ON PRIORS PROVIDING FREQUENTIST VALIDITY FOR BAYESIAN-INFERENCE

Authors
DATTA GS GHOSH JK
Citation
Gs. Datta et Jk. Ghosh, ON PRIORS PROVIDING FREQUENTIST VALIDITY FOR BAYESIAN-INFERENCE, Biometrika, 82(1), 1995, pp. 37-45
Citations number
19
Categorie Soggetti
Mathematical Methods, Biology & Medicine","Statistic & Probability
Journal title
Biometrika → ACNP
ISSN journal
00063444
Volume
82
Issue
1
Year of publication
1995
Pages
37 - 45
Database
ISI
SICI code
0006-3444(1995)82:1<37:OPPFVF>2.0.ZU;2-0
Abstract
We derive the differential equation that a prior must satisfy if the p osterior probability of a one-sided credibility interval for a paramet ric function and its frequentist probability agree up to 0(n(-1)). Thi s equation turns out to be identical with Stein's equation for a sligh tly different problem, for which also our method provides a rigorous j ustification. Our method is different in details from Stein's but simi lar in spirit to Dawid (1991) and Bickel and Ghosh (1990). Some exampl es are provided.