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Frequentist validity of highest posterior density regions in the multiparameter case

Author

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  • J. Ghosh
  • Rahul Mukerjee

Abstract

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Suggested Citation

  • J. Ghosh & Rahul Mukerjee, 1993. "Frequentist validity of highest posterior density regions in the multiparameter case," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(2), pages 293-302, June.
    • Handle: RePEc:spr:aistmt:v:45:y:1993:i:2:p:293-302
    DOI: 10.1007/BF00775815
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    Citations

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    Cited by:

    1. Emanuela Ciapanna & Marco Taboga, 2019. "Bayesian Analysis of Coefficient Instability in Dynamic Regressions," Econometrics, MDPI, vol. 7(3), pages 1-32, June.
    2. Chang, In Hong & Mukerjee, Rahul, 2004. "Asymptotic results on the frequentist mean squared error of generalized Bayes point predictors," Statistics & Probability Letters, Elsevier, vol. 67(1), pages 65-71, March.
    3. Chang, In Hong & Kim, Byung Hwee & Mukerjee, Rahul, 2003. "Probability matching priors for predicting unobservable random effects with application to ANOVA models," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 223-228, April.
    4. Chang, In Hong & Mukerjee, Rahul, 2010. "Highest posterior density regions with approximate frequentist validity: The role of data-dependent priors," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1791-1797, December.
    5. Judith Rousseau, 2000. "Coverage Properties of One-Sided Intervals in the Discrete Case and Application to Matching Priors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(1), pages 28-42, March.
    6. Rousseau, Judith, 2002. "Asymptotic Properties of HPD Regions in the Discrete Case," Journal of Multivariate Analysis, Elsevier, vol. 83(1), pages 1-21, October.

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