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Register a new userOn the frequentist coverage of Bayesian credible intervals for lower bounded means
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Added by
\\'Eric Marchand
Publication date
2008
fields
Mathematical Statistics
and research's language is
English
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For estimating a lower bounded location or mean parameter for a symmetric and logconcave density, we investigate the frequentist performance of the $100(1-alpha)%$ Bayesian HPD credible set associated with priors which are truncations of flat priors onto the restricted parameter space. Various new properties are obtained. Namely, we identify precisely where the minimum coverage is obtained and we show that this minimum coverage is bounded between $1-frac{3alpha}{2}$ and $1-frac{3alpha}{2}+frac{alpha^2}{1+alpha}$; with the lower bound $1-frac{3alpha}{2}$ improving (for $alpha leq 1/3$) on the previously established ([9]; [8]) lower bound $frac{1-alpha}{1+alpha}$. Several illustrative examples are given.
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