Rubio, F. J. and Steel, Mark F. J. (2011) Inference in two-piece location-scale models with Jeffreys priors. Working Paper. University of Warwick. Centre for Research in Statistical Methodology, Coventry.

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Abstract

This paper addresses the use of Jeffreys priors in the context of univariate threeparameter location-scale models, where skewness is introduced by differing scale parameters either side of the location. We focus on various commonly used parameterizations for these models. Jeffreys priors are shown not to allow for posterior inference in the wide and practically relevant class of distributions obtained by skewing scale mixtures of normals. Easily checked conditions under which independence Jeffreys priors can be used for valid inference are derived. We empirically investigate the posterior coverage for a number of Bayesian models, which are also used to conduct inference on real data.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Bayesian statistical decision theory
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Date:	2011
Volume:	Vol.2011
Number:	No.13
Number of Pages:	27
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/35059

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