Objective Bayesian Analysis for the Student-t Linear Regression

被引：10

作者：

He, Daojiang ^{[1
]}

Sun, Dongchu ^{[2
,3
]}

He, Lei ^{[1
]}

机构：

[1] Anhui Normal Univ, Dept Stat, Wuhu 241003, Peoples R China

[2] Univ Nebraska, Dept Stat, Lincoln, NE 68583 USA

[3] East China Normal Univ, Sch Stat, Shanghai 200062, Peoples R China

来源：

BAYESIAN ANALYSIS | 2021年 / 16卷 / 01期

基金：

中国国家自然科学基金;

关键词：

scale mixture of normals; reference prior; independent Jeffreys prior; STOCHASTIC VOLATILITY; REFERENCE PRIORS; MODELS; DISTRIBUTIONS; VARIANCE; FREEDOM;

D O I：

10.1214/20-BA1198

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, objective Bayesian analysis for the Student-t linear regression model with unknown degrees of freedom is studied. The reference priors under all the possible group orderings for the parameters in the model are derived. The posterior propriety under each reference prior is validated by considering a larger class of priors. Simulation studies are carried out to investigate the frequentist properties of Bayesian estimators based on the reference priors. Finally, the Bayesian approach is applied to two real data sets.

引用

页码：129 / 145

页数：17

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