The Library
Inference in two-piece location-scale models with Jeffreys Priors
Tools
Tools
Tools
Rubio, Francisco J. and Steel, Mark F. J. (2014) Inference in two-piece location-scale models with Jeffreys Priors. Bayesian Analysis, Volume 9 (Number 1). pp. 1-21. doi:10.1214/13-BA849
|
PDF
WRAP-inference-two-piece-models-Rubio-2014.pdf - Published Version - Requires a PDF viewer. Download (520Kb) | Preview |
Official URL: http://dx.doi.org/10.1214/13-BA849
Abstract
This paper addresses the use of Jeffreys priors in the context of univariate three-parameter 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 to lead to improper posteriors 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 also investigate two alternative priors, one of which is shown to lead to valid Bayesian inference for all practically interesting parameterizations of these models and is our recommendation to practitioners. We illustrate some of these models using real data.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||||
| Divisions: | Faculty of Science > Statistics | ||||||
| Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory | ||||||
| Journal or Publication Title: | Bayesian Analysis | ||||||
| Publisher: | International Society for Bayesian Analysis | ||||||
| ISSN: | 1931-6690 | ||||||
| Official Date: | 2014 | ||||||
| Dates: |
|
||||||
| Date of first compliant deposit: | 5 May 2017 | ||||||
| Volume: | Volume 9 | ||||||
| Number: | Number 1 | ||||||
| Page Range: | pp. 1-21 | ||||||
| DOI: | 10.1214/13-BA849 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
