Coverage inducing priors in nonstandard inference problems

• Autores: Ulrich K Müller, Andriy Norets
• Localización: Journal of the American Statistical Association, ISSN 0162-1459, Vol. 111, Nº 515, 2016, págs. 1233-1233
• Idioma: inglés
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• Resumen

  • We consider the construction of set estimators that possess both Bayesian credibility and frequentist coverage properties.We show that undermild regularity conditions there exists a prior distribution that induces (1 - α) frequentist coverage of a (1 - α) credible set. In contrast to the previous literature, this result does not rely on asymptotic normality or invariance, so it can be applied in nonstandard inference problems. [web URL: http://www.tandfonline.com/doi/full/10.1080/01621459.2015.1086654]