**************************************************************** STATISTICS SEMINARS - COLLEGIO CARLO ALBERTO ****************************************************************

Venerdi' 25 ottobre 2013, alle ore 12.00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario:

JAVIER RUBIO (University of Warwick) BAYESIAN INFERENCE IN TWO-PIECE AND SKEW-SYMMETRIC DISTRIBUTIONS USING JEFFREYS PRIORS

Abstract: We study the Jeffreys prior and the independence Jeffreys prior of general classes of univariate location-scale two-piece and skew-symmetric models. For the case of two-piece models, Jeffreys priors are shown not to allow for Bayesian inference in the wide and practically relevant class of distributions obtained by skewing scale mixtures of normals. Easily checked conditions under which independence Jeffreys priors can be used for valid inference are derived. In the context of scalar skew-symmetric models, it is shown that the Jeffreys prior of the skewness parameter is symmetric about 0, proper, and with tails O(λ^(−3/2)) under mild regularity conditions. Sufficient conditions for the existence of the posterior distribution induced by the independence Jeffreys prior are investigated for the case when the sampling model belongs to the family of skew-symmetric scale mixtures of normal distributions.

Joint work with Mark F.J. Steel and Brunero Liseo.

Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Il programma dei seminari puo' essere consultato alla pagina http://www.carloalberto.org/events/seminars/statistics/

--------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero