One of the common tropes one hears from advocates of confidence intervals is that they are superior, or should be preferred, to p values. In our paper "The Fallacy of Placing Confidence in Confidence Intervals", we outlined a number of interpretation problems in confidence interval theory. We did this from a mostly Bayesian perspective, but in the second section was an example that showed why, from a frequentist perspective, confidence intervals can fail. However, many people missed this because they assumed that the paper was all Bayesian advocacy. The purpose of this blog post is to expand on the frequentist example that many people missed; one doesn't have to be a Bayesian to see that confidence intervals can be less interpretable than the p values they are supposed to replace. Andrew Gelman briefly made this point previously, but I want to expand on it so that people (hopefully) more clearly understand the point.
