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Cabras, Stefano and Racugno, Walter and Ventura, Laura (2007) Default priors from pseudo-likelihoods in the presence of nuisance parameter. [Working Paper] WORKING PAPER SERIES, 7/2007 . , PADOVA (Inedito)

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Abstract (english)

Consider a sampling parametric model with parameter θ = (ψ, λ), where ψ is the parameter of interest. Also in the Bayesian framework, an approach to the elimination of nuisance parameters is to use an appropriate pseudo-likelihood function LPS(ψ) for the parameter of interest only, in alternative to an integrated likelihood function. The goal of this paper is to select a class of default priors πPS(ψ) for a parameter of interest using pseudo-likelihood functions. Developing Stein’s (1985) and Tibshirani’s (1989) results, our approach is to require that the resulting pseudo-posterior intervals, based on the pseudo-posterior distribution πPS(ψ|y) / πPS(ψ)LPS(ψ), have accurate frequentist coverage. Several illustrative examples are given and comparisons of πPS(ψ|y) are made to the posterior distributions based on the reference or Jeffreys priors. Some interesting conclusions emerge.

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EPrint type:Working Paper
Anno di Pubblicazione:May 2007
Key Words:Frequentist coverage probability, Jeffreys prior, Modified profile likelihood, Profile likelihood, Reference prior.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7100
Depositato il:10 Sep 2014 14:46
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