A note on approximate Bayesian credible sets based on modified loglikelihood ratios

Laura Ventura, Erlis Ruli and Walter Racugno

Statistics & Probability Letters, 2013, vol. 83, issue 11, 2467-2472

Abstract: Higher-order asymptotic arguments for a scalar parameter of interest have been widely investigated for Bayesian inference. In this paper the theory of asymptotic expansions is discussed for a vector parameter of interest. A modified loglikelihood ratio is suggested, which can be used to derive approximate Bayesian credible sets with accurate frequentist coverage. Three examples are illustrated.

Keywords: Asymptotic expansion; Laplace approximation; Modified likelihood root; Tail area probability (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.07.007

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