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Posterior moments and quantiles for the normal location model with Laplace prior

Giuseppe De Luca (), Jan Magnus () and Franco Peracchi ()

No 1911, EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF)

Abstract: We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of the same parameter.

Pages: 12
Date: 2019, Revised 2019-06
New Economics Papers: this item is included in nep-ecm
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Journal Article: Posterior moments and quantiles for the normal location model with Laplace prior (2021) Downloads
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