کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096153 | 1376507 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new approach to Bayesian hypothesis testing
ترجمه فارسی عنوان
رویکرد جدید به آزمایش فرضیه بیزی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable properties. First, it is immune to Jeffreys' concern about the use of improper priors. Second, it avoids Jeffreys-Lindley's paradox, Third, it is easy to compute and its threshold value is easily derived, facilitating the implementation in practice. The method is illustrated using some real examples in economics and finance. It is found that the leverage effect is insignificant in an exchange time series and that the Fama-French three-factor model is rejected.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 178, Part 3, January 2014, Pages 602-612
Journal: Journal of Econometrics - Volume 178, Part 3, January 2014, Pages 602-612
نویسندگان
Yong Li, Tao Zeng, Jun Yu,