We study the Jeffreys prior of the skewness parameter of a general class of scalar skew-symmetric models. We show that this prior is symmetric, proper, and with tails O (|λ| -3 / 2) under mild regularity conditions. We also calculate the independence Jeffreys prior for the case with unknown location and scale parameters, and investigate conditions for the propriety of the corresponding posterior distribution. © 2013 Elsevier B.V.
On the independence Jeffreys prior for skew-symmetric models / Francisco Javier, Rubio; Liseo, Brunero. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 85:1(2014), pp. 91-97. [10.1016/j.spl.2013.11.012]
On the independence Jeffreys prior for skew-symmetric models
LISEO, Brunero
2014
Abstract
We study the Jeffreys prior of the skewness parameter of a general class of scalar skew-symmetric models. We show that this prior is symmetric, proper, and with tails O (|λ| -3 / 2) under mild regularity conditions. We also calculate the independence Jeffreys prior for the case with unknown location and scale parameters, and investigate conditions for the propriety of the corresponding posterior distribution. © 2013 Elsevier B.V.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
