Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics

Abstract

We consider likelihood ratio statistics based on the usual profile likelihood and the standard adjustments thereof proposed in the literature in the presence of nuisance parameters. The role of data-dependent priors in ensuring approximate frequentist validity of posterior credible regions based on the inversion of these statistics is investigated. Unlike what happens with data-free priors, it is seen that the resulting probability matching conditions readily admit solutions which entail approximate frequentist validity of the highest posterior density region as well. � 2013 Copyright Taylor and Francis Group, LLC.