×

Second-order probability matching priors. (English) Zbl 0895.62003

Summary: The paper considers priors obtained by ensuring approximate frequentist validity of (a) posterior quantiles, and of (b) the posterior distribution function. It is seen that, at the second order of approximation, the two approaches do not necessarily lead to identical conclusions. Examples are given to illustrate this. The role of invariance in the context of probability matching is also discussed.

MSC:

62A01 Foundations and philosophical topics in statistics
Full Text: DOI