Abstract
For estimating a lower bounded parametric function in the framework of Marchand and Strawderman [6], we provide through a unified approach a class of Bayesian confidence intervals with credibility $1-\alpha$ and frequentist coverage probability bounded below by $\frac{1-\alpha}{1+\alpha}$. In cases where the underlying pivotal distribution is symmetric, the findings represent extensions with respect to the specification of the credible set achieved through the choice of a spending function, and include Marchand and Strawderman’s HPD procedure result. For non-symmetric cases, the determination of a such a class of Bayesian credible sets fills a gap in the literature and includes an “equal-tails” modification of the HPD procedure. Several examples are presented demonstrating wide applicability.
Citation
Éric Marchand. William E. Strawderman. "On Bayesian credible sets, restricted parameter spaces and frequentist coverage." Electron. J. Statist. 7 1419 - 1431, 2013. https://doi.org/10.1214/13-EJS806
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