Institute of Mathematical Statistics Lecture Notes - Monograph Series

Bayesian Decision Theory for Multiple Comparisons

Charles Lewis and Dorothy T. Thayer

Full-text: Open access

Abstract

Applying a decision theoretic approach to multiple comparisons very similar to that described by Lehmann [Ann. Math. Statist. 21 (1950) 1–26; Ann. Math. Statist. 28 (1975a) 1–25; Ann. Math. Statist. 28 (1975b) 547–572], we introduce a loss function based on the concept of the false discovery rate (FDR). We derive a Bayes rule for this loss function and show that it is very closely related to a Bayesian version of the original multiple comparisons procedure proposed by Benjamini and Hochberg [J. Roy. Statist. Soc. Ser. B 57 (1995) 289–300] to control the sampling theory FDR. We provide the results of a Monte Carlo simulation that illustrates the very similar sampling behavior of our Bayes rule and Benjamini and Hochberg’s procedure when applied to making all pair-wise comparisons in a one-way fixed effects analysis of variance setup with 10 and with 20 means.

Chapter information

Source
Javier Rojo, ed., Optimality: The Third Erich L. Lehmann Symposium (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2009), 326-332

Dates
First available in Project Euclid: 3 August 2009

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1249305337

Digital Object Identifier
doi:10.1214/09-LNMS5719

Mathematical Reviews number (MathSciNet)
MR2681679

Zentralblatt MATH identifier
1271.62020

Subjects
Primary: 62J15: Paired and multiple comparisons 62C10: Bayesian problems; characterization of Bayes procedures 62F15: Bayesian inference

Keywords
Bayesian decision theory loss function multiple comparisons false discovery rate

Rights
Copyright © 2009, Institute of Mathematical Statistics

Citation

Rojo, Javier. Bayesian Decision Theory for Multiple Comparisons. Optimality, 326--332, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2009. doi:10.1214/09-LNMS5719. https://projecteuclid.org/euclid.lnms/1249305337


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References

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