Bayesian intervals with good frequency behaviour in the presence of nuisance parameters
Bayesian intervals with good frequency behaviour in the presence of nuisance parameters
复制标题
在存在干扰参数的情况下，贝叶斯区间具有良好的频率行为
DOI：
10.1111/j.2517-6161.1993.tb01908.x
复制
发表时间：
1993
期刊：
影响因子：
--
通讯作者：
A. Nicolaou
中科院分区：
文献类型：
--
作者：
A. Nicolaou
给定来自密度函数分布的随机样本，该分布取决于未知参数 θ=(θ 1 ,..., θ p )，我们关心的是为其特定分量（例如 θ 1 ）设置置信区间的问题，将其余分量视为干扰参数。采用客观贝叶斯方法，我们表明，感兴趣的参数 θ 1 上具有一定条件先验密度的贝叶斯区间也是置信区间，具有几乎正确的覆盖频率。在伽玛均值和形状参数的模拟研究中测试了所提出间隔的频率性能
Given a random sample from a distribution with density function that depends on an unknown parameter θ=(θ 1 ,..., θ p ), we are concerned with the problem of setting confidence intervals for a particular component of it, say θ 1 , treating the remaining components as a nuisance parameter. Adopting an objective Bayesian approach, we show that the Bayes intervals with a certain conditional prior density on the parameter of interest, θ 1 , are confidence intervals as well, having nearly the correct frequency of coverage. The frequentist performance of the proposed intervals is tested in a simulation study for gamma mean and shape parameters