NONPARAMETRIC BAYESIAN MULTIPLE TESTING FOR LONGITUDINAL PERFORMANCE STRATIFICATION

• 成果类型: Article
• 署名作者: Scott, James G.
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157
• DOI: 10.1214/09-AOAS252
• 发表日期: 2009
• 页码: 1655-1674
• 关键词: model selection

摘要

This paper describes a framework for flexible multiple hypothesis testing of autoregressive time series. The modeling approach is Bayesian, though a blend of frequentist and Bayesian reasoning is used to evaluate procedures. Nonparametric characterizations of both the null and alternative hypotheses will be shown to be the key robustification step necessary to ensure reasonable Type-I error performance. The methodology is applied to part of a large database containing up to 50 years of corporate performance statistics on 24,157 publicly traded American companies, where the primary goal of the analysis is to flag companies whose historical performance is significantly different from that expected due to chance.