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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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Submitted on : Tuesday, June 6, 2006 - 9:59:04 AM
Last modification on : Wednesday, April 20, 2022 - 3:37:27 AM
Long-term archiving on: : Monday, September 20, 2010 - 2:07:19 PM


  • HAL Id : inria-00077906, version 2


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



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