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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. (2014) Inference in two-piece location-scale models with Jeffreys Priors. Bayesian Analysis, 9 (1). pp. 1-21. doi:10.1214/13-BA849 ISSN 1931-6690.
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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 | ||||||||
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Subjects: | Q Science > QA Mathematics | ||||||||
Divisions: | Faculty of Science, Engineering and Medicine > 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: | March 2014 | ||||||||
Dates: |
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Volume: | 9 | ||||||||
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 | ||||||||
Date of first compliant deposit: | 5 May 2017 | ||||||||
Date of first compliant Open Access: | 5 May 2017 | ||||||||
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