On Probability Leakage

Abstract

The probability leakage of model M with respect to evidence E is defined. Probability leakage is a kind of model error. It occurs when M implies that events $y$, which are impossible given E, have positive probability. Leakage does not imply model falsification. Models with probability leakage cannot be calibrated empirically. Regression models, which are ubiquitous in statistical practice, often evince probability leakage.