Article ID Journal Published Year Pages File Type
416390 Computational Statistics & Data Analysis 2016 12 Pages PDF
Abstract

Bayesian estimators are developed and compared with the maximum likelihood estimators for the two-piece location–scale models, which contain several well-known distributions such as the asymmetric Laplace distribution, the two-piece normal distribution, and the two-piece Student-tt distribution. For the validity of Bayesian analysis, it is essential to use priors that could lead to proper posterior distributions. Specifically, reference priors with partial information have been considered. A sufficient and necessary condition is established to guarantee the propriety of the posterior distribution under a general class of priors. The performance of the proposed approach is illustrated through extensive simulation studies and real data analysis.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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