On the discrepancy between Bayes credibility and frequentist probability of coverage

Asma Bahamyirou and Éric Marchand

Statistics & Probability Letters, 2015, vol. 97, issue C, 63-68

Abstract: For estimating a bounded normal mean with known variance, we exhibit situations of pronounced discrepancy between the credibility of Bayes credible regions and frequentist coverage. Analogously, frequentist confidence intervals are shown to have credibility one in some cases.

Keywords: Bayesian methods; Bounded normal mean; Credibility; Frequentist coverage probability; Interval estimation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.10.020

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