We discuss higher-order Bayesian asymptotics for a scalar parameter of interest in the presence of nuisance parameters, in order to perform accurate Bayesian inference even for small sample sizes. In particular, higher-order asymptotics for the marginal posterior distribution is obtained considering a matching prior. Numerical illustrations are given for models of practical interest.
A class of strong matching priors for higher-order Bayesian inference
VENTURA, LAURA;SARTORI, NICOLA;
2011
Abstract
We discuss higher-order Bayesian asymptotics for a scalar parameter of interest in the presence of nuisance parameters, in order to perform accurate Bayesian inference even for small sample sizes. In particular, higher-order asymptotics for the marginal posterior distribution is obtained considering a matching prior. Numerical illustrations are given for models of practical interest.
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