Existence of matching priors on compact spaces
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A matching prior at level 1-α is a prior such that an associated 1-α credible set is also a 1-α confidence set. We study the existence of matching priors for general families of credible regions. Our main result gives topological conditions under which matching priors for specific families of credible sets exist. Informally: on compact parameter spaces, if the so-called rejection-probability map is jointly continuous under the Wasserstein metric on priors, a matching prior exists. In light of this general result, we observe that typical families of credible regions, such as credible balls, highest-posterior density regions, quantiles, etc., fail to meet this topological condition. We show how to design approximate posterior credible balls and highest-posterior-density regions that meet these topological conditions, yielding matching priors. The proof of our main theorem uses tools from nonstandard analysis and establishes new results about the nonstandard extension of the Wasserstein metric which may be of independent interest.
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