2015/09/30 by Nicholas Syring, Ryan Martin · 1 citation
Mathematics · #stat.ME
paper · pdf · doi:10.1093/biomet/asy054
published as Biometrika, 2019, volume 106, number 2, pages 479--486 · 15 pages, including supplementary material; 2 figures, 3 tables
arxiv created 2018/04/22 · arxiv updated 2019/06/28
An advantage of methods that base inference on a posterior distribution is that credible regions are readily obtained. Except in well-specified situations, however, there is no guarantee that such regions will achieve the nominal frequentist coverage probability, even approximately. To overcome this difficulty, we propose a general strategy that introduces an additional scalar tuning parameter to control the posterior spread, and we develop an algorithm that chooses this parameter so that the corresponding credible region achieves the nominal coverage probability.