Empirical-type likelihoods allowing posterior credible sets with frequentist validity: Higher-order asymptotics

Abstract

With reference to a general class of empirical-type likelihoods, we develop higher-order asymptotics for the frequentist coverage of Bayesian credible sets based on posterior quantiles and highest posterior density. These asymptotics, in turn, characterise members of the class that allow approximate frequentist validity of such sets. It is seen that the usual empirical likelihood does not enjoy this property up to the order of approximation considered here.