A Bayesian solution to the Behrens-Fisher problem

被引：1
|
作者：
Javier Giron, Fco [1 ]
del Castillo, Carmen [2 ,3 ]
机构：
[1] Real Acad Ciencias Exactas Fis & Nat, Calle Valverde 24, Madrid 28004, Spain
[2] Univ Malaga, Fac Ciencias, Dept Anal Matemat Estadist & Invest Operat, Campus Teatinos, Malaga 29071, Spain
[3] Univ Malaga, CEI Andalucia TECH, ETSI Telecomunicac, Inst Univ Invest Telecomunicac TELMA, Bulevar Louis Pasteur 35, Malaga 29010, Spain
来源：
REVISTA DE LA REAL ACADEMIA DE CIENCIAS EXACTAS FISICAS Y NATURALES SERIE A-MATEMATICAS | 2021年 / 115卷 / 04期
关键词：
Behrens-Fisher problem; Bayes factor; Hierarchical models;
D O I：
10.1007/s13398-021-01098-0
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A simple solution to the Behrens-Fisher problem based on Bayes factors is presented, and its relation with the Behrens-Fisher distribution is explored. The construction of the Bayes factor is based on a simple hierarchical model, and has a closed form based on the densities of general Behrens-Fisher distributions. Simple asymptotic approximations of the Bayes factor, which are functions of the Kullback-Leibler divergence between normal distributions, are given, and it is also proved to be consistent. Some examples and comparisons are also presented.
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页数：15
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