Compute a simultaneous p-value from a sample for a vector valued parameter.

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Description

The p-value is computed as 1 - the credible level of the credible region which just cover the point (0, 0, ..., 0)'.

The function returns also the simultaneous credible region (rectangle) with a specified credible level.

Usage

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simult.pvalue(sample, precision=0.001, prob=0.95)
## S3 method for class 'simult.pvalue'
print(x, ...)

Arguments

sample

a data frame or matrix with sampled values (one column = one parameter)

precision

precision with which the p-value is to be computed

prob

probability for which the credible region is to be computed

x

an object of class simult.pvalue

...

who knows

Value

An object of class 'simult.pvalue'.

Author(s)

Arnošt Komárek arnost.komarek[AT]mff.cuni.cz

References

Besag, J., Green, P., Higdon, D. and Mengersen, K. (1995). Bayesian computation and stochastic systems (with Discussion). Statistical Science, 10, 3 - 66. page 30

Held, L. (2004). Simultaneous posterior probability statements from Monte Carlo output. Journal of Computational and Graphical Statistics, 13, 20 - 35.

Examples

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m <- 1000
sample <- data.frame(x1=rnorm(m), x2=rnorm(m), x3=rnorm(m))
simult.pvalue(sample)

sample <- data.frame(x1=rnorm(m), x2=rnorm(m), x3=rnorm(m, mean=2))
simult.pvalue(sample)

sample <- data.frame(x1=rnorm(m), x2=rnorm(m), x3=rnorm(m, mean=5))
simult.pvalue(sample, prob=0.99, precision=0.0001)

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