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Letter to the Editor: on the use of improper priors for the shape parameters of asymmetric exponential power models

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Abstract

In this note, I address the use of improper priors on the shape parameters of some asymmetric exponential power models. It is shown that the use of certain prior structures, with improper priors on the shape parameters, lead to improper posteriors. These results imply that the posteriors associated to some of the asymmetric exponential power models studied in Naranjo et al. (2014) are improper. Alternative improper priors, inspired by the structure of the independence Jeffreys prior, as well as vague proper priors are pointed out.

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Acknowledgments

We thank an Associate Editor for helpful comments that improved the quality of the manuscript. FJR gratefully acknowledges support from EPSRC grant EP/K007521/1.

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  1. Department of Statistics, University of Warwick, Coventry,  CV4 7AL, UK

    F. J. Rubio

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  1. F. J. Rubio
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Correspondence to F. J. Rubio.

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Rubio, F.J. Letter to the Editor: on the use of improper priors for the shape parameters of asymmetric exponential power models. Stat Comput 25, 1281–1287 (2015). https://doi.org/10.1007/s11222-014-9479-8

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  • DOI: https://doi.org/10.1007/s11222-014-9479-8

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