Robust Bayesian inference in Iq-Spherical models
AbstractThe class of multivariate lq-spherical distributions is introduced and defined through their isodensity surfaces. We prove that, under a Jeffreys' type improper prior on the scale parameter, posterior inference on the location parameters is the same for all lq-spherical sampling models with common q. This gives us perfect inference robustness with respect to any departures from the reference case of independent sampling from the exponential power distribution.
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Bayesian inference; Exponential power distributions; Inference robustness; lq-norm; Symmetric multivariate distributions;
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