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A Bayesian Test for the Mean of the Power Exponential Distribution |
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| Authors: | Miguel A Gómez–Villegas Javier Portela Luis Sanz |
| Institution: | 1. Departamento de Estadística e Investigación Operativa I , Universidad Complutense de Madrid , Madrid, Spain ma.gv@mat.ucm.es;3. Departamento de Estadística e Investigación Operativa III , Universidad Complutense de Madrid , Madrid, Spain;4. Departamento de Estadística e Investigación Operativa I , Universidad Complutense de Madrid , Madrid, Spain |
| Abstract: | In this article, we deal with the problem of testing a point null hypothesis for the mean of a multivariate power exponential distribution. We study the conditions under which Bayesian and frequentist approaches can match. In this comparison it is observed that the tails of the model are the key to explain the reconciliability or irreconciliability between the two approaches. |
| Keywords: | Mixed prior distributions Multivariate point null hypothesis Posterior probability Power exponential distribution p-value Robust Bayesian analysis |