A Bayesian Test for the Mean of the Power Exponential Distribution

Abstract

In this article, we deal with the problem of testing a point null hypothesis for the mean of a multivariate power exponential distribution. We study the conditions under which Bayesian and frequentist approaches can match. In this comparison it is observed that the tails of the model are the key to explain the reconciliability or irreconciliability between the two approaches.

Keywords:

• Mixed prior distributions
• Multivariate point null hypothesis
• Posterior probability
• Power exponential distribution
• p-value
• Robust Bayesian analysis

Mathematics Subject Classification:

• 62F15
• 62F03