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Biometrika 2001 88(3):657-675; doi:10.1093/biomet/88.3.657
© 2001 by Biometrika Trust
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Coverage probability bias, objective Bayes and the likelihood principle

Trevor J.Sweeting1

1 Department of Mathematics and Statistics, University of Surrey, Guildford, GU2 7XH, U.Kt.sweeting{at}surrey.ac.uk

We review objective Bayes procedures based on both parametric and predictive coverage probability bias and explore the extent to which such procedures contravene the likelihood principle in the case of a scalar parameter.The discussion encompasses choice of objective priors, objective posterior probability statements and objective predictive probability statements. We conclude with some remarks concerning the future development and implementation of objective priors based on small coverage probability bias.

Key Words: Approximate Bayesian inference; Coverage probability bias; Higher-order asymptotics; Likelihood principle; Objective Bayes

Received March 2000. Revised February 2001


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