The sequential sawyer – a tale of frequentist fright

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.