Related papers: Test Martingales, Bayes Factors and $p$-Values
Bayes factors have become a popular tool in exoplanet spectroscopy for testing atmosphere models against one another. We show that the commonly used method for converting these values into significance "sigmas" is invalid. The formula is…
In this paper, we obtain almost sure invariance principles with rate of order $n^{1/p}\log^\beta n$, $2< p\le 4$, for sums associated to a sequence of reverse martingale differences. Then, we apply those results to obtain similar…
Bayes factor null hypothesis tests provide a viable alternative to frequentist measures of evidence quantification. Bayes factors for realistic data sets in areas like psychology cannot be calculated exactly and require numerical…
Attacks on the P-value are nothing new, but the recent attacks are increasingly more serious. They come from more mainstream sources, with widening targets such as a call to retire the significance testing altogether. While well meaning, I…
The method of Maximum (relative) Entropy (ME) is used to translate the information contained in the known form of the likelihood into a prior distribution for Bayesian inference. The argument is guided by intuition gained from the…
We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk…
Bayesian inference gets its name from *Bayes's theorem*, expressing posterior probabilities for hypotheses about a data generating process as the (normalized) product of prior probabilities and a likelihood function. But Bayesian inference…
Our interest is whether two binomial parameters differ, which parameter is larger, and by how much. This apparently simple problem was addressed by Fisher in the 1930's, and has been the subject of many review papers since then. Yet there…
Hypothesis testing of structure in covariance matrices is of significant importance, but faces great challenges in high-dimensional settings. Although consistent frequentist one-sample covariance tests have been proposed, there is a lack of…
\citet{Rosenbaum83ps} introduced the notion of the propensity score and discussed its central role in causal inference with observational studies. Their paper, however, caused a fundamental incoherence with an early paper by…
This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider…
This article addresses issues of model criticism and model comparison in Bayesian contexts, and focusses on the use of the so-called posterior predictive p-values (ppp values). These involve a general discrepancy or conflict measure and…
Imagine that you could calculate of posttest probabilities, i.e. Bayes theorem with simple addition. This is possible if we stop thinking of probabilities as ranging from 0 to 1.0. There is a naturally occurring linear probability space…
The statistical evidence (or marginal likelihood) is a key quantity in Bayesian statistics, allowing one to assess the probability of the data given the model under investigation. This paper focuses on refining the power posterior approach…
Factor analysis, often regarded as a Bayesian variant of matrix factorization, offers superior capabilities in capturing uncertainty, modeling complex dependencies, and ensuring robustness. As the deep learning era arrives, factor analysis…
It is often desirable to summarise a probability measure on a space $X$ in terms of a mode, or MAP estimator, i.e.\ a point of maximum probability. Such points can be rigorously defined using masses of metric balls in the small-radius…
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of the proposed matrix-valued nonlinear dependence measure at…
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…
With recent advances in high throughput technology, researchers often find themselves running a large number of hypothesis tests (thousands+) and esti- mating a large number of effect-sizes. Generally there is particular interest in those…
Motivated by the forensic problem of determining the strength of evidence of a continuously distributed measurement of evidence, in the situation of composite hypotheses of the prosecutor and the defence concerning a parameter of a…