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On an exact probability matching property of right-invariant priors

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  • Thomas A. Severini

Abstract

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.

Suggested Citation

  • Thomas A. Severini, 2002. "On an exact probability matching property of right-invariant priors," Biometrika, Biometrika Trust, vol. 89(4), pages 952-957, December.
    • Handle: RePEc:oup:biomet:v:89:y:2002:i:4:p:952-957
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    Cited by:

    1. Thomas J. DiCiccio & Todd A. Kuffner & G. Alastair Young, 2017. "A Simple Analysis of the Exact Probability Matching Prior in the Location-Scale Model," The American Statistician, Taylor & Francis Journals, vol. 71(4), pages 302-304, October.
    2. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    3. Andreas Frohlich & Annegret Weng, 2016. "Parameter uncertainty and reserve risk under Solvency II," Papers 1612.03066, arXiv.org, revised Apr 2017.
    4. Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
    5. R. Gerrard & A. Tsanakas, 2011. "Failure Probability Under Parameter Uncertainty," Risk Analysis, John Wiley & Sons, vol. 31(5), pages 727-744, May.

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