JSM 2004 - Toronto

Abstract #300139

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Activity Number: 139
Type: Invited
Date/Time: Monday, August 9, 2004 : 2:00 PM to 3:50 PM
Sponsor: General Methodology
Abstract - #300139
Title: Objective Validation of Priors through Probability Matching
Author(s): Jayanta K. Ghosh*+ and Malay Ghosh
Companies: Purdue University and University of Florida
Address: Dept. of Statistics, West Lafayette, IN, 47907,
Keywords:
Abstract:

One way of validating a nonsubjective prior is to show that its posterior credibility intervals are also confidence intervals with the same (Frequentist) probability of coverage. If one demands this to a certain degree of approximation, it leads to a probability matching differential equation.This does require regularity conditions which are violated in the discrete case. We would first provide a brief overview in the continuous case and show the old result that the Jeffreys prior is the unique probability matching prior in the one diomensional case. We will then focus on such results in the discrete case exploring both methods due to Judith Rousseau, as well as other approaches. We will look at several examples.This is joint work with Malay Ghosh.

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Revised March 2004