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

DOI10.1007/S10463-009-0247-ZMaRDI QIDQ904081zbMATH OpenOpenAlexFDO

Authors Hidetoshi Shimodaira

Publication date 15 January 2016

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

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

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)

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.

Recommendations

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Cites work

• scientific article; zbMATH DE number 3925985 (Why is no real title available?)
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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

Describes a project that uses

Uses Software

• Scaleboot
• CRAN

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