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Coverage Inducing Priors in Nonstandard Inference Problems

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  • Ulrich K. Müller
  • Andriy Norets

Abstract

We consider the construction of set estimators that possess both Bayesian credibility and frequentist coverage properties. We show that under mild regularity conditions there exists a prior distribution that induces (1 − α) frequentist coverage of a (1 − α) credible set. In contrast to the previous literature, this result does not rely on asymptotic normality or invariance, so it can be applied in nonstandard inference problems. Supplementary materials for this article are available online.

Suggested Citation

  • Ulrich K. Müller & Andriy Norets, 2016. "Coverage Inducing Priors in Nonstandard Inference Problems," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1233-1241, July.
    • Handle: RePEc:taf:jnlasa:v:111:y:2016:i:515:p:1233-1241
    DOI: 10.1080/01621459.2015.1086654
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    References listed on IDEAS

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    Cited by:

    1. Alvarez, Luis Antonio, 2023. "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper 117339, University Library of Munich, Germany.

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