English

An imprecise-probabilistic characterization of frequentist statistical inference

Statistics Theory 2021-12-22 v1 Statistics Theory

Abstract

Between the two dominant schools of thought in statistics, namely, Bayesian and classical/frequentist, a main difference is that the former is grounded in the mathematically rigorous theory of probability while the latter is not. In this paper, I show that the latter is grounded in a different but equally mathematically rigorous theory of imprecise probability. Specifically, I show that for every suitable testing or confidence procedure with error rate control guarantees, there exists a consonant plausibility function whose derived testing or confidence procedure is no less efficient. Beyond its foundational implications, this characterization has at least two important practical consequences: first, it simplifies the interpretation of p-values and confidence regions, thus creating opportunities for improved education and scientific communication; second, the constructive proof of the main results leads to a strategy for new and improved methods in challenging inference problems.

Keywords

Cite

@article{arxiv.2112.10904,
  title  = {An imprecise-probabilistic characterization of frequentist statistical inference},
  author = {Ryan Martin},
  journal= {arXiv preprint arXiv:2112.10904},
  year   = {2021}
}

Comments

Supersedes arXiv:1707.00486. 51 pages, 11 figures. Comments welcome at https://researchers.one/articles/21.01.00002

R2 v1 2026-06-24T08:25:27.691Z