On posterior credible sets based on score statistic

Radhakrishna Rao, C. ; Mukerjee, Rahul (1995) On posterior credible sets based on score statistic Statistica Sinica, 5 . pp. 781-791. ISSN 1017-0405

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Conditions for approximate frequentist validity of posterior credible sets based on the score statistic have been derived in the multiparameter case. These conditions can be helpful in supplementing similar conditions obtainable through the likelihood ratio statistic and the highest posterior density region. In the process, explicit expressions are given for the posterior quantiles of the score statistic. Similar results based on Wald's statistic have also been briefly indicated.

Item Type:Article
Source:Copyright of this article belongs to Academia Sinica.
Keywords:Jeffreys' Prior; Non-informative Prior; Posterior Quantile; Rao's Score Statistic; Wald's Statistic
ID Code:71887
Deposited On:28 Nov 2011 04:20
Last Modified:18 May 2016 17:23

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