Equivariant HPD credible sets and MAP estimators Article - 2007

Pierre Druilhet, Jean-Michel Marin

Pierre Druilhet, Jean-Michel Marin, « Equivariant HPD credible sets and MAP estimators  », Bayesian Analysis, 2007, pp. 681-692. ISSN 1936-0975

Abstract

MAP estimators and HPD credible sets are often criticized in the literature because of paradoxical behaviour due to a lack of equivariance under reparametrization. In this paper, we propose a new version of MAP estimators and HPD credible sets that avoid this undesirable feature. Moreover, in the special case of non-informative prior, the new MAP estimators coincide with the equivariant frequentist ML estimators. We also propose several adaptations in the case of nuisance parameters.

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