Posterior-based Wald-type statistic for hypothesis testing

• المؤلفون الرئيسيون: LIU, Xiaobin, LI, Yong, Jun YU, ZENG, Tao
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2022
• الموضوعات: Decision theory; Hypothesis testing; Latent variable models; Posterior simulation; Wald test; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...