Objective Bayesian testing on the common mean of several normal distributions under divergence-based priors

Sang Gil Kang, Woo Dong Lee and Yongku Kim ()
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Sang Gil Kang: Sangji University
Woo Dong Lee: Daegu Haany University
Yongku Kim: Kyungpook National University

Computational Statistics, 2017, vol. 32, issue 1, No 4, 91 pages

Abstract: Abstract This paper considers the problem of testing on the common mean of several normal distributions. We propose a solution based on a Bayesian model selection procedure in which no subjective input is considered. We construct the proper priors for testing hypotheses about the common mean based on measures of divergence between competing models. This method is called the divergence-based priors (Bayarri and García-Donato in J R Stat Soc B 70:981–1003, 2008). The behavior of the Bayes factors based DB priors is compared with the fractional Bayes factor in a simulation study and compared with the existing tests in two real examples.

Keywords: Bayes factor; Common normal mean; Reference prior (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00180-016-0699-6

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