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 |