On frequentist coverage of Bayesian credible sets for estimation of the mean under constraints

Autor:	Duisters, Kevin, Schmidt-Hieber, Johannes
Rok vydání:	2020
Předmět:	Mathematics - Statistics Theory 62C10 62G15 62F15
Druh dokumentu:	Working Paper
Popis:	Frequentist coverage of $(1-\alpha)$-highest posterior density (HPD) credible sets is studied in a signal plus noise model under a large class of noise distributions. We consider a specific class of spike-and-slab prior distributions. Different regimes are identified and we derive closed form expressions for the $(1-\alpha)$-HPD on each of these regimes. Similar to the earlier work by Marchand and Strawderman, it is shown that under suitable conditions, the frequentist coverage can drop to $1-3\alpha/2.$ Comment: 35 pages, 5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2003.04406 Zobrazit plný text záznamu View this record from Arxiv