Data-dependent probability matching priors for likelihood ratio and adjusted likelihood ratio statistics |
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Authors: | In Hong Chang |
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Institution: | Department of Computer Science and Statistics , Chosun University , Gwangju , 501-759 , South Korea |
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Abstract: | We consider likelihood ratio statistics based on the usual profile likelihood and the standard adjustments thereof proposed in the literature in the presence of nuisance parameters. The role of data-dependent priors in ensuring approximate frequentist validity of posterior credible regions based on the inversion of these statistics is investigated. Unlike what happens with data-free priors, it is seen that the resulting probability matching conditions readily admit solutions which entail approximate frequentist validity of the highest posterior density region as well. |
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Keywords: | expected information highest posterior density region posterior characteristic function observed information shrinkage argument |
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