On the Development of Probability Matching Priors for Non-regular Pareto Distribution
نویسندگان
چکیده
منابع مشابه
On probability matching priors
First-order probability matching priors are priors for which Bayesian and frequentist inference, in the form of posterior quantiles, or confidence intervals, agree to a second order of approximation. The authors show that the matching priors developed by Peers (1965) and Tibshirani (1989) are readily and uniquely implemented in a third-order approximation to the posterior marginal density. The ...
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We revisit the question of priors that achieve approximate matching of Bayesian and frequentist predictive probabilities. Such priors may be thought of as providing frequentist calibration of Bayesian prediction or simply as devices for producing frequentist prediction regions. Here we analyse the O(n) term in the expansion of the coverage probability of a Bayesian prediction region, as derived...
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Probability matching priors are priors for which Bayesian and frequentist inference, in the form of posterior quantiles, or confidence intervals, agree to some order of approximation. These priors are constructed by solving a first order partial differential equation, that may be difficult to solve. However, Peers (1965) and Tibshirani (1989) showed that under parameter orthogonality a family o...
متن کاملProbability Matching Priors
A probability matching prior is a prior distribution under which the posterior probabilities of certain regions coincide with their coverage probabilities, either exactly or approximately. Use of such a prior will ensure exact or approximate frequentist validity of Bayesian credible regions. Probability matching priors have been of interest for many years but there has been a resurgence of inte...
متن کاملProbability matching priors
Abstract: This paper develops some objective priors for certain parameters of the bivariate normal distribution. The parameters considered are the regression coefficient, the generalized variance, and the ratio of the conditional variance of one variable given the other to the marginal variance of the other variable. The criterion used is the asymptotic matching of coverage probabilities of Bay...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2003
ISSN: 2287-7843
DOI: 10.5351/ckss.2003.10.2.333