Coherent frequentism

Abstract

By representing the range of fair betting odds according to a pair of condence set estimators, dual probability measures on parameter space called frequentist posteriors secure the coherence of subjective inference without any prior distribution. The closure of the set of expected losses corresponding to the dual frequentist posteriors constrains decisions without arbitrarily forcing optimization under all circumstances. This decision theory reduces to those that maximize expected utility when the pair of frequentist posteriors is induced by an exact or approximate condence set estimator or when an automatic reduction rule is applied to the pair. In such cases, the resulting frequentist posterior is coherent in the sense that, as a probability distribution of the parameter of interest, it satises the axioms of the decision-theoretic and logic-theoretic systems typically cited in support of the Bayesian posterior. Unlike the p-value, the condence level of an interval hypothesis derived from such a measure is suitable as an estimator of the indicator of hypothesis truth since it converges in sample-space probability to 1 if the hypothesis is true or to 0 otherwise under general conditions.