On the conservativeness of posterior predictive p-values

被引：9

作者：

Dahl, FA ^{[1
]}

机构：

[1] Univ Oslo, Div Stat & Insurance Math, Dept Math, NO-0316 Oslo, Norway

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 11期

关键词：

D O I：

10.1016/j.spl.2005.12.025

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Bayesian posterior predictive p-values (ppp) tend to be conservative, in the sense of low rejection probability under the prior distribution. It is well known that a ppp has the distribution of a conditional expectancy of a uniform (0, 1) variable. We show that this does not imply a tail probability inequality P(ppp <= alpha) <= alpha, even when alpha tends to zero. In some special cases involving localization parameters, however, we show that ppp-values are in fact strictly conservative. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1170 / 1174

页数：5