Frequentist confidence intervals were compared with Bayesian credible intervals under a variety of scenarios to determine when Bayesian credible intervals outperform frequentist confidence intervals. Results indicated that Bayesian interval estimation frequently produces results with precision greater than or equal to the frequentist method.
Gray, Kathy; Hampton, Brittany; Silveti-Falls, Tony; McConnell, Allison; and Bausell, Casey
"Comparison of Bayesian Credible Intervals to Frequentist Confidence Intervals,"
Journal of Modern Applied Statistical Methods:
1, Article 8.
Available at: http://digitalcommons.wayne.edu/jmasm/vol14/iss1/8