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Journal Articles Bayesian Analysis Year : 2007

Equivariant HPD credible sets and MAP estimators

Abstract

MAP estimators and HPD credible sets are often criticized in the literature because of paradoxical behaviour due to a lack of equivariance under reparametrization. In this paper, we propose a new version of MAP estimators and HPD credible sets that avoid this undesirable feature. Moreover, in the special case of non-informative prior, the new MAP estimators coincide with the equivariant frequentist ML estimators. We also propose several adaptations in the case of nuisance parameters.
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Dates and versions

inria-00077906 , version 1 (01-06-2006)
inria-00077906 , version 2 (06-06-2006)

Identifiers

  • HAL Id : inria-00077906 , version 2

Cite

Pierre Druilhet, Jean-Michel Marin. Equivariant HPD credible sets and MAP estimators. Bayesian Analysis, 2007, 2 (4), pp.681-692. ⟨inria-00077906v2⟩
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