A simulation study to compare reference and other priors in the case of a standard univariate Student t-distribution

DOI10.37920/SASJ.2022.56.2.2OpenAlexW4312416852MaRDI QIDQ5039385

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Publication date: 12 October 2022

Published in: South African Statistical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37920/sasj.2022.56.2.2

zbMATH Keywords

mean squared errorreference priorscredibility intervals\(t\)-distributionlog-returnsprobability-matching priorcoverage percentages

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15)

Uses Software

• Unnamed Item
• Ecdat

Cites Work

• Posterior property of Student-\(t\) linear regression model using objective priors
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• Bayesian computation for logistic regression
• ML estimation of the multivariate \(t\) distribution and the EM algorithm
• Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
• A Bayesian approach for assessing process precision based on multiple samples
• Objective Bayesian analysis for the Student-\(t\) linear regression
• Objective Bayesian analysis for the Student-t regression model
• On Bayesian Modeling of Fat Tails and Skewness
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Multivariate T-Distributions and Their Applications
• On Priors Providing Frequentist Validity for Bayesian Inference
• 'Objective Bayesian analysis for the Student-t regression model'

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