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(Referência obtida automaticamente do Web of Science, por meio da informação sobre o financiamento pela FAPESP e o número do processo correspondente, incluída na publicação pelos autores.)

A Bayesian Decision-Theoretic Approach to Logically-Consistent Hypothesis Testing

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da Silva, Gustavo Miranda [1] ; Esteves, Luis Gustavo [1] ; Fossaluza, Victor [1] ; Izbicki, Rafael [2] ; Wechsler, Sergio [1]
Número total de Autores: 5
Afiliação do(s) autor(es):
[1] Univ Sao Paulo, Inst Math & Stat, BR-05508090 Sao Paulo - Brazil
[2] Univ Fed Sao Carlos, Dept Stat, BR-13565905 Sao Carlos, SP - Brazil
Número total de Afiliações: 2
Tipo de documento: Artigo Científico
Fonte: Entropy; v. 17, n. 10, p. 6534-6559, OCT 2015.
Citações Web of Science: 5

This work addresses an important issue regarding the performance of simultaneous test procedures: the construction of multiple tests that at the same time are optimal from a statistical perspective and that also yield logically-consistent results that are easy to communicate to practitioners of statistical methods. For instance, if hypothesis A implies hypothesis B, is it possible to create optimal testing procedures that reject A whenever they reject B? Unfortunately, several standard testing procedures fail in having such logical consistency. Although this has been deeply investigated under a frequentist perspective, the literature lacks analyses under a Bayesian paradigm. In this work, we contribute to the discussion by investigating three rational relationships under a Bayesian decision-theoretic standpoint: coherence, invertibility and union consonance. We characterize and illustrate through simple examples optimal Bayes tests that fulfill each of these requisites separately. We also explore how far one can go by putting these requirements together. We show that although fairly intuitive tests satisfy both coherence and invertibility, no Bayesian testing scheme meets the desiderata as a whole, strengthening the understanding that logical consistency cannot be combined with statistical optimality in general. Finally, we associate Bayesian hypothesis testing with Bayes point estimation procedures. We prove the performance of logically-consistent hypothesis testing by means of a Bayes point estimator to be optimal only under very restrictive conditions. (AU)

Processo FAPESP: 14/25302-2 - Uma abordagem flexível para a estimação de uma densidade condicional em problemas com alta dimensionalidade
Beneficiário:Rafael Izbicki
Linha de fomento: Auxílio à Pesquisa - Regular
Processo FAPESP: 09/03385-5 - Classes de testes de hipóteses
Beneficiário:Rafael Izbicki
Linha de fomento: Bolsas no Brasil - Mestrado