Joint $p$-Values for Higher-Powered Bayesian Model Checking with Frequentist Guarantees

We define an extension of the posterior predictive $p$-value for multiple test statistics and establish a bound on its frequency under the assumption of model correctness. We argue that the conservativity of the posterior predictive $p$-value increases with model dimension, and we demonstrate the ability of the joint $p$-value to overcome this problem in many cases. We also compare the joint $p$-values to other alternative $p$-values designed to have higher power and show that the joint $p$-value can achieve similar performance for model rejection while maintaining more favorable computational and interpretive properties.