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
1−23α and 1−23α+1+αα2; with
the lower bound 1−23α improving (for α≤1/3) on the
previously established ([9]; [8]) lower bound 1+α1−α.
Several illustrative examples are given.Comment: Published in at http://dx.doi.org/10.1214/08-EJS292 the Electronic
Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of
Mathematical Statistics (http://www.imstat.org