Comparison Between Bayesian and Frequentist Tail Probability Estimates
Methodology
2023-06-07 v2
Abstract
In this paper, we investigate the reasons that the Bayesian estimator of the tail probability is always higher than the frequentist estimator. Sufficient conditions for this phenomenon are established both by using Jensen's Inequality and by looking at Taylor series approximations, both of which point to the convexity of the distribution function.
Cite
@article{arxiv.1905.03426,
title = {Comparison Between Bayesian and Frequentist Tail Probability Estimates},
author = {Nan Shen and Bárbara González and Luis Raúl Pericchi},
journal= {arXiv preprint arXiv:1905.03426},
year = {2023}
}