Bayesian prediction with approximate frequentist validity.

DOI10.1214/AOS/1015957400zbMATH Open1105.62312OpenAlexW1593551335MaRDI QIDQ1848833FDOQ1848833

Authors Gauri Sankar Datta, Rahul Mukerjee, Malay Ghosh, Trevor 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)

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Cited In (23)

• Asymptotic results on the frequentist mean squared error of generalized Bayes point predictors
• Overall objective priors
• Predictive sets with approximate frequentist and Bayesian validity for arbitrary priors
• Objective priors: an introduction for frequentists
• A matching prior for the shape parameter of the exponential power distribution
• Probability matching priors for predicting unobservable random effects with application to ANOVA models.
• Predictive probability matching priors for a certain non-regular model
• The interplay of Bayesian and frequentist analysis
• Approximation of Bayesian predictive \(p\)-values with regression ABC
• Probability matching priors for predicting a dependent variable with application to regression models
• Partial mixing and Edgeworth expansion
• Discussion on ``Objective priors: an introduction for frequentists by M. Ghosh
• Frequentist validity of highest posterior density regions in the multiparameter case
• On an exact probability matching property of right-invariant priors
• Title not available (Why is no real title available?)
• Nonsubjective priors via predictive relative entropy regret
• Shrinkage priors for Bayesian prediction
• Objective Bayesian analysis for exponential power regression models
• Modelling parameter uncertainty for risk capital calculation
• Bayesian reference analysis for exponential power regression models
• A matching prior for extreme quantile estimation of the generalized Pareto distribution
• Title not available (Why is no real title available?)
• The use of Jeffreys priors for the Student-tdistribution

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