Bayesian inference for the half-normal and half-t distributions

F.J. Giron and A. Pewsey

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this article we consider approaches to Bayesian inference for the half-normal and half-t distributions. We show that a generalized version of the normal-gamma distribution is conjugate to the half-normal likelihood and give the moments of this new distribution. The bias and coverage of the Bayesian posterior mean estimator of the halfnormal location parameter are compared with those of maximum likelihood based estimators. Inference for the half-t distribution is performed using Gibbs sampling and model comparison is carried out using Bayes factors. A real data example is presented which demonstrates the fitting of the half-normal and half-t models.

Date: 2005-07
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws054709

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