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Bayes with No Shame: Admissibility Geometries of Predictive Inference

Modern predictive systems combine predictors, sequential monitors, prediction sets, and online strategies, each with a different certificate of optimality. We study four criterion-relative geometries: Blackwell risk dominance, anytime-valid admissibility, fixed-level marginal coverage with expected-length efficiency within a declared rank-indexed family, and choice-based approachability (CApp) boundary-feasibility. We embed the four procedure types in a common product space and prove witness-based pairwise non-nesting: for every ordered pair of criterion classes, an explicit predictive system is active in both relevant coordinates, belongs to one class, and fails the other. The result records non-nesting across different object spaces and partial orders; it does not assert practical incompatibility. We separate three measure-relative coherence notions. In conditionally i.i.d. models, posterior predictive means under a single prior are martingales under the prior predictive law. For a point null, anytime-valid admissibility within e-processes is equivalent to the nonnegative martingale property. Self-consistency under a predictor's own predictive law does not imply Blackwell admissibility, as shown by a Bernoulli log-loss counterexample. Coverage admissibility is certified by exchangeability ranks within the declared rank-indexed family, while CApp boundary-feasibility uses Cesaro steering. A constrained-Bayes design schema organizes the four paradigms without collapsing their distinct decision spaces, partial orders, or risk functionals. Admissibility is criterion-relative.

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