Probabilistic pairwise model comparisons based on discrepancy measures and a reconceptualization of the p-value

Abstract

Discrepancy measures are often employed in problems involving the selection and assessment of statistical models. A discrepancy gauges the separation between a fitted candidate model and the underlying generating model. In this work, we consider pairwise comparisons of fitted models based on a probabilistic evaluation of the ordering of the constituent discrepancies. An estimator of the probability is derived using the bootstrap.In the framework of hypothesis testing, nested models are often compared on the basis of the p-value. Specifically, the simpler null model is favored unless the p-value is sufficiently small, in which case the null model is rejected and the more general alternative model is retained. Using suitably defined discrepancy measures, we mathematically show that, in general settings, the Wald, likelihood ratio and score test p-values are approximated by the bootstrapped discrepancy comparison probability (BDCP). We argue that the connection between the p-value and the BDCP leads to potentially new insights regarding the utility and limitations of the pvalue. The BDCP framework also facilitates discrepancy-based inferences in settings beyond the limited confines of nested model hypothesis testing. xi * C(1) ,θ (2) |y) I 11 (θ * C(1) ,θ (2) |y) −1 U (1) (θ * C(1) ,θ (2) |y) > S ≈ P r[χ 2 k > S] = p S .This completes the proof.