van Nostrand: Of course. I remember each problem quite clearly. And I recall that on
each occasion I was quite thorough. I interrogated you in detail, determined your model
and prior and produced a coherent 95 percent interval for the quantity of interest.
Pennypacker: Yes indeed. We did this many times and I paid you quite handsomely.
van Nostrand: Well earned money I’d say. And it helped win you that Nobel.
Pennypacker: Well they retracted the Nobel and they took away my retirement savings.
…
van Nostrand: Whatever are you talking about?
Pennypacker: You see, physics has really advanced. All those quantities I estimated
have now been measured to great precision. Of those thousands of 95 percent intervals,
only 3 percent contained the true values! They concluded I was a fraud.
van Nostrand: Pennypacker you fool. I never said those intervals would contain the
truth 95 percent of the time. I guaranteed coherence not coverage!
Reminds of this bit from a Wasserman paper http://ba.stat.cmu.edu/journal/2006/vol01/issue03/wasserman.pdf