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Bayesian analysis of two-piece location–scale models under reference priors with partial information

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  • Tu, Shiyi
  • Wang, Min
  • Sun, Xiaoqian

Abstract

Bayesian estimators are developed and compared with the maximum likelihood estimators for the two-piece location–scale models, which contain several well-known distributions such as the asymmetric Laplace distribution, the two-piece normal distribution, and the two-piece Student-t distribution. For the validity of Bayesian analysis, it is essential to use priors that could lead to proper posterior distributions. Specifically, reference priors with partial information have been considered. A sufficient and necessary condition is established to guarantee the propriety of the posterior distribution under a general class of priors. The performance of the proposed approach is illustrated through extensive simulation studies and real data analysis.

Suggested Citation

  • Tu, Shiyi & Wang, Min & Sun, Xiaoqian, 2016. "Bayesian analysis of two-piece location–scale models under reference priors with partial information," Computational Statistics & Data Analysis, Elsevier, vol. 96(C), pages 133-144.
    • Handle: RePEc:eee:csdana:v:96:y:2016:i:c:p:133-144
    DOI: 10.1016/j.csda.2015.11.002
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    Cited by:

    1. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2020. "Loss-based approach to two-piece location-scale distributions with applications to dependent data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 309-333, June.

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