Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : In this paper, we present a new version of MAP estimators and HPD credible sets that are equivariant under smooth reparametrization. Moreover, the MAP estimator obtained is equal to the frequentist maximum likelihood estimator under the non-informative Jeffreys prior. We also propose several adaptations in the case of nuisance parameters.
 
 
Equivariant HPD and MAP based on Jeffreys measure
DRUILHET Pierre, MARIN Jean-Michel
2006-27
18-04-2006
 
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