期刊
BIOMETRIKA
卷 95, 期 2, 页码 325-333出版社
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asn001
关键词
heavy tail behaviour; Jeffreys prior; robustness to outliers
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据