Severini, Thomas A. ; Mukerjee, Rahul ; Ghosh, Malay (2002) On an exact probability matching property of right-invariant priors Biometrika, 89 (4). pp. 952-957. ISSN 0006-3444
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Official URL: http://biomet.oxfordjournals.org/content/89/4/952....
Related URL: http://dx.doi.org/10.1093/biomet/89.4.952
Abstract
The paper considers priors which are right invariant with respect to the Haar measure. It is shown that the posterior coverage probabilities of certain invariant Bayesian predictive regions exactly match the corresponding frequentist probabilities. Several examples are given to illustrate the main result.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Oxford University Press. |
| Keywords: | Elliptically Contoured Distribution; Haar Measure; Invariance; Location-scale; Multivariate |
| ID Code: | 20338 |
| Deposited On: | 20 Nov 2010 14:39 |
| Last Modified: | 02 Mar 2011 07:33 |
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