A note on approximate Bayesian credible sets based on modified loglikelihood ratios

Higher-order asymptotic arguments for a scalar parameter of interest have been widely investigated for Bayesian inference. In this paper the theory of asymptotic expansions is discussed for a vector parameter of interest. A modified loglikelihood ratio is suggested, which can be used to derive approximate Bayesian credible sets with accurate frequentist coverage. Three examples are illustrated.

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Year of publication:	2013
Authors:	Ventura, Laura ; Ruli, Erlis ; Racugno, Walter
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 11, p. 2467-2472
Publisher:	Elsevier
Subject:	Asymptotic expansion \| Laplace approximation \| Modified likelihood root \| Tail area probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709051