On the Uniform Approximation of Laplace's Prior by t-Priors in Location Problems

The problem of deriving robust and classically acceptable Bayesian inference on location parameters is considered in this paper. The main result of the paper allows one to obtain uniform posterior approximation starting with likelihood functions with heavy tails, e.g., t-distributions with unknown location. The approximations of the relevant Bayes quantities are obtained as Well.

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Year of publication:	1995
Authors:	Mukhopadhyay, S. ; Ghosh, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 54.1995, 2, p. 284-294
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005199488