On Robust Analysis of a Normal Location Parameter

Pericchi and Smith considered a normal location parameter problem with double‐exponential and Student t prior distributions. These two prior distributions both belong to the class of scale mixtures of normal distributions and are useful in providing a robust analysis of the normal location parameter...

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Bibliographic Details
Published inJournal of the Royal Statistical Society. Series B, Statistical methodology Vol. 59; no. 2; pp. 463 - 474
Main Authors Choy, S. T. Boris, Smith, Adrian F. M.
Format Journal Article
LanguageEnglish
Published Oxford, UK and Boston, USA Blackwell Publishers Ltd 1997
Subjects
Bayesian method
Distribution
double-exponential distribution
exponential power distribution
Laplace approximation to integrals
robust analysis
scale mixtures of normal distributions
stable distribution
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Summary:Pericchi and Smith considered a normal location parameter problem with double‐exponential and Student t prior distributions. These two prior distributions both belong to the class of scale mixtures of normal distributions and are useful in providing a robust analysis of the normal location parameter problem. In this paper we extend the analysis to other scale mixtures of normal distributions, such as the exponential power and the symmetric stable distributions.
Bibliography:istex:F9919FB0AC49B881B992218430E4973071076CF2
ark:/67375/WNG-0S2ZJ5ZQ-C
ArticleID:RSSB079
ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1369-7412
1467-9868
DOI:10.1111/1467-9868.00079