Advanced Search
MyIDEAS: Login

Reference Priors For Non-Normal Two-Sample Problems

Contents:

Author Info

  • Fernández, C.
  • Steel, M.F.J.

    (Tilburg University, Center for Economic Research)

Abstract

The reference prior algorithm (Berger and Bernardo, 1992) is applied to locationscale models with any regular sampling density. A number of two-sample problems is analyzed in this general context, extending the di erence, ratio and product of Normal means problems outside Normality, while explicitly considering possibly di erent sizes for each sample. Since the reference prior turns out to be improper in all cases, we examine existence of the resulting posterior distribution and its moments under sampling from scale mixtures of Normals. In the context of an empirical example, it is shown that a reference posterior analysis is numerically feasible and can display some sensitivity to the actual sampling distributions. This illustrates the practical importance of questioning the Normality assumption.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://arno.uvt.nl/show.cgi?fid=3619
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Richard Broekman)
Download Restriction: no

Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1997-104.

as in new window
Length:
Date of creation: 1997
Date of revision:
Handle: RePEc:dgr:kubcen:1997104

Contact details of provider:
Web page: http://center.uvt.nl

Related research

Keywords: Behrens-Fisher problem; Fieller-Creasy problem; Gibbs sampling; Jeffreys' prior; location-scale model; posterior existence; product of means; scale mixtures of normals; skewness;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
  2. Steel, M.F.J., 1991. "Bayesian Inference in Time Series," Papers 9153, Tilburg - Center for Economic Research.
  3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
  4. S. Ghosal, 1997. "Reference priors in multiparameter nonregular cases," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 6(1), pages 159-186, June.
  5. D. Stephens & A. Smith, 1992. "Sampling-resampling techniques for the computation of posterior densities in normal means problems," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 1(1), pages 1-18, December.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dgr:kubcen:1997104. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.