On p-Values and Bayes Factors

Abstract

The p-value quantifies the discrepancy between the data and a null hypothesis of interest, usually the assumption of no difference or no effect. A Bayesian approach allows the calibration of p-values by transforming them to direct measures of the evidence against the null hypothesis, so-called Bayes factors. We review the available literature in this area and consider two-sided significance tests for a point null hypothesis in more detail. We distinguish simple from local alternative hypotheses and contrast traditional Bayes factors based on the data with Bayes factors based on p-values or test statistics. A well-known finding is that the minimum Bayes factor, the smallest possible Bayes factor within a certain class of alternative hypotheses, provides less evidence against the null hypothesis than the corresponding p-value might suggest. It is less known that the relationship between p-values and minimum Bayes factors also depends on the sample size and on the dimension of the parameter of interest. We illustrate the transformation of p-values to minimum Bayes factors with two examples from clinical research.