A Bayesian analysis for the multivariate point null testing problem |
| |
Authors: | Miguel A. Gómez–Villegas Paloma Maín Luis Sanz |
| |
Affiliation: | 1. Departamento de Estadística e Investigación Operativa , Universidad Complutense de Madrid , Madrid, Spain ma.gv@mat.ucm.es;3. Departamento de Estadística e Investigación Operativa , Universidad Complutense de Madrid , Madrid, Spain |
| |
Abstract: | A Bayesian test for the point null testing problem in the multivariate case is developed. A procedure to get the mixed distribution using the prior density is suggested. For comparisons between the Bayesian and classical approaches, lower bounds on posterior probabilities of the null hypothesis, over some reasonable classes of prior distributions, are computed and compared with the p-value of the classical test. With our procedure, a better approximation is obtained because the p-value is in the range of the Bayesian measures of evidence. |
| |
Keywords: | posterior probability multivariate point null hypothesis p-value mixed prior distributions |
|
|