The Annals of Applied Statistics

Nonparametric Bayesian multiple testing for longitudinal performance stratification

James G. Scott

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Appl. Stat., Volume 3, Number 4 (2009), 1655-1674.

Dates
First available in Project Euclid: 1 March 2010

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1267453958

Digital Object Identifier
doi:10.1214/09-AOAS252

Mathematical Reviews number (MathSciNet)
MR2752152

Zentralblatt MATH identifier
1184.62156

Keywords
Multiple testing Bayesian model selection nonparametric Bayes financial time series

Citation

Scott, James G. Nonparametric Bayesian multiple testing for longitudinal performance stratification. Ann. Appl. Stat. 3 (2009), no. 4, 1655--1674. doi:10.1214/09-AOAS252. https://projecteuclid.org/euclid.aoas/1267453958


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