Abstract:To mitigate the Look Elsewhere Effect in multiple hypothesis testing using p-values, the paper suggests an “entropic correction” of the significance level at which the null hypothesis is rejected. The proposed correction uses the entropic uncertainty associated with the probability measure that expresses the prior-to-test probabilities expressing how likely the confirming evidence may occur at values of the parameter. When the prior-to-test probability is uniform (embodying maximal uncertainty) the entropic co… Show more
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