IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/f73addd1-a64c-4157-b443-a2e3525b599b.html
   My bibliography  Save this paper

Robust Bayesian inference in LQ-spherical models

Author

Listed:
  • Osiewalski, J.
  • Steel, M.F.J.

    (Tilburg University, School of Economics and Management)

Abstract

The 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Osiewalski, J. & Steel, M.F.J., 1994. "Robust Bayesian inference in LQ-spherical models," Other publications TiSEM f73addd1-a64c-4157-b443-a, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:f73addd1-a64c-4157-b443-a2e3525b599b
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1180362/OJSMFJ5613006.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. José T. A. S. Ferreira & Mark F. J. Steel, 2005. "Modelling directional dispersion through hyperspherical log‐splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(4), pages 599-616, September.
    2. Fernández, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 2001. "Robust Bayesian Inference on Scale Parameters," Journal of Multivariate Analysis, Elsevier, vol. 77(1), pages 54-72, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Falk, Michael, 1998. "A Note on the Comedian for Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 306-317, November.
    2. Kume, Alfred & Hashorva, Enkelejd, 2012. "Calculation of Bayes premium for conditional elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 632-635.
    3. Jacob, P. & Suquet, Ch., 1997. "Regression and asymptotical location of a multivariate sample," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 173-179, September.
    4. Valdez, Emiliano A. & Chernih, Andrew, 2003. "Wang's capital allocation formula for elliptically contoured distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 517-532, December.
    5. Preinerstorfer, David & Pötscher, Benedikt M., 2017. "On The Power Of Invariant Tests For Hypotheses On A Covariance Matrix," Econometric Theory, Cambridge University Press, vol. 33(1), pages 1-68, February.
    6. Peng Ding, 2016. "On the Conditional Distribution of the Multivariate Distribution," The American Statistician, Taylor & Francis Journals, vol. 70(3), pages 293-295, July.
    7. Fraiman, Ricardo & Moreno, Leonardo & Ransford, Thomas, 2023. "A Cramér–Wold theorem for elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
    8. Arellano-Valle, Reinaldo B., 2001. "On some characterizations of spherical distributions," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 227-232, October.
    9. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
    10. Jamalizadeh, A. & Balakrishnan, N., 2010. "Distributions of order statistics and linear combinations of order statistics from an elliptical distribution as mixtures of unified skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1412-1427, July.
    11. Gómez, Héctor W. & Quintana, Fernando A. & Torres, Francisco J., 2007. "A new family of slash-distributions with elliptical contours," Statistics & Probability Letters, Elsevier, vol. 77(7), pages 717-725, April.
    12. Santiago Pereda-Fernández, 2021. "Copula-Based Random Effects Models for Clustered Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 575-588, March.
    13. Ansari, Jonathan & Rüschendorf, Ludger, 2021. "Ordering results for elliptical distributions with applications to risk bounds," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
    14. Adolfo Quiroz & Miguel Nakamura & Francisco Pérez, 1996. "Estimation of a multivariate Box-Cox transformation to elliptical symmetry via the empirical characteristic function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(4), pages 687-709, December.
    15. Heckelei, Thomas & Mittelhammer, Ronald C., 1996. "Bayesian Bootstrap Analysis of Systems of Equations," Discussion Papers 18786, University of Bonn, Institute for Food and Resource Economics.
    16. Hans Manner & Johan Segers, 2009. "Tails of correlation mixtures of elliptical copulas," Papers 0912.3516, arXiv.org.
    17. Heather Battey & Oliver Linton, 2013. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," CeMMAP working papers 15/13, Institute for Fiscal Studies.
    18. Krzysztof Dȩbicki & Enkelejd Hashorva & Lanpeng Ji & Chengxiu Ling, 2015. "Extremes of order statistics of stationary processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 229-248, June.
    19. Deimen, Inga & Szalay, Dezsö, 2014. "Smooth, strategic communication," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100333, Verein für Socialpolitik / German Economic Association.
    20. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:f73addd1-a64c-4157-b443-a2e3525b599b. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.