On posterior credible sets based on score statistic

Abstract

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.