Abstract
In a multiparameter set-up, this paper characterizes priors which ensure frequentist validity, up too(n −1), of confidence regions based on the highest posterior density. The role of Jeffreys' prior in this regard has also been investigated.
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The work of Rahul Mukerjee was supported by a grant from the Centre for Management and Development Studies, Indian Institute of Management Calcutta.
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Ghosh, J.K., Mukerjee, R. Frequentist validity of highest posterior density regions in the multiparameter case. Ann Inst Stat Math 45, 293–302 (1993). https://doi.org/10.1007/BF00775815
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DOI: https://doi.org/10.1007/BF00775815