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Coverage probability bias, objective Bayes and the likelihood principle. (English) Zbl 0985.62025

Summary: We review objective Bayes procedures based on both parametric and predictive coverage probability bias and explore the extent to which such procedures contravene the likelihood principle in the case of a scalar parameter. The discussion encompasses choice of objective priors, objective posterior probability statements and objective predictive probability statements. We conclude with some remarks concerning the future development and implementation of objective priors based on small coverage probability bias.

MSC:

62F15 Bayesian inference
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