Abstract
We consider a general class of empirical-type likelihoods and develop higher order asymptotics with a view to characterizing members thereof that allow the existence of possibly data-dependent probability matching priors ensuring approximate frequentist validity of posterior quantiles. In particular, for the usual empirical likelihood, positive results are obtained. This is in contrast with what happens if only data-free priors are entertained.
Information
Published: 1 January 2008
First available in Project Euclid: 28 April 2008
Digital Object Identifier: 10.1214/074921708000000057
Subjects:
Primary:
62F25
Keywords:
Edgeworth expansion
,
empirical likelihood
,
higher order asymptotics
,
posterior quantile
Rights: Copyright © 2008, Institute of Mathematical Statistics
