BAYESIAN INTERVAL ESTIMATES WHICH ARE ALSO CONFIDENCE-INTERVALS

Let Y1,..., Y(n) denote independent observations each distributed according to a distribution depending on a scalar Parameter theta; suppose that we are interested in constructing an interval estimate for theta. One approach is to use Bayesian inference. For a given prior density, we can construct an interval such that the posterior probability that theta lies in the interval is some specified value. In this paper, a method is given for constructing a Bayesian interval estimate such that the coverage probability of the interval is approximately equal to the posterior probability of the interval.