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On the frequentist coverage of Bayesian credible intervals for lower bounded means

By Éric March, William E. Strawderman B, Keven Bosa C and Aziz Lmoudden A

Abstract

summary For estimating a lower bounded location or mean parameter for a symmetric and logconcave density, we investigate the frequentist performance of the 100(1 − α) % Bayesian HPD credible set associated with priors which are truncations of flat priors onto the restricted parameter space. Various new properties are obtained. Namely, we identify precisely where the minimum coverage is obtained and we show that this minimum coverage is bounded between 1 − 3α 2 and 1

Topics: Bayesian credible sets, restricted parameter space, confidence intervals, frequentist coverage
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