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

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Mathematics Subject Classification ID

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

Cites Work

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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 that?)
• 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 that?)
• The use of Jeffreys priors for the Student-tdistribution

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