The sequential sawyer – a tale of frequentist fright

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.

Citation

Powers, M.R. (2008), "The sequential sawyer – a tale of frequentist fright", Journal of Risk Finance, Vol. 9 No. 4, pp. 313-316. https://doi.org/10.1108/15265940810894981