On the independence Jeffreys prior for skew-symmetric models

被引：9
|
作者：
Rubio, Francisco Javier [1 ]
Liseo, Brunero [2 ]
机构：
[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England
[2] Univ Roma La Sapienza, MEMOTEF, Rome, Italy
来源：
STATISTICS & PROBABILITY LETTERS | 2014年 / 85卷
基金：
英国工程与自然科学研究理事会;
关键词：
Posterior existence; Scale mixtures of normals; Skewness; DISTRIBUTIONS; REPRESENTATION;
D O I：
10.1016/j.spl.2013.11.012
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the Jeffreys prior of the skewness parameter of a general class of scalar skew-symmetric models. We show that this prior is symmetric, proper, and with tails O(vertical bar lambda vertical bar(-3/2)) under mild regularity conditions. We also calculate the independence Jeffreys prior for the case with unknown location and scale parameters, and investigate conditions for the propriety of the corresponding posterior distribution. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：91 / 97
页数：7
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