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Biometrika 2002 89(4):952-957; doi:10.1093/biomet/89.4.952
© 2002 by Biometrika Trust
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Miscellanea

On an exact probability matching property of right-invariant priors

Thomas A.Severini1, Rahul Mukerjee2 and Malay Ghosh3

1 Department of Statistics, Northwestern University, Evanston, Illinois 60208-4070, U.S.Aseverini{at}nwu.edu 2 Indian Institute of Management, Post Box No.16757, Kolkata 700027, India rmuk1{at}hotmail.com 3 Department of Statistics, University of Florida, Gainesville, Florida 32611-8545, U.S.A. ghoshm{at}stat.ufl.edu

The paper considers priors which are right invariant with respect to the Haar measure.It is shown that the posterior coverage probabilities of certain invariant Bayesian predictive regions exactly match the corresponding frequentist probabilities. Several examples are given to illustrate the main result.

Key Words: Elliptically contoured distribution; Haar measure; Invariance; Location-scale; Multivariate; Predictive region

Received January 2002. Revised June 2002


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