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On the independence Jeffreys prior for skew-symmetric models

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  • Rubio, Francisco Javier
  • Liseo, Brunero

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.

Suggested Citation

  • Rubio, Francisco Javier & Liseo, Brunero, 2014. "On the independence Jeffreys prior for skew-symmetric models," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 91-97.
    • Handle: RePEc:eee:stapro:v:85:y:2014:i:c:p:91-97
    DOI: 10.1016/j.spl.2013.11.012
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    References listed on IDEAS

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    1. Stefanski, Leonard A., 1991. "A normal scale mixture representation of the logistic distribution," Statistics & Probability Letters, Elsevier, vol. 11(1), pages 69-70, January.
    2. Saralees Nadarajah, 2009. "The skew logistic distribution," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(2), pages 187-203, June.
    3. Fernández, Carmen & Steel, Mark F.J., 2000. "Bayesian Regression Analysis With Scale Mixtures Of Normals," Econometric Theory, Cambridge University Press, vol. 16(1), pages 80-101, February.
    4. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
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    Cited by:

    1. Li, W. & Rubio, F.J., 2022. "On a prior based on the Wasserstein information matrix," Statistics & Probability Letters, Elsevier, vol. 190(C).

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