The relation between frequentist confidence intervals and Bayesian credible intervals
Data Analysis, Statistics and Probability
2013-01-01 v1 Statistics Theory
Methodology
Statistics Theory
Abstract
We investigate the relation between frequentist and Bayesian approaches. Namely, we find the "frequentist" Bayes prior \pi_{f}(\lambda,x_{obs}) = -\frac{\int_{-\infty}^{x_{obs}}\frac{\partial f(x,\lambda)}{\partial \lambda}dx}{f(x_{obs},\lambda)} (here f(x,\lambda) is the probability density) for which the results of frequentist and Bayes approaches to the determination of confidence intervals coincide. In many cases (but not always) the "frequentist" prior which reproduces frequentist results coincides with the Jeffreys prior.
Cite
@article{arxiv.1211.3343,
title = {The relation between frequentist confidence intervals and Bayesian credible intervals},
author = {S. I. Bitioukov and N. V. Krasnikov},
journal= {arXiv preprint arXiv:1211.3343},
year = {2013}
}
Comments
8 pages, 1 figure