A simulation study to compare reference and other priors in the case of a standard univariate Student t-distribution

DOI10.37920/SASJ.2022.56.2.2MaRDI QIDQ5039385zbMATH OpenOpenAlexFDO

Authors

Publication date 12 October 2022

Published in South African Statistical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.37920/sasj.2022.56.2.2

zbMATH Keywords

\(t\)-distributioncoverage percentagescredibility intervalslog-returnsmean squared errorprobability-matching priorreference priors

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15)

Recommendations

• The use of Jeffreys priors for the Student-tdistribution
• Objective Bayesian analysis for the Student-t linear regression
• Objective Bayesian analysis for the Student-t regression model
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• Posterior property of Student-t linear regression model using objective priors

Cites work

• 'Objective Bayesian analysis for the Student-t regression model'
• A Bayesian approach for assessing process precision based on multiple samples
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bayesian computation for logistic regression
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• ML estimation of the multivariate t distribution and the EM algorithm
• Multivariate T-Distributions and Their Applications
• Objective Bayesian analysis for the Student-t linear regression
• Objective Bayesian analysis for the Student-t regression model
• Objective prior for the number of degrees of freedom of a \(t\) distribution
• Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula
• On Bayesian Modeling of Fat Tails and Skewness
• On Priors Providing Frequentist Validity for Bayesian Inference
• Posterior property of Student-t linear regression model using objective priors

Cited in

(2)

• Objective Bayesian analysis for the Student-t linear regression
• The use of Jeffreys priors for the Student-tdistribution

Describes a project that uses

Uses Software

• Ecdat
• R

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