On the frequentist coverage of Bayesian credible intervals for lower bounded means

Details On the frequentist coverage of Bayesian credible intervals for lower bounded means On the frequentist coverage of Bayesian credible intervals for lower bounded means

2008-09-05

arxiv.org/abs/0809.1027v2

Electronic Journal of Statistics 2008, Vol. 2, 1028-1042

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-EJS292 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/08-EJS292

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 $1-\frac{3\alpha}{2}$ and $1-\frac{3\alpha}{2}+\frac{\alpha^2}{1+\alpha}$; with the lower bound $1-\frac{3\alpha}{2}$ 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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