Highest posterior density regions with approximate frequentist validity: the role of data-dependent priors

DOI10.1016/J.SPL.2010.08.003zbMATH Open1202.62039OpenAlexW2095409590MaRDI QIDQ613162FDOQ613162

Authors: In Hong Chang, Rahul Mukerjee 

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.08.003

Recommendations

• Frequentist validity of highest posterior density regions in the multiparameter case
• Frequentist validity of posterior quantiles in the presence of a nuisance parameter: Higher order asymptotics
• scientific article; zbMATH DE number 769867
• Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics
• Data-dependent probability matching priors of the second order

zbMATH Keywords

mixture modelobserved informationprobability matching priorshrinkage argument

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15)

Cites Work

• On the validity of the formal Edgeworth expansion
• Title not available (Why is that?)
• Asymptotic Expansions Associated with Posterior Distributions
• Probability matching priors: Higher order asymptotics
• Title not available (Why is that?)
• Probability matching property of adjusted likelihoods
• Empirical-type likelihoods allowing posterior credible sets with frequentist validity: Higher-order asymptotics
• Bayesian and frequentist confidence intervals arising from empirical-type likelihoods
• On the implementation of local probability matching priors for interest parameters
• Second-order probability matching priors for a parametric function with application to Bayesian tolerance limits
• Bayesian and frequentist confidence intervals via adjusted likelihoods under prior specification on the interest parameter
• Data-dependent probability matching priors of the second order
• Frequentist validity of highest posterior density regions in the multiparameter case

Cited In (6)

• Data-dependent probability matching priors for highest posterior density and equal-tailed two-sided regions based on empirical-type likelihoods
• Gradient statistic: higher-order asymptotics and Bartlett-type correction
• Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics
• Frequentist validity of highest posterior density regions in the multiparameter case
• Asymptotic Inference for Mixture Models by Using Data-Dependent Priors
• Title not available (Why is that?)

This page was built for publication: Highest posterior density regions with approximate frequentist validity: the role of data-dependent priors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q613162)