A Bayes test for simple versus one-sided hypothesis on the mean vector of a multivariate normal distribution

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Abstract

A Bayes test for simple versus one-sided hypothesis on the mean vector of a multivariate normal distribution is developed. Expressions for Bayes factors are derived in various cases and Monte Carlo approximation methods are suggested. For comparison of the Bayes test with a classical test, lower bounds of the posterior probability of the null hypothesis over some reasonable classes of prior distributions are derived and compared with the p-value of the classical likelihood ratio test.

Original languageEnglish
Pages (from-to)2371-2389
Number of pages19
JournalCommunications in Statistics - Theory and Methods
Volume27
Issue number10
DOIs
StatePublished - 1998

Keywords

  • Bayes factor
  • Monte Carlo

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