Objective prior for the number of degrees of freedom of a t distribution

DOI10.1214/13-BA854zbMATH Open1327.62168MaRDI QIDQ899016FDOQ899016

Cristiano Villa, Stephen G. Walker

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1393251776

zbMATH Keywords

linear regressionKullback-Leibler divergenceobjective priorrobust analysis\(t\) distributionfinancial returnself-information loss function

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-tDistributions
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• Objective Priors for Discrete Parameter Spaces
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• Local divergence and association
• An Objective Approach to Prior Mass Functions for Discrete Parameter Spaces
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Cited In (12)

• Posterior property of Student-\(t\) linear regression model using objective priors
• Prior distributions for objective Bayesian analysis
• A Bayesian approach for mixed effects state-space models under skewness and heavy tails
• Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• Inducing high spatial correlation with randomly edge-weighted neighborhood graphs
• Objective Bayesian analysis for the Student-\(t\) linear regression
• Bayesian inversion with Student's \(t\) priors based on Gaussian scale mixtures
• A simulation study to compare reference and other priors in the case of a standard univariate Student t-distribution
• An Objective Bayesian Criterion to Determine Model Prior Probabilities
• A Bayesian regression model for the non-standardized \(t\) distribution with location, scale and degrees of freedom parameters
• Bayesian linear regression models with flexible error distributions

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