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

DOI10.1016/J.SPL.2010.08.003MaRDI QIDQ613162zbMATHOpenAlexFDO

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

zbMATH Keywords

mixture modelobserved informationprobability matching priorshrinkage argument

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 597905 (Why is no real title available?)
• scientific article; zbMATH DE number 769867 (Why is no real title available?)
• Asymptotic Expansions Associated with Posterior Distributions
• Bayesian and frequentist confidence intervals arising from empirical-type likelihoods
• Bayesian and frequentist confidence intervals via adjusted likelihoods under prior specification on the interest parameter
• Data-dependent probability matching priors of the second order
• Empirical-type likelihoods allowing posterior credible sets with frequentist validity: Higher-order asymptotics
• Frequentist validity of highest posterior density regions in the multiparameter case
• On the implementation of local probability matching priors for interest parameters
• On the validity of the formal Edgeworth expansion
• Probability matching priors: Higher order asymptotics
• Probability matching property of adjusted likelihoods
• Second-order probability matching priors for a parametric function with application to Bayesian tolerance limits

Cited in

(7)

• Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics
• 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
• Asymptotic Inference for Mixture Models by Using Data-Dependent Priors
• On the approximate frequentist validity of the posterior quantiles of a parametric function: results based on empirical and related likelihoods
• scientific article; zbMATH DE number 769867 (Why is no real title available?)
• Frequentist validity of highest posterior density regions in the multiparameter case

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