Reference and Probability-Matching Priors for the Parameters of a Univariate Student t-Distribution

04/15/2021
by   A. J. van der Merwe, et al.
0

In this paper reference and probability-matching priors are derived for the univariate Student t-distribution. These priors generally lead to procedures with properties frequentists can relate to while still retaining Bayes validity. The priors are tested by performing simulation studies. The focus is on the relative mean squared error from the posterior median (MSE(ν)/ν) and on the frequentist coverage of the 95% credibility intervals for a sample size of n=30. Average interval lengths of the credibility intervals as well as the modes of the interval lengths based on 2000 simulations are also considered. The performance of the priors are also tested on real data, namely daily logarithmic returns of IBM stocks.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
11/16/2021

Bayesian, frequentist and fiducial intervals for the difference between two binomial proportions

Estimating the difference between two binomial proportions will be inves...
research
06/08/2021

Sensitivity analysis for random measurement error using regression calibration and simulation-extrapolation

Sensitivity analysis for measurement error can be applied in the absence...
research
01/16/2018

The Frechet distribution: Estimation and Application an Overview

In this article, we consider the problem of estimating the parameters of...
research
04/29/2020

Objective priors for divergence-based robust estimation

Objective priors for outlier-robust Bayesian estimation based on diverge...
research
12/05/2019

Inference for Two Lomax Populations Under Joint Type-II Censoring

Lomax distribution has been widely used in economics, business and actua...
research
05/19/2021

Comparing Kullback-Leibler Divergence and Mean Squared Error Loss in Knowledge Distillation

Knowledge distillation (KD), transferring knowledge from a cumbersome te...
research
07/22/2018

The Median Probability Model and Correlated Variables

The median probability model (MPM) Barbieri and Berger (2004) is defined...

Please sign up or login with your details

Forgot password? Click here to reset