Objective Bayesian testing for the linear combinations of normal means

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

Statistical Papers, 2019, vol. 60, issue 1, No 9, 147-172

Abstract: Abstract This study considers objective Bayesian testing for the linear combinations of the means of several normal populations. We propose solutions based on a Bayesian model selection procedure to this problem in which no subjective input is considered. We first construct suitable priors to test the linear combinations of means based on measuring the divergence between competing models (so-called divergence-based priors). Next, we derive the intrinsic priors for which the Bayes factors and model selection probabilities are well defined. Finally, the behavior of the Bayes factors based on the DB priors, intrinsic priors, and classical test are compared in a simulation study and an example.

Keywords: Bayes factor; Divergence-based prior; Intrinsic prior; Linear combinations of normal means; Reference prior (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00362-016-0831-2

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