[Forum SIS] Seminario 12 Aprile Dott. Villa

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Dott. Cristiano VILLA, della University of Kent (UK), dal titolo:



Objective prior for the number of degrees of freedom

of a t distribution

Venerdì 12 Aprile dalle ore 12,00

in Aula G 117



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1

Abstract:
We construct an objective prior for the degrees of freedom of a t distribution.
This parameter is typically problematic to estimate, especially if the parameter space is restricted to positive integers. This is also a problem in Bayesian inference since improper priors may lead to improper posteriors, whilst proper priors may dominate the data likelihood. We find an objective criterion, based on loss functions, instead of trying to define objective probabilities directly. Truncating the prior on the degrees of freedom is necessary, as the t distribution, above a certain number of degrees of freedom, becomes the normal distribution. The defined prior is tested in simulation scenarios, including linear regression with t-distributed errors, and on real data: the daily returns of the closing Dow Jones index over a period of 98 days.



Segreteria Organizzativa:
Barbara Villa
Addetto Amministrativo Segreteria
Dipartimento di Scienze statistiche
Università Cattolica del Sacro Cuore
Largo Gemelli, 1
Edificio Via Lanzone, 18
20123 Milano
Tel. 02/72342647
Fax 02/72343064
http://dipartimenti.unicatt.it/scienze_statistiche


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