[Forum SIS] DEC - Statistics Seminar -October 6th

[Isadora Antoniano]

We are glad to announce the next:

*DEC - Statistics Seminar*


*Thursday, October 6th*

Bocconi University,
Room 3-E4-SR03
Via Rontgen 1 - 3rd floor

Time: *12:30 pm*




*Christian Robert *(Ceremade, Université Paris-Dauphine)

*Testing hypotheses via a mixture estimation model*

*Abstract:*
We consider a novel paradigm for Bayesian testing of hypotheses and
Bayesian model comparison. Our alternative to the traditional construction
of posterior probabilities that a given hypothesis is true or that the data
originates from a specific model is to consider the models under comparison
as components of a mixture model. We therefore replace the original testing
problem with an estimation one that focus on the probability weight of a
given model within a mixture model. We analyse the sensitivity on the
resulting posterior distribution on the weights of various prior modelling
on the weights. We stress that a major appeal in using this novel
perspective is that generic improper priors are acceptable, while not
putting convergence in jeopardy. Among other features, this allows for a
resolution of the Lindley-Jeffreys paradox. When using a reference Beta
B(a,a) prior on the mixture weights, we note that the sensitivity of the
posterior estimations of the weights to the choice of a vanishes with the
sample size increasing and advocate the default choice a=0.5, derived from
Rousseau and Mengersen (2011). Another feature of this easily implemented
alternative to the classical Bayesian solution is that the speeds of
convergence of the posterior mean of the weight and of the corresponding
posterior probability are quite similar.

Joint work with K. Kamary, K. Mengersen and J. Rousseau.



The DEC statistics seminars schedule is available at
http://www.unibocconi.eu/statseminar

Kind regards,
*Raffaella Piccarreta and Isadora Antoniano*



*ATTENTION:*

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***************************************************
Isadora Antoniano Villalobos
Assistant Professor
DEC - Department of Decision Sciences,
Bocconi University, via Guglielmo Röntgen 1 (3rd floor, room D1-16). 20136,
Milano.
email: isadora.antoniano a unibocconi.it

Web page: http://faculty.unibocconi.eu/isadoraantonianovillalobos
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