On Bayesian credible sets in restricted parameter space problems and lower bounds for frequentist coverage

Autor:	Marchand, Eric, Strawderman, William E.
Rok vydání:	2012
Předmět:	Mathematics - Statistics Theory 62C10 62F15 62F25 62F30
Druh dokumentu:	Working Paper
Popis:	For estimating a lower bounded parametric function in the framework of Marchand and Strawderman (2006), we provide through a unified approach a class of Bayesian confidence intervals with credibility $1-\alpha$ and frequentist coverage probability bounded below by $\frac{1-\alpha}{1+\alpha}$. In cases where the underlying pivotal distribution is symmetric, the findings represent extensions with respect to the specification of the credible set achieved through the choice of a {\it spending function}, and include Marchand and Strawderman's HPD procedure result. For non-symmetric cases, the determination of a such a class of Bayesian credible sets fills a gap in the literature and includes an "equal-tails" modification of the HPD procedure. Several examples are presented demonstrating wide applicability. Comment: This is an expanded version of an earlier post
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1208.0028 Zobrazit plný text záznamu View this record from Arxiv