The use of Jeffreys priors for the Student-tdistribution

DOI10.1080/00949655.2011.563239zbMATH Open1431.62476OpenAlexW2035854688MaRDI QIDQ5300796FDOQ5300796

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

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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)

Cites Work

• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• 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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