We have had a hand full of excellent discussion on quantification of uncertainty in prediction models/ risk calculators: here, here.
The latter discussion touched briefly on Bayesian approach to prediction modeling.
My question are:
- Why the uncertainty prediction/risk score is rarely reported ?
I have seen two main comments on this i) it is hard to interpret the confidence intervals - here,
ii) may not really matter if the decision to be made do not change much.
I am still not convinced.
So posing the question here:
Should we calculate and report a measure of uncertainty around predicted risk score?
- Posterior predictive distribution from a Bayesian prediction model can accommodate both epistemic and aleatoric uncertainty. If then, can’t we use informative prior to reduce the uncertainty in the posterior predictive distribution?