of the story if You wish Your result to have some impact on the scientific community (or simply on commerce). Only if other people trust You, will they use the result in further scientific (or business) reasoning, as if it were their own result. You get a credibility interval for the quantity (usually a best estimate with a related uncertainty);

Each step involves some prior knowledge and, typically, each person who performs the measurement (either a physicist, a biologist, a carpenter or a bricklayer) operates in his field of expertise. This means that he is well aware of the error he might make, and then of the uncertainty associated with the result. This is also true if only a single observation has been performed<sup>5</sup><sup>5</sup>5This defence of the possibility of quoting an uncertainty from a single measurement has nothing to do with the mathematical games like those of .: try to ask a carpenter how much he believes in his result, possibly helping him to quantify the uncertainty using the concept of the coherent bet.

There is also another important aspect of the “single measurement”. One should note that many measurements, which seem to be due to a single observation, consist in fact of several observations made within a short time: for example, measuring a length with a design ruler, one checks several times the alignment of the zero mark with the beginning of the segment to be measured; or, measuring a voltage with a voltmeter or a mass with a balance, one waits until the reading is well stabilized. Experts use unconsciously information of this kind when they have to state an uncertainty.

The fact that the evaluation of uncertainty does not come necessarily from repeated measurements has also been recognized by the International Organization for Standardization (ISO) in its “Guide to the expression of uncertainty in measurement”. There the uncertainty is classified “into two categories according to the way their numerical value is estimated:

1. those which are evaluated by statistical methods<sup>6</sup><sup>6</sup>6Here “statistical” stands for “repeated observations on the same measurand.”;
2. those which are evaluated by other means;”

Then, illustrating the ways to evaluate the “type B standard uncertainty”, the Guide states that

> “the associated estimated variance $`u^2(x_i)`$ or the standard uncertainty $`u(x_i)`$ is evaluated by scientific judgement based on all of the available information on the possible variability of $`X_i`$. The pool of information may include
> 
> * previous measurement data;
> * experience with or general knowledge of the behaviour and properties of relevant materials and instruments;
> * manufacturer’s specifications;
> * data provided in calibration and other certificates;
> * uncertainties assigned to reference data taken from handbooks.”

It is easy to see that the above statements have sense only if the probability is interpreted as degree of belief, as explicitly recognized by the Guide:

> “…Type B standard uncertainty is obtained from an assumed probability density function based on the degree of belief that an event will occur \[often called subjective probability…\].”

It is also interesting to read the worries of the Guide concerning the uncritical use of statistical methods and of abstract formulae:

> “the evaluation of uncertainty is neither a routine task nor a purely mathematical one; it depends on detailed knowledge of the nature of the measurand and of the measurement. The quality and utility of the uncertainty quoted for the result of a measurement therefore ultimately depend on the understanding, critical analysis, and integrity of those who contribute to the assignment of its value”.

This appears to me perfectly in line with the lesson of genuine subjectivism, accompanied by the normative rule of coherence. It is instead surprising to see how many Bayesians seek refuge in stereotyped formulae or to see how many still stick to the frequentistic idea that repeated observations are needed in order to evaluate the uncertainty of a measurement.

## 5 Rough modelling of realistic priors

After these comments on measurement, it becomes clearer why a prior of the kind $`f_{}(\mu ,\sigma )1/\sigma `$ does not look natural. As far as $`\sigma `$ is concerned, this prior would imply that standard deviations ranging over several orders of magnitude would be equally possible. This is unreasonable in most cases. For example, measuring the size of this page, no one would expect $`\sigma 𝒪(1\text{cm})`$ or $`𝒪(1\mu \text{m})`$. Coming to $`\mu `$, the choice $`f_{}(\mu )=k`$ is acceptable until $`\sigma \mu `$ (the so called Savage principle of precise measurement). But when the order of magnitude of $`\sigma `$ is uncertain, the prior on $`\mu `$ should also be revised (for example, most of the directly measured quantities are positively defined).

Some priors which, in my experience, are closer to the typical prior knowledge of the person who makes routine measurements are those concerning the order of magnitude of $`\sigma `$, or the order of magnitude on the precision (quantified by the variation coefficient $`v=\sigma /|\mu |`$). For example<sup>7</sup><sup>7</sup>7For sake of simplicity, let us stick to the case in which the fluctuations are larger that the intrinsic instrumental resolution. Otherwise one needs to model the prior (and the likelihood) with a discrete distribution., one may expect a r.m.s. error of 1 mm, but values of 0.5 or 2.0 mm would not look surprising. Even 0.1 or 2 mm would look possible, but certainly not 10 $`\mu `$m or 2 cm. Alternatively, for other measurements, what matters could be the order of magnitude of the class of precision. In both cases a distribution which seems suitable for a rough modelling of this kind of priors is a lognormal in either $`\sigma `$ or $`v`$. For instance, the above example could be modeled with $`\mathrm{ln}\sigma `$ normally distributed with average 0 ($`=\mathrm{ln}1`$) and standard deviation 0.4. The 1, 2 and 3 standard deviation interval on $`\sigma `$/mm would be $`[0.7,1.5]`$, $`[0.5,2.2]`$ and $`[0.3,3.3]`$, respectively, in qualitative agreement with the prior knowledge.

In the case of more sophisticated measurements in which the measurand is a positive defined quantity of unknown order of magnitude a suitable prior of $`\mu `$ is flat in $`\mathrm{ln}\mu `$ (before the first measurement you don’t know the order of magnitude you will get), while of $`\sigma `$ is somehow correlated to $`\mu `$ ($`v`$ is expected, reasonably, to lie in a range, the extremes of which do not differ by too many orders of magnitudes).

One may think of other possible measurements which give rise to other priors, but I find it very difficult to imagine a real situation for which the Jeffrey’s priors are appropriate.

## 6 Purely subjective assessments

In the previous section I have given some suggestions for solving the problem within the framework of the Bayes’ theorem paradigm. But I don’t want to give the impression that this is the only way to proceed.

The most important teaching of subjective probability is that probability is always conditioned by a given status of information. The probability is updated in the light of any new information. But it is not always possible to describe the updating mechanism using the neat scheme of the Bayes’ theorem. This is well known in many fields, and, in principle, there is no reason for considering the use of the Bayes theorem to be indispensable to assessing uncertainty in scientific measurements. The idea is to force the expert to declare (using the coherent bet) some quantiles in which he believes is contained the true value, on the basis of a few observations. It may be easier for him to estimate the uncertainty in this way, drawing on his past experience, rather than trying to model some priors and to play with the Bayes’ theorem. The message is what experimentalists intuitively do: when you have just a few observations, what you already know is more important than what the standard deviation of the data teaches you.

Some will probably be worried by the arbitrariness of this conclusion, but it has to be remembered that: an expert can make very good guesses in his field; 20, 30, or even 50 % uncertainty in the uncertainty is not considered to significantly spoil the quality of a measurement; there are usually many other sources of uncertainty, due to possible systematic effects on unknown size, which can easily be more critical. I am much more worried by the attitude of giving up prior knowledge to a mathematical convenience, since this can sometimes lead to paradoxical results.

## 7 Conclusions

The default use of Jeffreys priors is clearly unjustified, especially in inferring the parameters of the normal distribution, the model mainly used in physics measurements. A more realistic choice of the priors would be lognormal in $`\sigma `$ or in the variation coefficient, but the posteriors do not have a closed form and nobody wants to make complicated calculations in routine measurements. When the number of measurements is of the order of the unit it can be more reasonable to use just subjective estimates in the light of the observed data and of past experience. This corresponds to the practice of “experienced physicists”, who tend to trust more in prior experience when they are not able to perform many measurements. In particular, it is absolutely legitimate to state the uncertainty, even if only a single measurement has been made, when one has the appropriate prior knowledge. This has also been recognized by the metrological authorities.

As a more general remark, I find all attempts to put the Bayesian theory on dogmatic grounds very dangerous. Not only because this can sometimes lead to absurd results in critical situations, but also because such results can seriously damage the credibility of the Bayesian theory itself.