Robust Bayesian inference in Iq-Spherical models

Jacek Osiewalski and Mark Steel

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: The class of multivariate lq-spherical distributions is introduced and defined through their isodensity surfaces. We prove that, under a Jeffreys' type improper prior on the scale parameter, posterior inference on the location parameters is the same for all lq-spherical sampling models with common q. This gives us perfect inference robustness with respect to any departures from the reference case of independent sampling from the exponential power distribution.

Keywords: Bayesian; inference; Exponential; power; distributions; Inference; robustness; lq-norm; Symmetric; multivariate; distributions (search for similar items in EconPapers)
Date: 1992-07
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:2843

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