Equivariant HPD credible sets and MAP estimators
Druilhet, Pierre; Marin, Jean-Michel (2007), Equivariant HPD credible sets and MAP estimators, Bayesian Analysis, 2, 4, p. 681-692. http://dx.doi.org/10.1214/07-BA227
Type
Article accepté pour publication ou publiéExternal document link
http://hal.inria.fr/inria-00077906/en/Date
2007Journal name
Bayesian AnalysisVolume
2Number
4Publisher
International Society for Bayesian Analysis
ISBN
ISSN 0249-6399
Pages
681-692
Publication identifier
Metadata
Show full item recordAbstract (EN)
MAP estimators and HPD credible sets are often criticized in the literature because of paradoxical behaviour due to a lack of equivariance under reparametrization. In this paper, we propose a new version of MAP estimators and HPD credible sets that avoid this undesirable feature. Moreover, in the special case of non-informative prior, the new MAP estimators coincide with the equivariant frequentist ML estimators. We also propose several adaptations in the case of nuisance parameters.Subjects / Keywords
Bayesian statistics; Reference prior; Nuisance parameters; Jeffreys measure; HPD; MAPRelated items
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