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Journal Article
Calibrating general posterior credible regions
2019
Overview
Calibration of credible regions derived from under- or misspecified models is an important and challenging problem. In this paper, we introduce a scalar tuning parameter that controls the posterior distribution spread, and develop a Monte Carlo algorithm that sets this parameter so that the corresponding credible region achieves the nominal frequentist coverage probability.
Publisher
Oxford University Press,Oxford Publishing Limited (England)
Subject
