Objective Bayesian analysis for the Student-t regression model

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.