Importance of the prior mass for agreement between frequentist and Bayesian approaches in the two-sided test

被引:1
|
作者
Gomez-Villegas, Miguel A. [1 ]
Gonzalez-Perez, Beatriz [1 ]
机构
[1] Univ Complutense Madrid, Dept Estadist & Invest Operat 1, E-28040 Madrid, Spain
关键词
posterior probability; multivariate point null hypothesis; p-value; Lindley's paradox; 62F15; 62F03; LINDLEY PARADOX;
D O I
10.1080/02331888.2012.658396
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
A Bayesian test for H-0: = (0) versus H-1: (0) is developed. The methodology consists of fixing a sphere of radius around (0), assigning to H-0 a prior mass, (0), computed by integrating a density function () over this sphere, and spreading the remainder, 1(0), over H-1 according to (). The ultimate goal is to show when p values and posterior probabilities can give rise to the same decision in the following sense. For a fixed level of significance , when do (12) exist such that, regardless of the data, a Bayesian proponent who uses the proposed mixed prior with (0)((1), (2)) reaches, by comparing the posterior probability of H-0 with 1/2, the same conclusion as a frequentist who uses to quantify the p value? A theorem that provides the required constructions of (1) and (2) under verification of a sufficient condition ((12)) is proved. Some examples are revisited.
引用
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页码:558 / 565
页数:8
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