Objective Priors for Invariant e-Values in the Presence of Nuisance Parameters.
Entropy (Basel)
; 26(1)2024 Jan 09.
Article
em En
| MEDLINE
| ID: mdl-38248183
ABSTRACT
This paper aims to contribute to refining the e-values for testing precise hypotheses, especially when dealing with nuisance parameters, leveraging the effectiveness of asymptotic expansions of the posterior. The proposed approach offers the advantage of bypassing the need for elicitation of priors and reference functions for the nuisance parameters and the multidimensional integration step. For this purpose, starting from a Laplace approximation, a posterior distribution for the parameter of interest is only considered and then a suitable objective matching prior is introduced, ensuring that the posterior mode aligns with an equivariant frequentist estimator. Consequently, both Highest Probability Density credible sets and the e-value remain invariant. Some targeted and challenging examples are discussed.
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Coleções:
01-internacional
Base de dados:
MEDLINE
Idioma:
En
Revista:
Entropy (Basel)
Ano de publicação:
2024
Tipo de documento:
Article