On exact Bayesian credible sets for discrete parameters

Chaegeun Song and Bing Li

Statistics & Probability Letters, 2025, vol. 218, issue C

Abstract: We introduce a generalized Bayesian credible set that can achieve any preassigned credible level, addressing a limitation of the current credible sets. This is achieved by exploiting a connection between the highest posterior density set and the Neyman–Pearson lemma.

Keywords: Bayesian classification; Highest posterior density set; Neyman–Pearson lemma; Pattern recognition (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110295

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