Frequentist and Bayesian measures of confidence via multiscale bootstrap for testing three regions

DOI10.1007/S10463-009-0247-ZzbMATH Open1422.62197arXiv0807.0053OpenAlexW2112053482MaRDI QIDQ904081FDOQ904081

Authors: Hidetoshi Shimodaira 

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: A new computation method of frequentist $p$-values and Bayesian posterior probabilities based on the bootstrap probability is discussed for the multivariate normal model with unknown expectation parameter vector. The null hypothesis is represented as an arbitrary-shaped region. We introduce new parametric models for the scaling-law of bootstrap probability so that the multiscale bootstrap method, which was designed for one-sided test, can also computes confidence measures of two-sided test, extending applicability to a wider class of hypotheses. Parameter estimation is improved by the two-step multiscale bootstrap and also by including higher-order terms. Model selection is important not only as a motivating application of our method, but also as an essential ingredient in the method. A compromise between frequentist and Bayesian is attempted by showing that the Bayesian posterior probability with an noninformative prior is interpreted as a frequentist $p$-value of ``zero-sided test.

Full work available at URL: https://arxiv.org/abs/0807.0053

Recommendations

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zbMATH Keywords

model selectionhypothesis testingapproximately unbiased testsbias correctionbootstrap probabilityproblem of regionsscaling-lawprobability matching priors

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25) Hypothesis testing in multivariate analysis (62H15)

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Cited In (3)

• Higher-order accuracy of multiscale-double bootstrap for testing regions
• Approximately unbiased tests of regions using multistep-multiscale bootstrap resampling
• Testing regions with nonsmooth boundaries via multiscale bootstrap

Uses Software

• CRAN
• Scaleboot

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