, Volume 74, Issue 2, pp 170-193
Date: 20 Nov 2012

Invariance, model matching and probability matching

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Abstract

For an invariant statistical model we consider the induced right Haar prior distribution and the resulting right Haar posterior. Using this posterior distribution, HPD (highest posterior density) regions of constant posterior probability are constructed and shown to exhibit probability matching. Further, HPD regions for equivariant functions of the parameter are also shown to exhibit probability matching. A number of examples are considered.