Bayesian prediction with approximate frequentist validity.

DOI10.1214/aos/1015957400zbMath1105.62312OpenAlexW1593551335MaRDI QIDQ1848833

Gauri Sankar Datta, Rahul Mukerjee, Malay Ghosh, Trevor J. Sweeting

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957400

Mathematics Subject Classification ID

Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (17)

Overall objective priors ⋮ Partial mixing and Edgeworth expansion ⋮ The use of Jeffreys priors for the Student-tdistribution ⋮ Predictive sets with approximate frequentist and Bayesian validity for arbitrary priors ⋮ Objective Bayesian analysis for exponential power regression models ⋮ Objective priors: an introduction for frequentists ⋮ Discussion on ``Objective priors: an introduction for frequentists by M. Ghosh ⋮ Probability matching priors for predicting unobservable random effects with application to ANOVA models. ⋮ Bayesian reference analysis for exponential power regression models ⋮ Predictive probability matching priors for a certain non-regular model ⋮ The interplay of Bayesian and frequentist analysis ⋮ Nonsubjective priors via predictive relative entropy regret ⋮ A matching prior for extreme quantile estimation of the generalized Pareto distribution ⋮ Shrinkage priors for Bayesian prediction ⋮ Asymptotic results on the frequentist mean squared error of generalized Bayes point predictors ⋮ A matching prior for the shape parameter of the exponential power distribution ⋮ Modelling parameter uncertainty for risk capital calculation

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