Bayesian statisticians maintain that "Bayesian Statistics can estimate parameters that are very challenging to estimate through frequentist methods". Does the following quote taken from this SAS documentation says that same thing?
It provides inferences that are conditional on the data and are exact, without reliance on asymptotic approximation. Small sample inference proceeds in the same manner as if one had a large sample. Bayesian analysis also can estimate any functions of parameters directly, without using the "plug-in" method (a way to estimate functionals by plugging the estimated parameters in the functionals).
I saw a similar statement in some textbook but do not recall where. Can anyone please explain this to me with an example?