An exposition of the false confidence theorem

17 Jul 2018 Iain Carmichael Jonathan P Williams

A recent paper presents the "false confidence theorem" (FCT) which has potentially broad implications for statistical inference using Bayesian posterior uncertainty. This theorem says that with arbitrarily large (sampling/frequentist) probability, there exists a set which does \textit{not} contain the true parameter value, but which has arbitrarily large posterior probability... (read more)

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