Data-dependent probability matching priors for empirical and related likelihoods
Statistics Theory
2008-12-18 v1 Statistics Theory
Abstract
We consider a general class of empirical-type likelihoods and develop higher order asymptotics with a view to characterizing members thereof that allow the existence of possibly data-dependent probability matching priors ensuring approximate frequentist validity of posterior quantiles. In particular, for the usual empirical likelihood, positive results are obtained. This is in contrast with what happens if only data-free priors are entertained.
Cite
@article{arxiv.0805.3203,
title = {Data-dependent probability matching priors for empirical and related likelihoods},
author = {Rahul Mukerjee},
journal= {arXiv preprint arXiv:0805.3203},
year = {2008}
}
Comments
Published in at http://dx.doi.org/10.1214/074921708000000057 the IMS Collections (http://www.imstat.org/publications/imscollections.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)