RT Conference Proceedings
T1 A Bayesian approach to the multivariate Behrens-Fisher problem.
A1 Castillo-Vázquez, Carmen
A1 Girón González-Torre, F. Javier
K1 Modelos matemáticos
K1 Estadística bayesiana
K1 Modelos multinivel (Estadística)
AB The multivariate Behrens-Fisher problem consists of testing the equality of the mean vectors of two independent multivariate normal populations with unknown and arbitrary covariance matrices. In this work we provide a Bayesian solution to the multivariate Behrens-Fisher problem based on Bayes factors. For this purpose, the problem is formulated as a homogeneity testing problem and a hierarchical model is considered that allows us to derive a Bayes factor. The use of such a hierarchical model solves the problem that arises in the calculation of the Bayes factor when improper prior distributions are used. The relationship of the proposed Bayes factor with the multivariate Behrens-Fisher distribution is analysed and it is also shown to be consistent. Finally, some examples and comparisons with some frequentist tests are given.
YR 2023
FD 2023
LK https://hdl.handle.net/10630/28083
UL https://hdl.handle.net/10630/28083
LA eng
NO Universidad de Málaga. Campus de Excelencia Internacional Andalucía
DS RIUMA. Repositorio Institucional de la Universidad de Málaga
RD 20 ene 2026