Consecutive Bayes factor for the mean vector

Marzieh Taheri and Manouchehr Kheradmandnia

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 10, 3833-3849

Abstract: In this article, we propose an explicit closed-form fully objective Bayes factor for one-sample hypotheses testing of the mean vector of multivariate normal population. The proposed approach can be regarded as a Bayesian version of the Hotelling’s T2 test and has various appealing properties in practical applications. It relies on data only through the T2-statistic and can easily be calculated. The proposed Bayes factor is applicable for the multivariate paired test as well as the univariate case. In this article, we also introduce a simple idea of consecutive minimal training samples which leads to a fully objective Bayes factor. Simulated and real data examples are provided for illustrative purposes.

Date: 2024
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DOI: 10.1080/03610926.2023.2165406

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