Note on the Confidence-Prior of Welch and Peers
John A. Hartigan · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1966
Summary Welch and Peers have shown that it is possible to determine a prior distribution for a one-dimensional parameter by requiring that the associated one-sided Bayes intervals are asymptotically confidence intervals. It is shown in this note that their procedure does not apply if certain natural two-sided Bayes intervals are used.