On an exact probability matching property of right-invariant priors

Thomas A. Severini*, Rahul Mukerjee, Malay Ghosh

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

23 Scopus citations


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 languageEnglish (US)
Pages (from-to)952-957
Number of pages6
Issue number4
StatePublished - 2002


  • 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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