Two-sample Bayesian nonparametric hypothesis testing

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Abstract: In this article we describe Bayesian nonparametric procedures for two-sample hypothesis testing. Namely, given two sets of samples mathbfyscriptscriptstyle(1);stackrel{scriptscriptstyle{iid}}{s im};Fscriptscriptstyle(1) and mathbfyscriptscriptstyle(2);stackrel{scriptscriptstyle{iid}}{sim};Fscriptscriptstyle(2), with Fscriptscriptstyle(1),Fscriptscriptstyle(2) unknown, we wish to evaluate the evidence for the null hypothesis H0:Fscriptscriptstyle(1)equivFscriptscriptstyle(2) versus the alternative H1:Fscriptscriptstyle(1)eqFscriptscriptstyle(2). Our method is based upon a nonparametric P'{o}lya tree prior centered either subjectively or using an empirical procedure. We show that the P'{o}lya tree prior leads to an analytic expression for the marginal likelihood under the two hypotheses and hence an explicit measure of the probability of the null mathrmPr(H0|mathbfyscriptscriptstyle(1),mathbfyscriptscriptstyle(2)mathbf).



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