Journal
BIOMETRIKA
Volume 95, Issue 2, Pages 325-333Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asn001
Keywords
heavy tail behaviour; Jeffreys prior; robustness to outliers
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We develop a Bayesian analysis based on two different Jeffreys priors for the Student-t regression model with unknown degrees of freedom. It is typically difficult to estimate the number of degrees of freedom: improper prior distributions may lead to improper posterior distributions, whereas proper prior distributions may dominate the analysis. We show that Bayesian analysis with either of the two considered Jeffreys priors provides a proper posterior distribution. Finally, we show that Bayesian estimators based on Jeffreys analysis compare favourably to other Bayesian estimators based on priors previously proposed in the literature.
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