On an exact probability matching property of right-invariant priors

Thomas A. Severini

Biometrika, 2002, vol. 89, issue 4, 952-957

Abstract: The paper considers priors which are right invariant with respect to the Haar measure. It is shown that the posterior coverage probabilities of certain invariant Bayesian predictive regions exactly match the corresponding frequentist probabilities. Several examples are given to illustrate the main result. Copyright Biometrika Trust 2002, Oxford University Press.

Date: 2002
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