Technical Report No. 2000-1 : A Short Note on Repeated Significance Tests and the Unified Bayesian-Frequentist Measure (AU-CAS-MathStats)

The unified Bayesian-Frequentist measure of Berger, Brown and Wolpert.(1994) is considered here in the context of repeated significance tests and change point problems. It was shown that the new evidential measure is quite different from the conventional P-value as a measure of evidence provided by the data against the null hypothesis.