The use of Jeffreys priors for the Student-tdistribution

DOI10.1080/00949655.2011.563239MaRDI QIDQ5300796zbMATH OpenOpenAlexFDO

Authors Kwok-Wah Ho

Publication date 28 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.563239

zbMATH Keywords

Jeffreys priorvalue at riskrisk managementStudent-\(t\) distributionquantile estimationprobability-matching prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• A simulation study to compare reference and other priors in the case of a standard univariate Student \(t\)-distribution
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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Bayesian prediction with approximate frequentist validity.
• Objective Bayesian analysis for the Student-t regression model
• On Bayesian value at risk: from linear to non-linear portfolios

Cited in

(5)

• A simulation study to compare reference and other priors in the case of a standard univariate Student \(t\)-distribution
• scientific article; zbMATH DE number 1983613 (Why is no real title available?)
• Objective Bayesian analysis for the Student-\(t\) linear regression
• Objective Bayesian analysis for the Student-t regression model
• On the Jeffreys prior for the multivariate Ewens distribution

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