Journal article
Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
- Abstract:
-
We investigate the frequentist coverage properties of (certain) Bayesian credible sets in a general, adaptive, nonparametric framework. It is well known that the construction of adaptive and honest confidence sets is not possible in general. To overcome this problem (in context of sieve type of priors), we introduce an extra assumption on the functional parameters, the so-called “general polished tail” condition. We then show that under standard assumptions, both the hierarchical and empirica...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Supplementary materials, 441.5KB)
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(Version of record, 311.6KB)
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- Publisher copy:
- 10.1214/19-AOS1881
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Authors
Bibliographic Details
- Publisher:
- Institute of Mathematical Statistics Publisher's website
- Journal:
- Annals of Statistics Journal website
- Volume:
- 48
- Issue:
- 4
- Pages:
- 2155-2179
- Publication date:
- 2020-08-14
- Acceptance date:
- 2019-06-09
- DOI:
- ISSN:
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0090-5364
- Source identifiers:
-
1023033
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:1023033
- UUID:
-
uuid:555390ea-7ab4-4fa1-92e0-9baf3bd0fa8d
- Local pid:
- pubs:1023033
- Deposit date:
- 2019-06-26
Terms of use
- Copyright holder:
- Institute of Mathematical Statistics
- Copyright date:
- 2020
- Rights statement:
- © Institute of Mathematical Statistics, 2020.
- Notes:
- This is the publisher's version of the article. The final version is available online from the Institute of Mathematical Statistics at: https://doi.org/10.1214/19-AOS1881
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