Abstract: Don Fraser has given an interesting account of the agreements and disagreements between Bayesian posterior probabilities and confidence levels. In this comment I discuss some cases where the lack of such agreement is extreme. I then discuss a few cases where it is possible to have Bayes procedures with frequentist validity. Such frequentist-Bayesian---or Frasian---methods deserve more attention [arXiv:1112.5582].
Recommendations
- Is Bayes posterior just quick and dirty confidence?
- Can Bayesian, confidence distribution and frequentist inference agree?
- scientific article; zbMATH DE number 1067781
- On Priors Providing Frequentist Validity for Bayesian Inference
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Cites work
- scientific article; zbMATH DE number 2168212 (Why is no real title available?)
- An analysis of Bayesian inference for nonparametric regression
- Bayesian aspects of some nonparametric problems
- False discovery control with p-value weighting
- Genome-wide significance levels and weighted hypothesis testing
- On the Bernstein-von Mises theorem with infinite-dimensional parameters
- Rates of convergence of posterior distributions.
Cited in
(8)- Conformal Prediction: A Gentle Introduction
- Conformal Predictive Distributions with Kernels
- Can Bayesian, confidence distribution and frequentist inference agree?
- Is Bayes posterior just quick and dirty confidence?
- On Bayesian credible sets, restricted parameter spaces and frequentist coverage
- On the discrepancy between Bayes credibility and frequentist probability of coverage
- Accuracy, confidence and consensus in bayesian hypothesis inference
- A Dirichlet process mixture model for non-ignorable dropout
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