Objective Bayes, conditional inference and the signed root likelihood ratio statistic
Statistics Theory
2015-03-20 v1 Statistics Theory
Abstract
Bayesian properties of the signed root likelihood ratio statistic are analysed. Conditions for first-order probability matching are derived by the examination of the Bayesian posterior and frequentist means of this statistic. Second-order matching conditions are shown to arise from matching of the Bayesian posterior and frequentist variances of a mean-adjusted version of the signed root statistic. Conditions for conditional probability matching in ancillary statistic models are derived and discussed.
Cite
@article{arxiv.1503.05876,
title = {Objective Bayes, conditional inference and the signed root likelihood ratio statistic},
author = {Thomas J. DiCiccio and Todd A. Kuffner and G. Alastair Young},
journal= {arXiv preprint arXiv:1503.05876},
year = {2015}
}