BAYESIAN-INFERENCE BASED ON ROBUST PRIORS AND MML ESTIMATORS .2. SKEWLOCATION-SCALE DISTRIBUTIONS

Authors
BIAN G TIKU ML
Citation
G. Bian et Ml. Tiku, BAYESIAN-INFERENCE BASED ON ROBUST PRIORS AND MML ESTIMATORS .2. SKEWLOCATION-SCALE DISTRIBUTIONS, Statistics, 29(1), 1997, pp. 81-99
Citations number
29
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistics → ACNP
ISSN journal
02331888
Volume
29
Issue
1
Year of publication
1997
Pages
81 - 99
Database
ISI
SICI code
0233-1888(1997)29:1<81:BBORPA>2.0.ZU;2-I
Abstract
Motivated by the attractive features of robust priors and MML (modifie d maximum likelihood) estimators, we develop MML estimators and HPD (h ighest posterior density) estimators of the location and scale paramet ers of gamma distribution family which represents a wide class of skew distributions. We show that the proposed estimators have desirable pr operties. This paper is a sequel to an earlier paper (Bian and Tiku 19 95) which deals with a family of symmetric distributions (Student t).