The talk in one slide

Question. Predictive Bayes replaces likelihood and prior with an engine for future data. Are its credible sets calibrated?

Finding. The engine, not the sampling variability, sets the width: under misspecification a 95% interval covers 70–86% in sparse regression, and under half the time for an upper quartile of skewed data.

Fix. Start the paths from bootstrap resamples: calibrated at the same budget, 28 s where BayesBag needs 23 min.

Plan. Latent-structure engines, then predictive Bayes with the PrO posterior.

Roadmap: 1 Predictive Bayes and the question · 2 What the MGP measures · 3 The fix · 4 Evidence and its limits · 5 Plan

1 · Predictive Bayes and the question

Uncertainty is “due to missing observations. If a complete population is observed, then the parameter of interest can be assumed to be known precisely” (Fong, Holmes, and Walker 2023)

Predictive Bayes replaces the likelihood–prior pair with a predictive engine

Bayes needs a model f_\theta and a prior \pi(\theta): \pi_n(\theta)\propto\pi(\theta)f_\theta(x_{1:n}), usually by MCMC.

Predictive Bayes (Berti et al. 2021; Fortini and Petrone 2025; Fong, Holmes, and Walker 2023) needs one rule for the next observation, the predictive engine \mathsf F(X_{n+1}\in\cdot\mid x_{1:n}).

observed data
x_{1:n}

predictive engine
\mathsf F(\cdot\mid x_{1:n})

simulated future
z_{n+1},\dots,z_N

functional
\vartheta=T(\mathbb P_{n,N})

martingale
posterior \Pi_N

In use for quantile estimation (Fong and Yiu 2026b), neural processes (Lee et al. 2023) and tabular foundation models (Ng et al. 2026); little is known about whether the uncertainty it reports is calibrated.

Parameter uncertainty is whatever the engine believes about the unobserved future. That is the strength, and the risk.

Predictive resampling: simulate the missing future, re-evaluate the functional

Algorithm 1 (one path; repeat M times)

  1. Initialize the engine \mathsf F at the observed data x_{1:n}.
  2. For i=n+1,\dots,N: draw Z_i\sim\mathsf F_{i-1:i} and update \mathsf F_{i:i+1}\leftarrow\{\mathsf F_{i-1:i},Z_i\}.
  3. Form the empirical measure \mathbb P_{n,N} of \{x_{1:n},Z_{n+1:N}\}.
  4. Record \vartheta^{(j)}=T(\mathbb P_{n,N}).

\Pi_N(A\mid x_{1:n}):=\Pr\{T(\mathbb P_{n,N})\in A\mid x_{1:n}\}, the truncated martingale posterior: the M draws are i.i.d. from it; with N\gg n^{3/2} the simulated data dominate.

Step 1 is the only step the bagged version will change.

One path at a time: each new draw moves the running mean a little less

Engine: z_{t+1}\mid\mathcal F_t\sim\mathcal N(\mu_t,\varkappa\sigma_n^2), \;\mu_{t+1}=\mu_t+(z_{t+1}-\mu_t)/(t+1); path variance \Sigma_\star=\varkappa\sigma^2.

Three questions for the thesis, and the gap behind each

Calibrated: a set with \Pi_N(\mathcal C_{1-\alpha}\mid x_{1:n})=1-\alpha is calibrated if \liminf_n\mathsf P_0\{\vartheta_0\in\mathcal C_{1-\alpha}\}\ge1-\alpha.

RQ1 Where does the MGP concentrate, and what is its shape, when the engine may be wrong?
Gap 1: only engine-specific results (Garelli et al. 2026; Fong and Yiu 2026a, 2026b).

RQ2 What sets the width of its credible sets, and when are they calibrated?
Gap 2: classical for likelihood posteriors (Kleijn and van der Vaart 2012); a remark for predictive Bayes.

RQ3 Can calibration be restored without extra forward simulation?
Gap 3: BayesBag (Huggins and Miller 2024) and variational bagging (Fan et al. 2025) cost a posterior fit per bag.

2 · What the martingale posterior measures

Theorems 1–2 and Corollary 1(i) of the working paper close Gaps 1 and 2

Misspecification shrinks the MGP away from the truth

Sparse regression, n=250, p=200, engine of Fong and Yiu (2026a); heteroskedastic scale \omega_m(x)=\{1+m\,\mathbb 1(|x_1|>1)\}^{1/2}, which the engine cannot match. At m=4 a nominal 95% MGP interval covers the active coefficients only 70–80% of the time (Table 2).

Theorem 1: the MGP concentrates on the pseudo-true value \vartheta_\star=T(\mathsf F_\star)

Theorem 1 (posterior concentration)

Under A1–A4, \epsilon_n\to0, N-n\gg\epsilon_n^{-2}, K large: with probability tending to one, \Pi_N\bigl\{\|\vartheta-\vartheta_0\|>b+\delta\;\big|\;x_{1:n}\bigr\}\;\le\;1/K\quad\text{for all }\delta\ge K\epsilon_n,\qquad b=\|\vartheta_\star-\vartheta_0\|.

Robustness: the engine need not reproduce \mathsf P_0, only the functional (left); otherwise the MGP settles on the engine’s value (right). Cost: N\gg n^{3/2} steps suffice.

Theorem 2: the width is set by the engine; calibration needs \Sigma_\star\ge\Sigma_0

Theorem 2 (asymptotic shape), under A1–A6

Given the data, as n,N\to\infty, \sqrt{n}\,(\vartheta-\vartheta_\star)\;\approx\;\mathcal{N}\!\left(\sqrt{n}\,\bar\xi_n,\;\Sigma_\star\right), with \bar\xi_n the engine’s centring sequence and \Sigma_\star the variance of its path fluctuation.

Corollary 1(i): asymptotic coverage, adds A8

A nominal 1-\alpha interval covers \vartheta_\star with probability 2\,\Phi\!\left(z_{1-\alpha/2}\sqrt{\Sigma_\star/\Sigma_0}\right)-1, where \Sigma_0=\lim_n\mathrm{Var}\{\sqrt{n}\,\bar\xi_n\} is the sampling variance of the centre.

3 · The fix: start the paths from bootstrap resamples

The bagged martingale posterior: Algorithm 2, Theorem 3 and Corollary 1(ii)

Start every path from a bootstrap resample, then pool the draws

Same forward-simulation budget: B\,M_B = M, plus B initializations

Algorithm 2 (bagged predictive resampling)

  1. Draw B bootstrap resamples x^{*(1)},\dots,x^{*(B)} from \mathbb P_n.
  2. For each b: initialize the engine at x^{*(b)} and run Algorithm 1 for M_B paths of N-n steps.
  3. Pool the B\times M_B terminal draws: \widehat\Pi^\dagger_N=B^{-1}\sum_{b}\Pi_N(\cdot\mid x^{*(b)}).

Target \Pi^\dagger_N=\mathbb E^*_n\big[\Pi_N(\cdot\mid x^{*})\big]; only the initialization step of Algorithm 1 changes. Extra cost: B initializations and one update state per bag (times in Section 4).

Theorem 3: bagging adds the sampling variance, so coverage is at least nominal

Theorem 3 and Corollary 1(ii)

Under A1–A7, for \vartheta^\dagger\sim\Pi^\dagger_N(\cdot\mid x_{1:n}), \sqrt{n}\,(\vartheta^\dagger-\vartheta_\star)\;\approx\;\mathcal N\!\left(\sqrt{n}\,\bar\xi_n,\;\Sigma_0+\Sigma_\star\right), so, with A8, a nominal 1-\alpha equal-tailed interval has asymptotic coverage 2\,\Phi\!\left(z_{1-\alpha/2}\sqrt{1+\Sigma_\star/\Sigma_0}\right)-1\;\ge\;1-\alpha.

Conservative: with a correctly specified engine \Sigma_\star=\Sigma_0, so the interval is \sqrt2 times as wide as needed.

4 · Evidence and its limits

Gaussian mean, sparse regression, the ACTG175 trial, quantiles, cost; then the limitations

Over 200 replicated data sets the bagged interval keeps its promise

Table 1: MGP 77–86%, bMGP 97–99.5%, at every n and under both data laws

n MGP, \mathcal N(0,1) bMGP, \mathcal N(0,1) MGP, \mathrm{Ga}(2,2) bMGP, \mathrm{Ga}(2,2)
100 0.770 0.975 0.790 0.970
200 0.855 0.995 0.815 0.975
500 0.810 0.980 0.845 0.970

Monte Carlo coverage of nominal 95% intervals for the population mean over 200 replicated data sets from each data law; engine with \varkappa=\tfrac12, 1000 paths, N-n=\lceil n^{3/2}\rceil, bMGP with B=50, M_B=20. Asymptotic values: 0.83 and 0.98.

Sparse regression: bagging brings active coverage near the nominal level

Design MGP, m=0 bMGP, m=0 MGP, m=4 bMGP, m=4
Linear, ridge 0.905 (0.72) 0.914 (2.77) 0.785 (0.72) 0.924 (2.84)
Linear, spike-and-slab 0.835 (0.35) 0.927 (0.63) 0.702 (0.36) 0.947 (0.90)
Student-t, ridge 0.920 (0.62) 1.000 (2.02) 0.728 (0.62) 1.000 (2.13)
Student-t, spike-and-slab 0.960 (0.30) 0.993 (0.44) 0.858 (0.30) 0.988 (0.60)

Coverage (average length) of 95% intervals for the active coefficients; n=250, p=200, 80 replications (Tables 2–3); m=4 is heteroskedasticity the engine cannot match. Bagging costs length: 1.5–3.9 times longer.

bMGP matches BayesBag: 50 initializations instead of 50 posterior fits

Gaussian ridge, active coefficients MGP Bayes bMGP BayesBag
m=0: coverage (length) 0.905 (0.72) 0.905 (0.73) 0.914 (2.77) 0.915 (2.77)
m=4: coverage (length) 0.785 (0.72) 0.787 (0.73) 0.924 (2.84) 0.924 (2.84)
Per bagged data set — — one initialization one posterior fit

The ridge posterior is conjugate, so MGP agrees with Bayes, and bMGP with BayesBag (Huggins and Miller 2024), to within 0.003 in length. Under heteroskedasticity both unbagged posteriors undercover; both bagged ones return coverage near the nominal level.

ACTG175: bagging widens the 95% region around the same centre

ACTG175 HIV trial (Hammer et al. 1996), n=2139: CD4 count at 20 weeks on 12 covariates and three treatment dummies; 95% highest-density regions and marginal densities for the treatment-effect coefficients. Under the BTPE the two posteriors are the Bayesian posterior itself and BayesBag (50 MCMC fits).

Gamma data at q=0.75: the QMP undercovers; bagging recovers most of it

Quantile martingale posterior of Fong and Yiu (2026b) (Table 5): coverage 33–42% for the QMP at every n, 81–93% bagged and rising with n. Calibration needs the path variance to match \Sigma_0=q(1-q)/f_{\mathsf P_0}\{Q_q(\mathsf P_0)\}^{2}; the density enters squared, and global tuning does not see it.

Cost: a bMGP run is about one Gibbs fit; BayesBag needs fifty

Bagging multiplies the MGP’s time by about 35 (initializations and a per-bag update state) and still lands at the cost of one MCMC fit; bagging the Bayesian posterior multiplies one fit by 50. On the cyclone data the bagged QMP is 15 times faster than one DQP chain.

Limitations

Conservative. Correctly specified engine: variance 2\Sigma_0, intervals \sqrt2 times too wide.

Centre. Bagging widens the set; it does not move \vartheta_\star to \vartheta_0, so the engine bias b of Theorem 1 stays.

Conditions. High-level assumptions, hard to verify beyond simple engines; i.i.d. data only.

High dimension. p=300>n=250: ridge coverage stays near 0.71 after bagging (Table 7).

Speed. One MCMC fit’s worth of time, 35 times the MGP’s 0.8 s.

5 · Plan for the candidature

Two further projects and a timeline

Project 2: engines with latent structure

Setting. Mixture engines simulate a label, then update that component (Rodrı́guez, Mena, and Walker 2025); mixtures of experts add covariate-dependent weights (Jacobs et al. 1991).

Conjecture. Unobserved labels make the engine understate sampling variability, so some functionals are not calibrated.

Questions. Which functionals are calibrated, what bagging adds, how the results extend to mixtures of experts.

Until June 2027; a proposal is in preparation.

Project 3: predictive Bayes alongside the PrO posterior

PrO. The predictively oriented posterior (McLatchie et al. 2025) targets predictive performance and adapts to misspecification.

Idea. A PrO posterior supplies the engine; the bagged MGP restores calibration where needed.

Questions. What PBI gains and loses against PrO in accuracy, calibration and cost.

From mid-2027 to the final review; exploratory, as marked on the timeline.

Timeline for the three-and-a-half-year candidature

Darkest bar: completed work, the working paper on arXiv (2609.30622) with public code, Chapters 1 and 2 of the thesis. Dashed bar: exploratory work on PBI with other predictive Bayesian methods. The last six months are for writing up. Thesis chapters in order: concentration and calibration of MGPs (RQ1–2), the bagged MGP (RQ3), latent-structure engines, PBI with PrO.

Summary

What the MGP measures. Its width is the engine’s path variance \Sigma_\star; calibration needs \Sigma_\star\ge\Sigma_0, which misspecification can break.

What bagging does. Bootstrap starting points add \Sigma_0: coverage at least nominal, same simulation budget.

What comes next. Latent-structure engines, then predictive Bayes with the PrO posterior.

Wang, Fong and Frazier (2026), arXiv:2609.30622; code: github.com/hwstat/bMGP. Joint work with David Frazier and Edwin Fong.

Backup

31–33 assumptions (Theorem 1 · Theorem 2 · Theorem 3 and Corollary 1) · 34 the pseudo-true value · 35 why N\gg n^{3/2} · 36–38 regression · 39–40 quantiles and the cyclone data · 41 cost · 42 BayesBag and Fong–Yiu · 43 the Gaussian example in closed form · 44 the κ dial · 45 references

Backup: assumptions for Theorem 1 (A1–A4)

↩ back

A1 Predictive engine. \alpha_N=n/N\to0; there is a random distribution \mathsf F_n with \mathbb P_{n,N}\Rightarrow\mathsf F_n as N\to\infty, a.s. in x_{1:n}.

A2 Discrepancy. A discrepancy \mathcal D on \mathcal P(\mathcal X) and L_T>0 with (i) \mathcal D(\nu,\nu)=0; (ii) \|T(\nu)-T(\mu)\|\le L_T\,\mathcal D(\nu,\mu); (iii) \mathcal D(\alpha\nu+(1-\alpha)\mu,\zeta)\le C\{\alpha\,\mathcal D(\nu,\zeta)+(1-\alpha)\,\mathcal D(\mu,\zeta)\}.

A3 Concentration. For some p>1 and all u>0: \Pr\{\mathcal D(\mathbb P_{N-n},\mathsf F_n)>u\mid x_{1:n},\mathsf F_n\}\le C\,u^{-p}(N-n)^{-p/2}, a.s. in x_{1:n}.

A4 Stability. For positive r_n,\varsigma_n\to0: (i) \mathcal D(\mathbb P_n,\mathsf P_0)=O_p(r_n); (ii) \alpha_N\,\mathcal D(\mathbb P_n,\mathsf F_n)=o(\varsigma_n) a.s.; (iii) a non-random \mathsf F_\star with \mathcal D(\mathsf F_n,\mathsf F_\star)=O_p(r_n).

Backup: assumptions for Theorem 2 (A5–A6)

↩ back

Notation: \mathcal F_n=\sigma(x_{1:n}), \bar{\mathsf F}_n=\mathbb E(\mathsf F_n\mid\mathcal F_n); Theorem 2 takes A1–A4 with r_n=\varsigma_n=n^{-1/2}.

A5 Smoothness of T. There is \psi:\mathcal X\to\mathbb R^{d_\vartheta} with \int\psi\,\mathrm d\mathsf F_\star=0 such that, for any H_n with \mathcal D(H_n,\mathsf F_\star)=O_p(n^{-1/2}), \sqrt n\{T(H_n)-T(\mathsf F_\star)-\int\psi\,\mathrm dH_n\}=o_p(1).

A6 Path fluctuation. For \mathcal G\ni1,\psi an \mathsf F_\star-Donsker class, there is a tight mean-zero Gaussian \mathbb G_{\mathsf F_\star} with r_n^{-1}(\mathsf F_n-\bar{\mathsf F}_n)\mid\mathcal F_n\Rightarrow\mathbb G_{\mathsf F_\star} in \ell^\infty(\mathcal G), in \mathsf P_0-probability.

Then \bar\xi_n:=\int\psi\,\mathrm d\bar{\mathsf F}_n and \Sigma_\star:=\mathrm{Var}\{\int\psi\,\mathrm d\mathbb G_{\mathsf F_\star}\} are the centre and the variance in Theorem 2.

Backup: assumptions for Theorem 3 and Corollary 1 (A7–A8)

↩ back

Notation: x^* a bootstrap resample of x_{1:n}, \mathsf F^*_n=\mathsf F_n(\cdot\mid x^*), \bar{\mathsf F}^*_n=\mathbb E[\mathsf F^*_n\mid\mathcal F^*_n], \bar\xi^*_n=\int\psi\,\mathrm d\bar{\mathsf F}^*_n, \Sigma_0:=\lim_n\mathrm{Var}_{\mathsf P_0}\{\sqrt n\,\bar\xi_n\}.

A7 Bootstrap centre. Under the bootstrap law, \sqrt n(\bar\xi^*_n-\bar\xi_n)\mid\mathcal F_n\Rightarrow\mathcal N(0,\Sigma_0) in \mathsf P_0-probability.

A8 Centre (Corollary 1 only). \sqrt n\,\bar\xi_n\Rightarrow\mathcal N(0,\Sigma_0).

A9 (sufficient for A7–A8). I.i.d. data, \mathcal G \mathsf P_0-Donsker, \bar\xi_n=\Xi(\mathbb P_n) with \Xi(\mathsf P_0)=0 and \Xi Hadamard differentiable at \mathsf P_0, \{n\,\bar\xi_n\bar\xi_n^\top\} uniformly integrable.

Backup: the pseudo-true value, schematically

The engine’s observed-data limit \mathsf F_\star need not equal \mathsf P_0; Theorem 1 says the MGP concentrates on \vartheta_\star=T(\mathsf F_\star), within b=\|\vartheta_\star-\vartheta_0\| of the truth, and b=0 whenever the engine reproduces the functional.

Backup: why N\gg n^{3/2}

\mathbb P_{n,N}=\alpha_N\mathbb P_n+(1-\alpha_N)\mathbb P_{N-n} with \alpha_N=n/N.

Concentration needs only (N-n)^{1/2}\epsilon_n\to\infty, which for \epsilon_n\asymp n^{-1/2} is implied by n/N\to0.

The Gaussian shape needs the observed data to be negligible at the \sqrt n scale: \sqrt n\,\alpha_N=n^{3/2}/N\to0, hence N\gg n^{3/2}. In the experiments N-n=\lceil n^{3/2}\rceil for the mean and quantile designs.

Backup: the regression coverage as a picture (Tables 2–3)

Active coefficients, 80 replications. Under homoskedastic errors the MGP is close to nominal and bagging is conservative; under heteroskedastic errors the MGP undercovers and bagging restores coverage.

Backup: regression results in full (Tables 2–3, n=250, p=200)

Example Method Active cov. Active len. Inactive cov. Inactive len.
Lin. ridge, m=0 MGP / bMGP 0.905 / 0.914 0.724 / 2.772 0.935 / 1.000 0.722 / 2.747
Lin. spike, m=0 MGP / bMGP 0.835 / 0.927 0.352 / 0.630 1.000 / 1.000 0.071 / 0.082
Lin. ridge, m=4 MGP / bMGP 0.785 / 0.924 0.724 / 2.844 0.799 / 1.000 0.722 / 2.820
Lin. spike, m=4 MGP / bMGP 0.702 / 0.947 0.355 / 0.895 0.987 / 1.000 0.075 / 0.238
t ridge, m=0 MGP / bMGP 0.920 / 1.000 0.619 / 2.015 0.915 / 1.000 0.618 / 2.000
t spike, m=0 MGP / bMGP 0.960 / 0.993 0.300 / 0.439 0.999 / 1.000 0.076 / 0.092
t ridge, m=4 MGP / bMGP 0.728 / 1.000 0.619 / 2.126 0.760 / 1.000 0.618 / 2.105
t spike, m=4 MGP / bMGP 0.858 / 0.988 0.300 / 0.597 0.997 / 1.000 0.076 / 0.152

80 replications; 50 active coefficients in the linear design, 5 in the Student-t design. Bayes and BayesBag agree with MGP and bMGP to within 0.003 in length in the ridge case.

Backup: when p>n (p=300, n=250, Tables 7–8)

Linear spike-and-slab. Active coverage rises from 0.828 to 0.909 (m=0) and from 0.677 to 0.917 (m=4).

Linear ridge. Active coverage stays near 0.71 after bagging although intervals almost double: with \mathrm{rank}(X^\top X)\le n<p, regularization fixes directions the likelihood does not identify, and bootstrapping does not remove that effect.

Student-t. Ridge is already conservative; spike-and-slab rises from 0.880 to 0.993 under m=4.

Bagging is not a universal correction: it adds sampling variability, nothing else.

Backup: quantiles at q=0.50 and in the tail

q=0.50 (Table 4). QMP coverage 0.975–0.995 under both DGPs; bagged 0.990–1.000.

Target. Coverage is for Q_q(\mathsf F_\star), the engine’s own limit, estimated from an oracle sample of 2\times10^4 draws (stable up to 10^5); under \mathrm{Ga}(2,2), Q_{0.75}(\mathsf F_\star)\approx1.40 against Q_{0.75}(\mathsf P_0)=1.346, so engine bias and calibration are separated.

Tail. At q=0.95 the oracle target does not settle under Gamma data: the initial quantile curve follows the sample maximum, which grows like \tfrac12\log n; the tail experiment is therefore assessed against the population quantile.

Backup: cyclone wind speeds, bagged intervals widen in the upper tail

q Method Mean (SD) 95% interval Length Draws / ESS
0.50 QMP 0.447 (0.288) [−0.114, 1.017] 1.131 10,000
Bagged QMP 0.441 (0.393) [−0.338, 1.254] 1.591 1,000
DQP (MCMC) 0.343 (0.174) [0.071, 0.677] 0.606 4
0.90 QMP 1.036 (0.171) [0.700, 1.372] 0.672 10,000
Bagged QMP 1.061 (0.436) [0.226, 1.930] 1.704 1,000
DQP (MCMC) 1.426 (0.269) [0.844, 1.933] 1.089 10

Slope in year of the conditional q-quantile of lifetime maximum wind speed, 291 North Atlantic cyclones, 1981–2006 (Elsner, Kossin, and Jagger 2008). QMP intervals shrink from the median to q=0.90; bagged ones widen. Run times: QMP 16 s, bagged QMP about 1 min, DQP (An and MacEachern 2024) 15 min.

Backup: computational cost (Table 9 and the cyclone run times)

Procedure One replication
Gibbs sampler, one posterior fit 28.5 s
BayesBag, 50 Gibbs fits 23.2 min
MGP, 1 initialization and 1000 paths 0.79 s
bMGP, 50 initializations and 1000 paths 28.0 s

Linear spike-and-slab design, n=250, p=200, one core. The 50 EM initializations take 3.6 s; the rest is the predictive update, repeated per bag because each has its own covariance state. In the conjugate ridge case the ordering reverses (Bayes 0.01 s, bMGP 25 s): the advantage is confined to engines whose Bayesian counterpart needs Monte Carlo.

Cyclone data: QMP 16 s, bagged QMP 59 s, QMP-GP 1.1 s, bagged QMP-GP 20 s, DQP 15 min.

Backup: relation to bagged posteriors and to Fong and Yiu (2026)

BayesBag (Huggins and Miller 2024) and variational bagging (Fan et al. 2025) also average posteriors over bootstrap resamples; both need a posterior computation per bag. The bMGP re-initializes an engine per bag and keeps predictive resampling, so the forward-simulation budget is unchanged.

Fong and Yiu (2026) give asymptotics for a parametric martingale posterior with a specific engine and centering sequence (their Theorem 3). Theorems 1–2 here are engine agnostic and functional based; the calibration analysis and the bagging remedy are new.

Existence of the limiting MGP is taken as given (Fong, Holmes, and Walker 2023; Battiston and Cappello 2025); the paper is about what the posterior measures once it exists.

Backup: the Gaussian example in closed form

Engine z_{t+1}\mid\mathcal F_t\sim\mathcal N(\mu_t,\varkappa\sigma_n^2) with \mu_{t+1}=\mu_t+(z_{t+1}-\mu_t)/(t+1). The path \mu_t is a martingale with increment variances \varkappa\sigma_n^2/(t+1)^2, so n\,\mathrm{Var}\{T(\mathbb P_{n,N})\mid x_{1:n}\}\to\varkappa\sigma^2=\Sigma_\star,\qquad \Sigma_0=\sigma^2 . At \varkappa=\tfrac12: MGP coverage 2\Phi(z_{0.975}/\sqrt2)-1\approx0.83; bMGP coverage 2\Phi(z_{0.975}\sqrt{3/2})-1\approx0.98. Table 1: 0.77–0.86 and 0.97–0.995 at n\in\{100,200,500\}.

Backup: the κ dial moves the MGP, not the sampling variability

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