Bayesian-motivated tests of function fit and their asymptotic frequentist properties
Marc Aerts, Gerda Claeskens, Jeffrey D. Hart
Abstract
We propose and analyze nonparametric tests of the null hypothesis that a function belongs to a specified parametric family. The tests are based on BIC approximations, πBIC, to the posterior probability of the null model, and may be carried out in either Bayesian or frequentist fashion. We obtain results on the asymptotic distribution of πBIC under both the null hypothesis and local alternatives. One version of πBIC, call it πBIC*, uses a class of models that are orthogonal to each other and growing in number without bound as sample size, n, tends to infinity. We show that (1-πBIC*) converges in distribution to a stable law under the null hypothesis. We also show that πBIC* can detect local alternatives converging to the null at the rate n/n. A particularly interesting finding is that the power of the πBIC*-based test is asymptotically equal to that of a test based on the maximum of alternative log-likelihoods. Simulation results and an example involving variable star data illustrate desirable features of the proposed tests.
Create a lesson
Related papers
On Natural Exponential Families with Log-Affine Generalized Variance
Zeyu Cao, Shaosai Huang
Fundamental Limits of Coherent Imaging in The Presence of Atmospheric Turbulence
Songbin Liu, Hanyu Yang, Junren Chen et al.
Regularization vs. Convolution in Kernel-Based Hypothesis Testing
Omar Hagrass, Bharath K. Sriperumbudur
Inference for Realized Quadratic Covariation of R and R2 as a Measure of Return Asymmetry
Haozhe Jiang, Ostap Okhrin, Michael Rockinger
Variational Splines and Generalized Gaussian Processes
Michael Unser
Conformal Prediction at Performative Equilibrium: The Price of Performativity
Ahmed Mahrous, Roberto Di Pietro