Asymptotically well-calibrated Bayesian $p$-value using the Kolmogorov-Smirnov statistic

The posterior predictive $p$-value (ppp) is widely used in Bayesian model evaluation. However, due to double use of the data, the ppp may not be a valid $p$-value even in large samples: The asymptotic null distribution of the ppp can be non-uniform unless the underlying test statistic satisfies certain well-calibration conditions. Such conditions have been studied in the literature for asymptotically normal test statistics. We extend this line of work by establishing well-calibration conditions for test statistics that are not necessarily asymptotically normal. In particular, we show that Kolmogorov-Smirnov (KS)-type test statistics satisfy these conditions, such that their ppps are asymptotically well-calibrated Bayesian $p$-values. KS-type statistics are versatile, omnibus, and sensitive to model misspecifications. They apply to i.i.d. real-valued data, as well as non-identically distributed observations under regression models. Numerical experiments demonstrate that such $p$-values are well behaved in finite samples and can effectively detect a wide range of alternative models.

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