The extended exponential power distribution and Bayesian robustness

In this paper, it is demonstrated that an extension to the exponential power family allows for robustness characteristics for the normal location parameter problem, previously thought to be restricted to the Student-t and a subclass of the positive stable families.

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Year of publication:	2003
Authors:	Choy, S. T. Boris ; Walker, Stephen G.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 65.2003, 3, p. 227-232
Publisher:	Elsevier
Keywords:	Bayesian robustness analysis Scale mixtures of uniforms Exponential power and double exponential distributions Gibbs sampling Winsoring

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

Persistent link: https://www.econbiz.de/10005211781