Open Access
August 1997 Unified frequentist and Bayesian testing of a precise hypothesis
J. O. Berger, B. Boukai, Y. Wang
Statist. Sci. 12(3): 133-160 (August 1997). DOI: 10.1214/ss/1030037904

Abstract

In this paper, we show that the conditional frequentist method of testing a precise hypothesis can be made virtually equivalent to Bayesian testing. The conditioning strategy proposed by Berger, Brown and Wolpert in 1994, for the simple versus simple case, is generalized to testing a precise null hypothesis versus a composite alternative hypothesis. Using this strategy, both the conditional frequentist and the Bayesian will report the same error probabilities upon rejecting or accepting. This is of considerable interest because it is often perceived that Bayesian and frequentist testing are incompatible in this situation. That they are compatible, when conditional frequentist testing is allowed, is a strong indication that the "wrong" frequentist tests are currently being used for postexperimental assessment of accuracy. The new unified testing procedure is discussed and illustrated in several common testing situations.

Citation

Download Citation

J. O. Berger. B. Boukai. Y. Wang. "Unified frequentist and Bayesian testing of a precise hypothesis." Statist. Sci. 12 (3) 133 - 160, August 1997. https://doi.org/10.1214/ss/1030037904

Information

Published: August 1997
First available in Project Euclid: 22 August 2002

zbMATH: 0955.62527
MathSciNet: MR1617518
Digital Object Identifier: 10.1214/ss/1030037904

Keywords: Bayes factor , composite hypothesis , conditional test , error probabilities , likelihood ratio

Rights: Copyright © 1997 Institute of Mathematical Statistics

Vol.12 • No. 3 • August 1997
Back to Top