Abstract #300253

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JSM 2003 Abstract #300253
Activity Number: 22
Type: Contributed
Date/Time: Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Bayesian Stat. Sciences
Abstract - #300253
Title: The Behrens-Fisher Problem: A Bayesian Solution
Author(s): Jian Rong Wu*+ and Guoyong Jiang
Companies: St. Jude Children's Research Hospital and Cephalon
Address: Department of Biostatistics, Memphis, TN, 38105-2729,
Keywords: Behrens-Fisher problem ; r^{*}-formula ; Laplace approximation ; matching priors ; posterior distribution
Abstract:

The Behrens-Fisher problem concerns the inference for the difference of the means of two independent normal distributions without assuming the equality of the variances. A Bayesian solution is proposed to obtain the posterior distribution of the difference of means. With the aid of a second order probability-matching prior, the proposed solution for a credible interval has nearly exact frequentist coverage probability even for extremely small sample sizes.


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