[Forum SIS] Seminario prof. Cristiano Villa, Sapienza Economia 18 aprile ore 13

[Brunero Liseo]

SEMINARIO

ROMA - 18 APRILE 2013
AULA A. FANFANI,  ORE: 13
Objective prior for the number of degrees of freedom of a t distribution

RELATORE:
Prof. Cristiano Villa, University of Kent

Luogo: Viale del Castro Laurenziano, 9
Dipartimento MEMOTEF, Sapienza Università di Roma

n.b. L'aula Fanfani si trova al quinto piano dell'edificio.


Brunero Liseo

brunero.liseo a uniroma1.it

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ABSTRACT.

We construct an objective prior for the degrees of freedom of a t
distribution,
when the parameter is taken to be discrete. This parameter is typically
problematic to estimate
and a problem in objective Bayesian inference since improper priors 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.

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Brunero Liseo
*Dip. di metodi e modelli per il territorio, l'economia e la finanza *
*Sapienza Università di Roma*
*Viale Castro Laurenziano, 9 Roma I-00161
*Tel. +39 06 49766973
Fax +39 06 4957606
http://geostasto.eco.uniroma1.it/utenti/liseo
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