Proposta e avaliação de uma solução bayesiana para o problema de behrens-fisher multivariado

Abstract

One of the most common problems in applied statistics is to compare two normal population means when the ratio of variances is unknown and not equal to 1. That is the known Behrens-Fisher problem. There are many approaches for the distribution to the t-statistic in the univariate circumstance under the Behrens-Fisher problem. In the multivariate case, most solutions are based on adjusting the degrees of freedom to obtain a better chi-squared or Hotelling’s T² approximations of the distribution of the test statistic. In both circumstances there are bayesian solutions proposed by some authors. This work aimed to propose a computational based bayesian solution to the multivariate Behrens-Fisher problem based on the complex analytical solution of Johnson & Weerahandi (1988), to evaluate its performance through Monte Carlo simulation computing the type I error rates and power and to compare it with the modified Nel & Merwe test (Krishnamoorthy & Yu, 2004), that is considered the best frequentist solution. The inferences were made to the population difference δ of the mean vectors and a procedure for obtaining a region of 100(1 − α)% of credibility was outlined. It was used a conjugate prior distribution for the population mean vector (μᵢ) and covariance matrix (Σᵢ) obtaining a posterior multivariate t distribution to μᵢ, for i = 1, 2. In general, the bayesian test was conservative for samples of different sizes and liberal some circumstances of equal and small sample sizes and its power was equal to or greater than that of its competitor in large samples and/or in balanced circumstances. The new solution has competitive advantages and surpasses its main competitor, therefore its use in real cases should be recommended.