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On the discrepancy between Bayes credibility and frequentist probability of coverage

For estimating a bounded normal mean with known variance, we exhibit situations of pronounced discrepancy between the credibility of Bayes credible regions and frequentist coverage. Analogously, frequentist confidence intervals are shown to have credibility one in some cases.
Year of publication:
2015
Authors: Bahamyirou, Asma ; Marchand, Éric
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 63-68
Publisher: Elsevier
Subject: Bayesian methods | Bounded normal mean | Credibility | Frequentist coverage probability | Interval estimation
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011189366
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