6533b824fe1ef96bd1281405
RESEARCH PRODUCT
Posterior moments and quantiles for the normal location model with Laplace prior
Franco PeracchiFranco PeracchiJan R. MagnusGiuseppe De Lucasubject
Statistics and ProbabilityLaplace priorsLaplace priorLocation parameterreflected generalized gamma priorSettore SECS-P/05Posterior probability0211 other engineering and technologiesSettore SECS-P/05 - Econometria02 engineering and technology01 natural sciencesCornish-Fisher approximation010104 statistics & probabilityStatistics::Methodologyposterior quantile0101 mathematicsposterior moments and cumulantsMathematicsreflected generalized gamma priors021103 operations researchLaplace transformLocation modelMathematical analysisStatistics::Computationposterior moments and cumulantCornish–Fisher approximationSettore SECS-S/01 - StatisticaNormal location modelposterior quantilesQuantiledescription
We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter η in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of η.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2021-01-01 | Communications in Statistics - Theory and Methods |