Open Access
VOL. 3 | 2008 Data-dependent probability matching priors for empirical and related likelihoods
Rahul Mukerjee

Editor(s) Bertrand Clarke, Subhashis Ghosal

Inst. Math. Stat. (IMS) Collect., 2008: 60-70 (2008) DOI: 10.1214/074921708000000057


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.


Published: 1 January 2008
First available in Project Euclid: 28 April 2008

Digital Object Identifier: 10.1214/074921708000000057

Primary: 62F25

Keywords: Edgeworth expansion , empirical likelihood , higher order asymptotics , posterior quantile

Rights: Copyright © 2008, Institute of Mathematical Statistics

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