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...

Consider a model with parameter θ = (ψ, λ), where ψ is the parameter of interest, and let L(ψ, λ) denote the likelihood function. One approach to likelihood inference for ψ is to use an integrated likelihood function, in which λ is eliminated from L(ψ, λ) by integrating with respect to...

In a parametric model the maximum likelihood estimator of a parameter of interest &psgr; may be viewed as the solution to the equation l′-sub-p(&psgr;) &equals; 0, where l-sub-p denotes the profile <?Pub Caret>loglikelihood function. It is well known that the estimating function l′-sub-p(&psgr;) is not unbiased and that this...</?pub>

Higher-order approximations to the distribution of the likelihood ratio statistic are considered for a class of nonregular models in which the maximum likelihood estimator of the parameter of interest is asymptotically distributed according to an exponential, rather than a normal, distribution....