Confidence intervals based on empirical statistics: existence of a probability matching prior and connection with frequentist Bartlett adjustability

• Autores: Rahul Mukerjee, Ling-Yau Chan
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 18, Nº. 2, 2009, págs. 271-282
• Idioma: inglés
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• Resumen

  • We consider frequentist confidence intervals based on the inversion of likelihood ratio statistics that arise from a very general class of empirical-type likelihoods. Higher order asymptotics for the posterior coverage of such confidence intervals are derived for the purpose of characterizing the members of the class that allow the existence of a probability matching prior. The connection with frequentist Bartlett adjustability is also investigated.