Pérez, María-Eglée; Pericchi, Luis Raúl - In: Statistics & Probability Letters 85 (2014) C, pp. 20-24
We put forward an adaptive alpha which changes with the amount of sample information. This calibration may be interpreted as a Bayes–non-Bayes compromise, and leads to statistical consistency. The calibration can also be used to produce confidence intervals whose size takes in consideration...