In a recent preprint (Mosegaard and Curtis, 2024, arXiv:2411.13570v2) we analyzed the consequences of ignoring the well-known inconsistency of classical conditional probability densities. We explained how this inconsistency, together with acausality in hierarchical methods, invalidate a variety of commonly applied Bayesian methods when applied to problems in the physical world. Yan et al., 2026, (arXiv:2603.27038v1) published a note, in which they claim, contrary to our preprint, that there are no inconsistencies if one uses the method of conditional expectations to derive probabilities. Furthermore, they believe that there are mathematical errors in our exposition and in our use of the Bayesian framework. This note is a response to the claims made by Yan et al. Yan et al. do not discriminate between physical and statistical consistency. Their note addresses statistical consistency of a solution under a change of variables; this is already known to be resolved by using the theory of conditional expectations. By contrast, our preprint concerns the physical consistency of any solution under a change of mathematics used to derive that solution. It demonstrates that widely used methods to compute Bayesian posterior solutions are physically inconsistent under a change of variables. Their note does not, therefore, address the tenet of our preprint. We show herein that the theory of conditional expectations does not resolve physical inconsistency, and that Yan et al. make mathematical errors. We conclude that their claims are unfounded, and in some cases we show that their critique is meaningless. The conclusions of our preprint therefore stand.

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