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arXiv · 1208.0028

On Bayesian credible sets in restricted parameter space problems and lower bounds for frequentist coverage

Eric Marchand·William E. Strawderman
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Abstract

For estimating a lower bounded parametric function in the framework of Marchand and Strawderman (2006), we provide through a unified approach a class of Bayesian confidence intervals with credibility $1-α$ and frequentist coverage probability bounded below by $\frac{1-α}{1+α}$. 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 {\it 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.

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Eric Marchand, William E. Strawderman. 2012-12-19. On Bayesian credible sets in restricted parameter space problems and lower bounds for frequentist coverage. https://arxiv.org/abs/1208.0028

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