Decision-theoretic justifications for Bayesian hypothesis testing using credible sets

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

Authors: 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

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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)

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Cited In (12)

• Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge
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• Approximate Bayesianity of Frequentist Confidence Intervals for a Binomial Proportion
• Bayesian inference and uncertainty quantification for medical image reconstruction with Poisson data
• 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
• Study on hypothesis testing decision-making based on credibility
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