Decision-theoretic justifications for Bayesian hypothesis testing using credible sets

DOI10.1016/J.JSPI.2013.09.014zbMATH Open1279.62026arXiv1210.1066OpenAlexW1963858566MaRDI QIDQ393602FDOQ393602

Måns Thulin

Publication date: 23 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: In Bayesian statistics the precise point-null hypothesis $heta=het{a}_0$ can be tested by checking whether $het{a}_0$ is contained in a credible set. This permits testing of $heta=het{a}_0$ without having to put prior probabilities on the hypotheses. While such inversions of credible sets have a long history in Bayesian inference, they have been criticised for lacking decision-theoretic justification. We argue that these tests have many advantages over the standard Bayesian tests that use point-mass probabilities on the null hypothesis. We present a decision-theoretic justification for the inversion of central credible intervals, and in a special case HPD sets, by studying a three-decision problem with directional conclusions. Interpreting the loss function used in the justification, we discuss when test based on credible sets are applicable. We then give some justifications for using credible sets when testing composite hypotheses, showing that tests based on credible sets coincide with standard tests in this setting.

Full work available at URL: https://arxiv.org/abs/1210.1066

Recommendations

• scientific article; zbMATH DE number 1089136
• Evidence and credibility: Full Bayesian signifiance test for precise hypotheses
• scientific article; zbMATH DE number 426234
• A Bayesian decision theoretic interpretation of testing linear hypotheses
• The multivariate point null testing problem: a Bayesian discussion

zbMATH Keywords

Bayesian inferencedecision theorycredible setsdirectional conclusionsthree-decision problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Compound decision problems in statistical decision theory (62C25)

Cites Work

• Title not available (Why is that?)
• The Bayesian Choice
• Interval estimation for a binomial proportion. (With comments and a rejoinder).
• A STATISTICAL PARADOX
• Testing a Point Null Hypothesis: The Irreconcilability of P Values and Evidence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Can a significance test be genuinely Bayesian?
• An introduction to Bayesian analysis. Theory and methods.
• Testing precise hypotheses. With comments and a rejoinder by the authors
• Evidence and credibility: Full Bayesian signifiance test for precise hypotheses
• On the Bayesianity of Pereira-Stern tests
• Healthy scepticism as an expected-utility explanation of the phenomena of Allais and Ellsberg
• Title not available (Why is that?)
• Bayesian evidence test for precise hypotheses
• Characterizing optimality among three-decision procedures for directional conclusions
• A Bayesian significance test of the stationarity of regression parameters
• Bayesian analysis of hypothesis testing problems for general population: A Kullback-Leibler alternative
• Multiparameter Problems From a Bayesian Point of View
• Introduction to Bayesian statistics. Translated from the German original (2000).
• Bayesian decision theoretic approach to hypothesis problems with skewed alternatives

Cited In (11)

• Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge
• Title not available (Why is that?)
• Title not available (Why is that?)
• Approximate Bayesianity of Frequentist Confidence Intervals for a Binomial Proportion
• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Decision theoretic Bayesian hypothesis testing with the selection goal
• Credible sets in the fixed design model with Brownian motion prior
• A hierarchical generalised Bayesian SEM to assess quality of democracy in Europe
• Tree based credible set estimation
• Bayesian Inference and Uncertainty Quantification for Medical Image Reconstruction with Poisson Data
• Title not available (Why is that?)

This page was built for publication: Decision-theoretic justifications for Bayesian hypothesis testing using credible sets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q393602)