Bayesian and frequentist confidence intervals arising from empirical-type likelihoods

• 成果类型: Article
• 署名作者: Chang, In Hong; Mukerjee, Rahul
• 署名单位: Chosun University; Indian Institute of Management (IIM System); Indian Institute of Management Calcutta
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asm088
• 发表日期: 2008
• 页码: 139147
• 关键词: validity; regions

摘要

For a general class of empirical-type likelihoods for the population mean, higher-order asymptotics are developed with a view to characterizing its members which allow, for any given prior, the existence of a confidence interval that has approximately correct posterior as well as frequentist coverage. In particular, it is seen that the usual empirical likelihood always allows such a confidence interval, while many of its variants proposed in the literature do not enjoy this property. An explicit form of the confidence interval is also given.