Dado que uno puede calcular los intervalos de confianza para los valores p y dado que lo opuesto a la estimación del intervalo es la estimación puntual: ¿es el valor p una estimación puntual?
confidence-interval
estimation
p-value
estimators
point-estimation
00schneider
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Respuestas:
Point estimates and confidence intervals are for parameters that describe the distribution, e.g. mean or standard deviation.
But unlike other sample statistics like the sample mean and the sample standard deviation the p-value is not an useful estimator of an interesting distribution parameter. Look at the answer by @whuber for technical details.
The p-value for a test-statistic gives the probability of observing a deviation from the expected value of the test-statistic as least as large as observed in the sample, calculated under the assumption that the null hypothesis is true. If you have the entire distribution it is either consistent with the null hypothesis, or it is not. This can be described with by indicator variable (again, see the answer by @whuber).
But the p-value cannot be used as an useful estimator of the indicator variable because it is not consistent as the p-value does not converge as the sample size increases if the null hypothesis is true. This is a pretty complicated alternate way of stating that a statistical test can either reject or fail to reject the null, but never confirm it.
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Yes, it could be (and has been) argued that a p-value is a point estimate.
In order to identify whatever property of a distribution a p-value might estimate, we would have to assume it is asymptotically unbiased. But, asymptotically, the mean p-value for the null hypothesis is1/2 (ideally; for some tests it might be some other nonzero number) and for any other hypothesis it is 0 . Thus, the p-value could be considered an estimator of one-half the indicator function for the null hypothesis.
Admittedly it takes some creativity to view a p-value in this way. We could do a little better by viewing the estimator in question as the decision we make by means of the p-value: is the underlying distribution a member of the null hypothesis or of the alternate hypothesis? Let's call this set of possible decisionsD . Jack Kiefer writes
In this case, becauseD is discrete, "reasonably smooth" is not a restriction at all. Kiefer's terminology reflects this by referring to statistical procedures with discrete decision spaces as "tests" instead of "point estimators."
Although it is interesting to explore the limits (and limitations) of such definitions, as this question invites us to do, perhaps we should not insist too strongly that a p-value is a point estimator, because this distinction between estimators and tests is both useful and conventional.
In a comment to this question, Christian Robert brought attention to a 1992 paper where he and co-authors took exactly this point of view and analyzed the admissibility of the p-value as an estimator of the indicator function. See the link in the references below. The paper begins,
[Emphasis added.]
References
Jiunn Tzon Hwang, George Casella, Christian Robert, Martin T. Wells, and Roger H. Farrell, Estimation of Accuracy in Testing. Ann. Statist. Volume 20, Number 1 (1992), 490-509. Open access.
Jack Carl Kiefer, Introduction to Statistical Inference. Springer-Verlag, 1987.
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