A Bayesian Foundation for Classical Hypothesis Testing (formerly Provisional Beliefs and Paradigm Shifts)
Jonathan Weinstein · 2012
Bayesian inference has the advantage of dynamic consistency, but the drawback of rigidity. When a decision-maker’s initial model fails a hypothesis test, he may wish to form a new model, violating Bayes’ rule. We show that if such \paradigm shifts are rare, he will be \approximately dynamically consistent. More specically, we show that in our setting dynamic consistency is equivalent to the non-existence of Dutch books, and that a decision-maker who is almost always Bayesian will suer from only \small