[Question] Question about Test-sets and Bayesian machine learning

What does “test-set performance” represent in Bayesian machine learning? In Bayesian ML:

  • we have some data

  • we assume a model (this includes any assumptions we make about the prior densities)

  • and we compute the posterior predictive density

I have seen people argue that we need a test-set to compare between two models and as we do not know what “the one true model” is. I don’t fully understand how “evaluating performance” on “out-of-sample” data helps us with comparing two models but isn’t this what the quantity is for?

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