Frequentist validity of highest posterior density regions in the multiparameter case

DOI10.1007/BF00775815zbMath0778.62024MaRDI QIDQ688349

Rahul Mukerjee, Jayanta K. Ghosh

Publication date: 2 December 1993

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

Jeffreys' priorhighest posterior densityfrequentist validity of confidence regionsmultiparameter case

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Bayesian inference (62F15)

Related Items

Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics ⋮ Highest posterior density regions with approximate frequentist validity: the role of data-dependent priors ⋮ Probability matching priors for predicting unobservable random effects with application to ANOVA models. ⋮ Asymptotic results on the frequentist mean squared error of generalized Bayes point predictors ⋮ Bayesian prediction with approximate frequentist validity. ⋮ Asymptotic properties of HPD regions in the discrete case.

Cites Work

• A decomposition for the likelihood ratio statistic and the Bartlett correction - a Bayesian argument
• Characterization of priors under which Bayesian and frequentist Bartlett corrections are equivalent in the multiparameter case
• Noninformative priors for one parameter of many
• Asymptotic Expansions Associated with Posterior Distributions
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