A note on approximate Bayesian credible sets based on modified loglikelihood ratios |
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| Authors: | Laura Ventura Erlis Ruli Walter Racugno |
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| Affiliation: | 1. Department of Statistics, University of Padova, Italy;2. Department of Mathematics, University of Cagliari, Italy |
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| Abstract: | Higher-order asymptotic arguments for a scalar parameter of interest have been widely investigated for Bayesian inference. In this paper the theory of asymptotic expansions is discussed for a vector parameter of interest. A modified loglikelihood ratio is suggested, which can be used to derive approximate Bayesian credible sets with accurate frequentist coverage. Three examples are illustrated. |
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| Keywords: | Asymptotic expansion Laplace approximation Modified likelihood root Tail area probability |
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