Data-dependent probability matching priors for empirical and related likelihoods

Details Data-dependent probability matching priors for empirical and related likelihoods Data-dependent probability matching priors for empirical and related likelihoods

2008-05-21

arxiv.org/abs/0805.3203v1

IMS Collections 2008, Vol. 3, 60-70

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/074921708000000057 the IMS Collections (http://www.imstat.org/publications/imscollec

Scientific paper

10.1214/074921708000000057

We consider a general class of empirical-type likelihoods and develop higher order asymptotics with a view to characterizing members thereof that allow the existence of possibly data-dependent probability matching priors ensuring approximate frequentist validity of posterior quantiles. In particular, for the usual empirical likelihood, positive results are obtained. This is in contrast with what happens if only data-free priors are entertained.

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