On Robust Analysis of a Normal Location Parameter

S.T. Boris Choy () and Adrian F. M. Smith

Journal of the Royal Statistical Society Series B, 1997, vol. 59, issue 2, 463-474

Abstract: Pericchi and Smith considered a normal location parameter problem with double‐exponential and Student t prior distributions. These two prior distributions both belong to the class of scale mixtures of normal distributions and are useful in providing a robust analysis of the normal location parameter problem. In this paper we extend the analysis to other scale mixtures of normal distributions, such as the exponential power and the symmetric stable distributions.

Date: 1997
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