On an exact probability matching property of right-invariant priors

Thomas A. Severini; Rahul Mukerjee; Malay Ghosh

doi:10.1093/biomet/89.4.952

On an exact probability matching property of right-invariant priors

Thomas A. Severini^*, Rahul Mukerjee, Malay Ghosh

^*Corresponding author for this work

Statistics and Data Science

Research output: Contribution to journal › Article › peer-review

23 Scopus citations

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.

Original language	English (US)
Pages (from-to)	952-957
Number of pages	6
Journal	Biometrika
Volume	89
Issue number	4
DOIs	https://doi.org/10.1093/biomet/89.4.952
State	Published - 2002

Keywords

Elliptically contoured distribution
Haar measure
Invariance
Location-scale
Multivariate
Predictive region

ASJC Scopus subject areas

Statistics and Probability
Mathematics(all)
Agricultural and Biological Sciences (miscellaneous)
Agricultural and Biological Sciences(all)
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1093/biomet/89.4.952

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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.",

keywords = "Elliptically contoured distribution, Haar measure, Invariance, Location-scale, Multivariate, Predictive region",

author = "Severini, {Thomas A.} and Rahul Mukerjee and Malay Ghosh",

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AU - Mukerjee, Rahul

AU - Ghosh, Malay

N1 - Funding Information: This work was supported by grants from the U.S. National Sciences Foundation and from the Center for Management and Development Studies, Indian Institute of Management, Calcutta. Copyright: Copyright 2008 Elsevier B.V., All rights reserved.

PY - 2002

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N2 - 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.

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KW - Elliptically contoured distribution

KW - Haar measure

KW - Invariance

KW - Location-scale

KW - Multivariate

KW - Predictive region

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On an exact probability matching property of right-invariant priors

Abstract

Keywords

ASJC Scopus subject areas

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