Posterior moments and quantiles for the normal location model with Laplace prior
| Autor: | Franco Peracchi, Jan R. Magnus, Giuseppe De Luca |
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| Přispěvatelé: | Giuseppe De Luca, Jan R Magnu, Franco Peracchi, Econometrics and Data Science, Econometrics and Operations Research |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Laplace priors Laplace prior Location parameter reflected generalized gamma prior Settore SECS-P/05 Posterior probability 0211 other engineering and technologies Settore SECS-P/05 - Econometria 02 engineering and technology 01 natural sciences Cornish-Fisher approximation 010104 statistics & probability Statistics::Methodology posterior quantile 0101 mathematics posterior moments and cumulants Mathematics reflected generalized gamma priors 021103 operations research Laplace transform Location model Mathematical analysis Statistics::Computation posterior moments and cumulant Cornish–Fisher approximation Settore SECS-S/01 - Statistica Normal location model posterior quantiles Quantile |
| Zdroj: | De Luca, G, Magnus, J R & Peracchi, F 2021, ' Posterior moments and quantiles for the normal location model with Laplace prior ', Communications in Statistics-Theory and Methods, vol. 50, no. 17, pp. 4039-4049 . https://doi.org/10.1080/03610926.2019.1710756 Communications in Statistics-Theory and Methods, 50(17), 4039-4049. Taylor and Francis Ltd. |
| ISSN: | 1532-415X 0361-0926 |
| DOI: | 10.1080/03610926.2019.1710756 |
| Popis: | We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter η in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of η. |
| Databáze: | OpenAIRE |
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