Posterior-based Wald-type statistic for hypothesis testing

Posterior-based Wald-type statistic for hypothesis testing

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prio...

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Bibliographic Details
Main Authors: LIU, Xiaobin, LI, Yong, Jun YU, ZENG, Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Decision theory
Hypothesis testing
Latent variable models
Posterior simulation
Wald test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2624
https://ink.library.smu.edu.sg/context/soe_research/article/3623/viewcontent/Wald_Type_2018_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2624
https://ink.library.smu.edu.sg/context/soe_research/article/3623/viewcontent/Wald_Type_2018_sv.pdf

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