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arXiv · 1503.05876

Objective Bayes, conditional inference and the signed root likelihood ratio statistic

Thomas J. DiCiccio·Todd A. Kuffner·G. Alastair Young
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Abstract

Bayesian properties of the signed root likelihood ratio statistic are analysed. Conditions for first-order probability matching are derived by the examination of the Bayesian posterior and frequentist means of this statistic. Second-order matching conditions are shown to arise from matching of the Bayesian posterior and frequentist variances of a mean-adjusted version of the signed root statistic. Conditions for conditional probability matching in ancillary statistic models are derived and discussed.

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Thomas J. DiCiccio, Todd A. Kuffner, G. Alastair Young. 2015-03-19. Objective Bayes, conditional inference and the signed root likelihood ratio statistic. https://doi.org/10.1093/biomet%2Fass028

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