Work

Empirical-type likelihoods allowing posterior credible sets with frequentist validity: Higher-order asymptotics

Year: 2006

Type: article

Abstract: With reference to a general class of empirical-type likelihoods, we develop higher-order asymptotics for the frequentist coverage of Bayesian credible sets based on posterior quantiles and highest posterior density. These asymptotics, in turn, characterise members of the class that allow approximate frequentist validity of such sets. It is seen that the usual empirical likelihood does not enjoy this property up to the order of approximation considered here.

Source: Biometrika

DOI: 10.1093/biomet/93.3.723

Authors: Kai-Tai Fang, Rahul Mukerjee

Institutions: Hong Kong Baptist University, Indian Institute of Management Calcutta

Language: English

Topic: Statistical Methods and Bayesian Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: bronze

OpenAlex ID: W2025584265

FWCI: 1.525

Cites: 17

Cited by: 34

Related to: 10