Matching posterior and frequentist cumulative distribution functions with empirical-type likelihoods in the multiparameter case

In Hong Chang and Rahul Mukerjee

Statistics & Probability Letters, 2008, vol. 78, issue 16, 2793-2797

Abstract: We consider a general class of empirical-type likelihoods for a vector-valued population mean. Members of the class that admit a matching prior, in a higher order asymptotic sense, for the posterior and frequentist cumulative distribution functions are characterized. The results are compared and contrasted with those on posterior quantiles in the scalar-valued case.

Date: 2008
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