Canadian Journal of Statistics

Correlation in a Bayesian framework

Journal Article

  • Author(s): Anirban Dasgupta, George Casella, Mohan Delampady, Christian Genest, William E. Strawderman, Herman Rubin
  • Article first published online: 18 Dec 2008
  • DOI: 10.2307/3315910
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Abstract

The authors consider the correlation between two arbitrary functions of the data and a parameter when the parameter is regarded as a random variable with given prior distribution. They show how to compute such a correlation and use closed form expressions to assess the dependence between parameters and various classical or robust estimators thereof, as well as between p‐values and posterior probabilities of the null hypothesis in the one‐sided testing problem. Other applications involve the Dirichlet process and stationary Gaussian processes. Using this approach, the authors also derive a general nonparametric upper bound on Bayes risks.

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