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Irreconcilability of P-value and Bayesian measure in two-sided hypothesis: Pareto distribution with the presence of nuisance parameter

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  • Rahim Chinipardaz
  • Khadijeh Mehri

Abstract

This article is concerned with the comparison of Bayesian and classical testing of a point null hypothesis for the Pareto distribution when there is a nuisance parameter. In the first stage, using a fixed prior distribution, the posterior probability is obtained and compared with the P-value. In the second case, lower bounds of the posterior probability of H0, under a reasonable class of prior distributions, are compared with the P-value. It has been shown that even in the presence of nuisance parameters for the model, these two approaches can lead to different results in statistical inference.

Suggested Citation

  • Rahim Chinipardaz & Khadijeh Mehri, 2016. "Irreconcilability of P-value and Bayesian measure in two-sided hypothesis: Pareto distribution with the presence of nuisance parameter," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(8), pages 2438-2449, April.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:8:p:2438-2449
    DOI: 10.1080/03610926.2014.881495
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