The use of Jeffreys priors for the Student-tdistribution

DOI10.1080/00949655.2011.563239zbMath1431.62476OpenAlexW2035854688MaRDI QIDQ5300796

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

quantile estimationrisk managementJeffreys priorStudent-\(t\) distributionvalue at riskprobability-matching prior

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Bayesian prediction with approximate frequentist validity.
• On Bayesian value at risk: from linear to non-linear portfolios
• Objective Bayesian analysis for the Student-t regression model

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