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

DOI10.1214/13-BA854MaRDI QIDQ899016zbMATH OpenFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3905641 (Why is no real title available?)
• scientific article; zbMATH DE number 3291685 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
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• Local divergence and association
• Model-based clustering of non-Gaussian panel data based on skew-\(t\) distributions
• Multivariate Student-t regression models: Pitfalls and inference
• Objective Bayesian analysis for the Student-t regression model
• Objective priors for discrete parameter spaces
• On Information and Sufficiency
• Probability and statistics for finance.
• Robust m-estimators of multivariate location and scatter
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• Universal prediction

Cited in

(12)

• A simulation study to compare reference and other priors in the case of a standard univariate Student \(t\)-distribution
• Posterior property of Student-t linear regression model using objective priors
• Prior distributions for objective Bayesian analysis
• An objective Bayesian criterion to determine model prior probabilities
• 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
• Objective Bayesian analysis for the Student-\(t\) linear regression
• Inducing high spatial correlation with randomly edge-weighted neighborhood graphs
• Bayesian inversion with Student's \(t\) priors based on Gaussian scale mixtures
• 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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