Agnostic tests can control the type I and type II errors simultaneously

DOI10.1214/19-BJPS431MaRDI QIDQ783299zbMATH OpenFDO

Authors Victor Coscrato, Rafael Izbicki, Rafael B. Stern

Publication date 12 August 2020

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.04620, https://projecteuclid.org/euclid.bjps/1588579219

zbMATH Keywords

hypothesis testlogical consistencyuniformly most powerful teststhree-decision problem

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Foundations and philosophical topics in statistics (62A01) Compound decision problems in statistical decision theory (62C25)

Abstract: Despite its common practice, statistical hypothesis testing presents challenges in interpretation. For instance, in the standard frequentist framework there is no control of the type II error. As a result, the non-rejection of the null hypothesis cannot reasonably be interpreted as its acceptance. We propose that this dilemma can be overcome by using agnostic hypothesis tests, since they can control the type I and II errors simultaneously. In order to make this idea operational, we show how to obtain agnostic hypothesis in typical models. For instance, we show how to build (unbiased) uniformly most powerful agnostic tests and how to obtain agnostic tests from standard p-values. Also, we present conditions such that the above tests can be made logically coherent. Finally, we present examples of consistent agnostic hypothesis tests.

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• BayesFactor

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