Resumen de Coverage inducing priors in nonstandard inference problems

Ulrich K Müller, Andriy Norets

• 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]