Bayesian-motivated tests of function fit and their asymptotic frequentist properties

DOI10.1214/009053604000000805MaRDI QIDQ2388337zbMATH OpenOpenAlexFDO

Authors J. D. Hart, Marc Aerts, Gerda Claeskens

Publication date 12 September 2005

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0508601

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Abstract: We propose and analyze nonparametric tests of the null hypothesis that a function belongs to a specified parametric family. The tests are based on BIC approximations, pi_{BIC}, to the posterior probability of the null model, and may be carried out in either Bayesian or frequentist fashion. We obtain results on the asymptotic distribution of pi_{BIC} under both the null hypothesis and local alternatives. One version of pi_{BIC}, call it pi_{BIC}^*, uses a class of models that are orthogonal to each other and growing in number without bound as sample size, n, tends to infinity. We show that sqrtn(1-pi_{BIC}^*) converges in distribution to a stable law under the null hypothesis. We also show that pi_{BIC}^* can detect local alternatives converging to the null at the rate sqrtlog n/n. A particularly interesting finding is that the power of the pi_{BIC}^*-based test is asymptotically equal to that of a test based on the maximum of alternative log-likelihoods. Simulation results and an example involving variable star data illustrate desirable features of the proposed tests.

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