Bayesian analysis of two-piece location–scale models under reference priors with partial information

Shiyi Tu, Min Wang and Xiaoqian Sun

Computational Statistics & Data Analysis, 2016, vol. 96, issue C, 133-144

Abstract: Bayesian estimators are developed and compared with the maximum likelihood estimators for the two-piece location–scale models, which contain several well-known distributions such as the asymmetric Laplace distribution, the two-piece normal distribution, and the two-piece Student-t distribution. For the validity of Bayesian analysis, it is essential to use priors that could lead to proper posterior distributions. Specifically, reference priors with partial information have been considered. A sufficient and necessary condition is established to guarantee the propriety of the posterior distribution under a general class of priors. The performance of the proposed approach is illustrated through extensive simulation studies and real data analysis.

Keywords: Two-piece location–scale models; Asymmetric Laplace distribution; Objective priors; Reference priors with partial information; Posterior distribution (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:96:y:2016:i:c:p:133-144

DOI: 10.1016/j.csda.2015.11.002

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