Objective Bayes and conditional inference in exponential families

Thomas J. Diciccio and G. Alastair Young

Biometrika, 2010, vol. 97, issue 2, 497-504

Abstract: Objective Bayes methodology is considered for conditional frequentist inference about a canonical parameter in a multi-parameter exponential family. A condition is derived under which posterior Bayes quantiles match the conditional frequentist coverage to a higher-order approximation in terms of the sample size. This condition is on the model, not on the prior, and it ensures that any first-order probability matching prior in the unconditional sense automatically yields higher-order conditional probability matching. Objective Bayes methods are compared to parametric bootstrap and analytic methods for higher-order conditional frequentist inference. Copyright 2010, Oxford University Press.

Date: 2010
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