Abstract
Matching priors for posterior quantiles were discussed at length in the previous chapter. These priors concern a single parameter (see Theorem 2.4.1) or a single parametric function (see Theorem 2.8.1) of interest. Since quantiles are intimately linked with the cumulative distribution function (c.d.f.), one may wonder how far these results carry through when matching is done via c.d.f. instead of quantiles. Continuing with a one-dimensional parameter or parametric function of interest, this issue is addressed in Section 3.2. The results in this section lead to the satisfying conclusion that first order matching priors for quantiles remain so when the analysis is based on a comparison of the posterior and frequentist c.d.f.’s.
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© 2004 Springer-Verlag New York, Inc.
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Datta, G.S., Mukerjee, R. (2004). Matching Priors for Distribution Functions. In: Probability Matching Priors: Higher Order Asymptotics. Lecture Notes in Statistics, vol 178. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-2036-7_3
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DOI: https://doi.org/10.1007/978-1-4612-2036-7_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-20329-4
Online ISBN: 978-1-4612-2036-7
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