Coherent Frequentism: A Decision Theory Based on Confidence Sets

Coherent Frequentism: A Decision Theory Based on Confidence Sets

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Title: Coherent Frequentism: A Decision Theory Based on Confidence Sets
Author: Bickela, David R.
Abstract: By representing fair betting odds according to one or more pairs of confidence set estimators, dual parameter distributions called confidence posteriors secure the coherence of actions without any prior distribution. This theory reduces to the maximization of expected utility when the pair of posteriors is induced by an exact or approximate confidence set estimator or when a reduction rule is applied to the pair. Unlike the p-value, the confidence posterior probability of an interval hypothesis is suitable as an estimator of the indicator of hypothesis truth since it converges to 1 if the hypothesis is true or to 0 otherwise.
Date: 2012
URI: http://hdl.handle.net/10393/22745

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