Changing Statistical Significance with the Amount of Information: The Adaptive α Significance Level
Pérez, María Eglée
Pericchi Guerra, Luis Raúl
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We put forward an adaptive alpha which changes with the amount of sample information. This calibration may be interpreted as a Bayes–non-Bayes compromise, and leads to statistical consistency. The calibration can also be used to produce confidence intervals whose size takes in consideration the amount of observed information.