In my professional life I’ve never personally worked on a problem that I felt wasn’t adequately approached with frequentist methods. I’m sure other people’s experiences are different depending on the problems you gravitate towards.
In fact, I tend to get pretty frustrated with Bayesian approaches because when I do turn to them it tends to be in situations that already quite complex and large. In basically every instance of that I’ve never been able to make the Bayesian approach work. Won’t converge or the sampler says it will take days and days to run. I can almost always just resort to some resampling method that might take a few hours but it runs and gives me sensible results.
I realize this is heavily biased by basically only attempting on super-complex problems, but it has sort of soured me on even trying anymore.
To be clear I have no issue with Bayesian methods. Clearly they work well and many people use them with great success. But I just haven’t encountered anything in several decades of statistical work that I found really required Bayesian approaches, so I’ve really lost any motivation I had to experiment with it more.
Multilevel models are one example of problem were Bayesian methods are hard to avoid as otherwise inference is unstable, particularly when available observations are not abundant. Multilevel models should be used more often as shrinking of effect sizes is important to make robust estimates.
Lots of flashy results published in Nature Medicine and similar journals turn out to be statistical noise when you look at them from a rigorous perspective with adequate shrinking. I often review for these journals, and it's a constant struggle to try to inject some rigor.
From a more general perspective, many frequentist methods fall prey to Lindley's Paradox. In simple terms, their inference is poorly calibrated for large sample sizes. They often mistake a negligible deviation from the null for a "statistically significant" discovery, even when the evidence actually supports the null. This is quite typical in clinical trials. (Spiegelhalter et al, 2003) is a great read to learn more even if you are not interested in medical statistics [1].
[1] https://onlinelibrary.wiley.com/doi/book/10.1002/0470092602
jhbadger•1h ago