Good Statistics

When it comes to meta-models of statistics, here are two philosophies that I respect:

  1. (My) Bayesian approach, which I associate with E. T. Jaynes, in which you construct models with strong assumptions, ride your models hard, check their fit to data, and then scrap them and improve them as necessary.
  1. At the other extreme, model-free statistical procedures that are designed to work well under very weak assumptions-for example, instead of assuming a distribution is Gaussian, you would just want the procedure to work well under some conditions on the smoothness of the second derivative of the log density function.

Both the above philosophies recognize that (almost) all important assumptions will be wrong, and they resolve this concern via aggressive model checking or via robustness. And of course there are intermediate positions, such as working with Bayesian models that have been shown to be robust, and then still checking them. Or, to flip it around, using robust methods and checking their implicit assumptions.

See. Frequentists can do good statistics, too.

If it's not obvious, I prefer the second approach.