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Inference in two-piece location-scale models with Jeffreys priors

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Rubio, Francisco J. and Steel, Mark F. J. (2011) Inference in two-piece location-scale models with Jeffreys priors. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.13).

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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...

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

Official Date:

2011

Dates:

Date	Event
2011	Published

Volume:

Vol.2011

Number:

No.13

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

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