Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
We investigate the frequentist coverage properties of (certain) Bayesian credible sets in a general, adaptive, nonparametric framework. It is well known that the construction of adaptive and honest confidence sets is not possible in general. To overcome this problem (in context of sieve type of prio...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2020
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