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Title: On the approximate frequentist validity of the posterior quantiles of a parametric function: Results based on empirical and related likelihoods
Authors: Chang, Inhong
Mukerjee, Rahul
Keywords: Approximate characteristic function
Data-dependent prior
Edgeworth expansion
Higher-order asymptotics
Probability matching prior
Issue Date: 2012
Publisher: SCOPUS
Series/Report no.: 21(1)
Abstract: With reference to a wide class of empirical and related likelihoods, we study priors which ensure approximate frequentist validity of the posterior quantiles of a general parametric function. It is seen that no data-free prior entails such frequentist validity but, at least for the usual empirical likelihood, a data-dependent prior serves the purpose. Accounting for the nonlinearity of the parametric function of interest requires special attention in the derivation. A simulation study is seen to provide support, in finite samples, to our asymptotic results. � 2011 Sociedad de Estad�stica e Investigaci�n Operativa.
Description: Chang, Inhong, Department of Computer Science and Statistics, Chosun University, Gwangju 501-759, South Korea; Mukerjee, Rahul, Indian Institute of Management Calcutta, Joka, Diamond Harbour Road, Kolkata 700 104, India
ISSN/ISBN - 11330686
DOI - 10.1007/s11749-011-0240-8
Appears in Collections:Operations Management

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