On an exact probability matching property of right-invariant priors

• 成果类型: Article
• 署名作者: Severini, TA; Mukerjee, R; Ghosh, M
• 署名单位: Northwestern University; Indian Institute of Management (IIM System); Indian Institute of Management Calcutta; State University System of Florida; University of Florida
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/89.4.952
• 发表日期: 2002
• 页码: 952957
• 关键词: fiducial theory; prediction; likelihoods; frequentist

摘要

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.