Bayesian frequentist hybrid inference
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Abstract: Bayesian and frequentist methods differ in many aspects, but share some basic optimality properties. In practice, there are situations in which one of the methods is more preferred by some criteria. We consider the case of inference about a set of multiple parameters, which can be divided into two disjoint subsets. On one set, a frequentist method may be favored and on the other, the Bayesian. This motivates a joint estimation procedure in which some of the parameters are estimated Bayesian, and the rest by the maximum-likelihood estimator in the same parametric model, and thus keep the strengths of both the methods and avoid their weaknesses. Such a hybrid procedure gives us more flexibility in achieving overall inference advantages. We study the consistency and high-order asymptotic behavior of the proposed estimator, and illustrate its application. Also, the results imply a new method for constructing objective prior.
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Cited in
(16)- Longitudinal data analysis using Bayesian-frequentist hybrid random effects model
- Joining forces of Bayesian and frequentist methodology: a study for inference in the presence of non-identifiability
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- A hybrid approach for regression analysis with block missing data
- Fully Bayesian aggregation
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- Empirical Bayesian analysis through the lens of a particular class of constrained Bayesian hierarchical models
- Bayesian, classical and hybrid methods of inference when one parameter value is special
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- Bayesian-Frequentist Hybrid Inference in Applications with Small Sample Sizes
- Can Bayesian, confidence distribution and frequentist inference agree?
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