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Biometrika 2001 88(2):587-592; doi:10.1093/biomet/88.2.587
© 2001 by Biometrika Trust
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Miscellaneous

Second-order probability matching priors for a parametric function with application to Bayesian tolerance limits

Rahul Mukerjee1 and N.Reid2

1 Indian Institute of Management, Post Box No.16757, Calcutta 700 027, Indiarmuk1{at}hotmail.com 2 Department of Statistics, University of Toronto, Toronto, Canada M5S 3G3. reid{at}utstat.utoronto.ca

Conditions are obtained for the approximate frequentist validity of the posterior quantiles of any smooth parametric function. An application to Bayesian tolerance limits is indicated.

Key Words: Frequentist validity; Marginal posterior density; Second order

Received February 2000. Revised November 2000


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