Safe probability
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Abstract: We formalize the idea of probability distributions that lead to reliable predictions about some, but not all aspects of a domain. The resulting notion of `safety' provides a fresh perspective on foundational issues in statistics, providing a middle ground between imprecise probability and multiple-prior models on the one hand and strictly Bayesian approaches on the other. It also allows us to formalize fiducial distributions in terms of the set of random variables that they can safely predict, thus taking some of the sting out of the fiducial idea. By restricting probabilistic inference to safe uses, one also automatically avoids paradoxes such as the Monty Hall problem. Safety comes in a variety of degrees, such as "validity" (the strongest notion), "calibration", "confidence safety" and "unbiasedness" (almost the weakest notion).
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- Playing Safe
Cites work
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- scientific article; zbMATH DE number 3060434 (Why is no real title available?)
- 10.1162/jmlr.2003.3.4-5.993
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Cited in
(9)- Valid inferential models for prediction in supervised learning problems
- Playing Safe
- Safe probability: restricted conditioning and extended marginalization
- False confidence, non-additive beliefs, and valid statistical inference
- Confidence distributions and related themes
- Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
- Verification, Model Checking, and Abstract Interpretation
- Minimum description length revisited
- A comparison of learning rate selection methods in generalized Bayesian inference
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