Discussion of "Frequentist coverage of adaptive nonparametric Bayesian credible sets"

TL;DR

This paper discusses the properties of adaptive nonparametric Bayesian credible sets, focusing on their frequentist coverage and implications for statistical inference.

Contribution

It provides a critical analysis of the frequentist coverage properties of adaptive Bayesian credible sets in nonparametric settings.

Findings

Highlights limitations of adaptive Bayesian credible sets in achieving correct frequentist coverage

Identifies conditions under which credible sets have valid frequentist coverage

Suggests directions for improving adaptive Bayesian methods

Abstract

Discussion of "Frequentist coverage of adaptive nonparametric Bayesian credible sets" by Szab\'o, van der Vaart and van Zanten [arXiv:1310.4489v5].