Uniformly most powerful Bayesian tests

DOI10.1214/13-AOS1123MaRDI QIDQ385759zbMATHOpenAlexWikidataFDO

Authors V. Johnson

Publication date 11 December 2013

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

Full work available at URL https://arxiv.org/abs/1309.4656

zbMATH Keywords

Bayes factorsNeyman-Pearson lemmaHiggs bosonJeffreys-Lindley paradoxnon-local prior densitiesobjective Bayesone-parameter exponential family modeluniformly most powerful tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01) Asymptotic properties of parametric tests (62F05) Applications of statistics to physics (62P35)

Abstract: Uniformly most powerful tests are statistical hypothesis tests that provide the greatest power against a fixed null hypothesis among all tests of a given size. In this article, the notion of uniformly most powerful tests is extended to the Bayesian setting by defining uniformly most powerful Bayesian tests to be tests that maximize the probability that the Bayes factor, in favor of the alternative hypothesis, exceeds a specified threshold. Like their classical counterpart, uniformly most powerful Bayesian tests are most easily defined in one-parameter exponential family models, although extensions outside of this class are possible. The connection between uniformly most powerful tests and uniformly most powerful Bayesian tests can be used to provide an approximate calibration between p-values and Bayes factors. Finally, issues regarding the strong dependence of resulting Bayes factors and p-values on sample size are discussed.

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Cited in

(25)

• Maximum Average-Power (MAP) Tests
• Bayesian (mean) most powerful tests
• A note on type S/M errors in hypothesis testing
• Hypothesis Testing in Presence of Adversaries
• Testing un-separated hypotheses by estimating a distance
• Uniformly most powerful tests under weak restrictions
• On the existence of uniformly most powerful Bayesian tests with application to non-central chi-squared tests
• Comparing Objective and Subjective Bayes Factors for the Two-Sample Comparison: The Classification Theorem in Action
• Prior distributions for objective Bayesian analysis
• Reply to Gelman, Gaudart, Pericchi: More reasons to revise standards for statistical evidence
• A frequency-calibrated Bayesian search for new particles
• A modified sequential probability ratio test
• Restricted most powerful Bayesian tests for linear models
• Revised standards for statistical evidence
• Bayesian \(t\)-tests for correlations and partial correlations
• A Characterization of Most(More) Powerful Test Statistics with Simple Nonparametric Applications
• scientific article; zbMATH DE number 6542461 (Why is no real title available?)
• A sample size-dependent prior strategy for bridging the Bayesian-frequentist gap in point null hypothesis testing
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• Uniformly most powerful unbiased test for conditional independence in Gaussian graphical model
• A Powerful Bayesian Test for Equality of Means in High Dimensions
• Towards an uniformly most powerful binomial test

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