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On the use of non-local prior densities in Bayesian hypothesis tests

By Valen E. Johnson and David Rossell

Abstract

We examine philosophical problems and sampling deficiencies that are associated with current Bayesian hypothesis testing methodology, paying particular attention to objective Bayes methodology. Because the prior densities that are used to define alternative hypotheses in many Bayesian tests assign non-negligible probability to regions of the parameter space that are consistent with null hypotheses, resulting tests provide "exponential" accumulation of evidence in favour of true alternative hypotheses, but only "sublinear" accumulation of evidence in favour of true null hypotheses. Thus, it is often impossible for such tests to provide strong evidence in favour of a true null hypothesis, even when moderately large sample sizes have been obtained. We review asymptotic convergence rates of Bayes factors in testing precise null hypotheses and propose two new classes of prior densities that ameliorate the imbalance in convergence rates that is inherited by most Bayesian tests. Using members of these classes, we obtain analytic expressions for Bayes factors in linear models and derive approximations to Bayes factors in large sample settings. Copyright Journal compilation (c) 2010 Royal Statistical Society.

DOI identifier: 10.1111/j.1467-9868.2009.00730.x
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