Fonseca, Thaís C. O., Ferreira, Marco Antonio Rosa, 1969- and Migon, Helio dos Santos. (2008) Objective Bayesian analysis for the Student-t regression model. Biometrika, Vol.95 (No.2). pp. 325-333. ISSN 0006-3444

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Abstract

We develop a Bayesian analysis based on two different Jeffreys priors for the Student-t regression model with unknown degrees of freedom. It is typically difficult to estimate the number of degrees of freedom: improper prior distributions may lead to improper posterior distributions, whereas proper prior distributions may dominate the analysis. We show that Bayesian analysis with either of the two considered Jeffreys priors provides a proper posterior distribution. Finally, we show that Bayesian estimators based on Jeffreys analysis compare favourably to other Bayesian estimators based on priors previously proposed in the literature.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Bayesian statistical decision theory, Regression analysis -- Mathematical models, Outliers (Statistics)
Journal or Publication Title:	Biometrika
Publisher:	Biometrika Trust
ISSN:	0006-3444
Date:	June 2008
Volume:	Vol.95
Number:	No.2
Number of Pages:	9
Page Range:	pp. 325-333
Identification Number:	10.1093/biomet/asn001
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/29962

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