Objective Bayesian analysis for the Student-t regression model |
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Authors: | Fonseca, Thais C. O. Ferreira, Marco A. R. Migon, Helio S. |
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Affiliation: | Department of Statistics, University of Warwick, Coventry CV4 7AL, U.K. T.C.O.Fonseca{at}warwick.ac.uk |
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Abstract: | We develop a Bayesian analysis based on two different Jeffreyspriors for the Student-t regression model with unknown degreesof freedom. It is typically difficult to estimate the numberof degrees of freedom: improper prior distributions may leadto improper posterior distributions, whereas proper prior distributionsmay dominate the analysis. We show that Bayesian analysis witheither of the two considered Jeffreys priors provides a properposterior distribution. Finally, we show that Bayesian estimatorsbased on Jeffreys analysis compare favourably to other Bayesianestimators based on priors previously proposed in the literature. |
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Keywords: | Heavy tail behaviour Jeffreys prior Robustness to outliers |
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