Journal
STATISTICS & PROBABILITY LETTERS
Volume 113, Issue -, Pages 23-29Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2016.02.003
Keywords
Bayesian inference; Objective priors; Robustness to outliers
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We derive objective priors for linear model with independent Student-t errors with unknown degrees of freedom v. It is shown that most of them preclude the existence of a proper posterior distribution unless we are willing to truncate the possible values of v a priori. (C) 2016 Elsevier B.V. All rights reserved.
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