The Two-Sample Problem Via Relative Belief Ratio

Abstract: This paper deals with a new Bayesian approach to the two-sample problem. More specifically, let $x=(x_1,\ldots,x_{n_1})$ and $y=(y_1,\ldots,y_{n_2})$ be two independent samples coming from unknown distributions $F$ and $G$, respectively. The goal is to test the null hypothesis $\mathcal{H}_0:~F=G$ against all possible alternatives. First, a Dirichlet process prior for $F$ and $G$ is considered. Then the change of their Cram\'{e}r-von Mises distance from a priori to a posteriori is compared through the relative belief ratio. Many theoretical properties of the procedure have been developed and several examples have been discussed, in which the proposed approach shows excellent performance.