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A Bayesian significance test of change for correlated observations

100%

Slama A.

Discussiones Mathematicae Probability and Statistics

2014

tom 34

nr 1-2

51-62

This paper presents a Bayesian significance test for a change in mean when observations are not independent. Using a noninformative prior, a unconditional test based on the highest posterior density credible set is determined. From a Gibbs sampler simulation study the effect of correlation on the performance of the Bayesian significance test derived under the assumption of no correlation is examined. This paper is a generalization of earlier studies by KIM (1991) to not independent observations.

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1 Discussiones Mathematicae Probability and Statistics

1 Slama A.

1 2014

Wyniki wyszukiwania

A Bayesian significance test of change for correlated observations