Dette, H; Ley, C; Rubio, F; (2018) Natural (Non‐)Informative Priors for Skew‐symmetric Distributions. Scandinavian Journal of Statistics , 45 (2) pp. 405-420. 10.1111/sjos.12306.

Preview

Text S18.pdf - Accepted Version Download (432kB) | Preview

Abstract

In this paper, we present an innovative method for constructing proper priors for the skewness (shape) parameter in the skew‐symmetric family of distributions. The proposed method is based on assigning a prior distribution on the perturbation effect of the shape parameter, which is quantified in terms of the total variation distance. We discuss strategies to translate prior beliefs about the asymmetry of the data into an informative prior distribution of this class. We show via a Monte Carlo simulation study that our non‐informative priors induce posterior distributions with good frequentist properties, similar to those of the Jeffreys prior. Our informative priors yield better results than their competitors from the literature. We also propose a scale‐invariant and location‐invariant prior structure for models with unknown location and scale parameters and provide sufficient conditions for the propriety of the corresponding posterior distribution. Illustrative examples are presented using simulated and real data.

Download activity - last month

Export as CSVJSONXML

Download activity - last 12 months

Export as XMLJSONCSV

Downloads by country - last 12 months

Export as JSONXMLCSV

Archive Staff Only

View Item