Matching Priors for Other Credible Regions
In this chapter, we focus on posterior credible regions obtained by the inversion of certain commonly used statistics. Priors ensuring approximate frequentist validity of such regions are characterized. This is done with margin of error o(n-1), where n is the sample size. The results, when combined with those of the previous chapter, can help in narrowing down the choice of matching priors especially when the interest parameter is multidimensional.
KeywordsCovariance Shrinkage Dition
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