On an exact probability matching property of right-invariant priors

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. Copyright Biometrika Trust 2002, Oxford University Press.

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Year of publication:	2002
Authors:	Severini, Thomas A.
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 89.2002, 4, p. 952-957
Publisher:	Biometrika Trust

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

Persistent link: https://www.econbiz.de/10005743399