We introduce a generalized Bayesian credible set that can achieve any preassigned credible level, addressing a limitation of the current credible sets. This is achieved by exploiting a connection between the highest posterior density set and the Neyman-Pearson lemma.
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Source |
|---|---|
| http://www.ncbi.nlm.nih.gov/pmc/articles/PMC11722005 | PMC |
| http://dx.doi.org/10.1016/j.spl.2024.110295 | DOI Listing |
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