A Bayesian Regression Model for the Non-standardized t Distribution with Location, Scale and Degrees of Freedom Parameters

Margarita Marín () and Edilberto Cepeda-Cuervo ()
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Margarita Marín: Universidad Nacional de Colombia
Edilberto Cepeda-Cuervo: Universidad Nacional de Colombia

Sankhya B: The Indian Journal of Statistics, 2022, vol. 84, issue 2, No 16, 809-830

Abstract: Abstract In this paper we propose Bayesian non-standardized t regression models with unknown degrees of freedom, where both location and scale parameters follow regression structures, and a Bayesian method to fit the proposed models and obtain posterior parameter inferences when the degrees of freedom are assumed to be continuous or discrete. Assuming uniform (discrete and continuous), exponential, Jeffreys and Poisson prior distributions, we develop a R-Bayesian t-regression package to obtain the posterior parameter estimates, applying a discrete and a continuous random walks in discrete and bounded real intervals, respectively. We also compare our proposal according to the usual maximum likelihood criteria, through simulations and an application to a financial dataset. In these simulations and the application, we find that our proposal has the best performance when we use the AIC, BIC and DIC criterions.

Keywords: T regression; bayesian model; metropolis-hasting.; Primary; 62J05 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s13571-022-00288-z

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