Bayesian Intervals with Good Frequentist Behaviour in the Presence of Nuisance Parameters
存在干扰参数时频率表现良好的贝叶斯区间
SUMMARY Given a random sample from a distribution with density function that depends on an unknown parameter θ = (θ1 . . ., θp), we are concerned with the problem of setting confidence intervals for a particular component of it, say θ1, treating the remaining components as a nuisance parameter. Adopting an objective Bayesian approach, we show that the Bayes intervals with a certain conditional prior density on the parameter of interest, θ1, are confidence intervals as well,…