Title: Objective Bayesian analysis for the Student-t regression model
Abstract:We develop a Bayesian analysis based on two different Jeffreys priors for the Student-t regression model with unknown degrees of freedom. It is typically difficult to estimate the number of degrees of...We develop a Bayesian analysis based on two different Jeffreys priors for the Student-t regression model with unknown degrees of freedom. It is typically difficult to estimate the number of degrees of freedom: improper prior distributions may lead to improper posterior distributions, whereas proper prior distributions may dominate the analysis. We show that Bayesian analysis with either of the two considered Jeffreys priors provides a proper posterior distribution. Finally, we show that Bayesian estimators based on Jeffreys analysis compare favourably to other Bayesian estimators based on priors previously proposed in the literature.Read More
Publication Year: 2008
Publication Date: 2008-02-04
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 135
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