Posterior moments and quantiles for the normal location model with Laplace prior

Giuseppe De Luca, Jan R. Magnus, Franco Peracchi*

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter η in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of η.

Original languageEnglish
JournalCommunications in Statistics - Theory and Methods
DOIs
Publication statusAccepted/In press - 1 Jan 2020

Keywords

  • Cornish–Fisher approximation
  • Laplace priors
  • Normal location model
  • posterior moments and cumulants
  • posterior quantiles
  • reflected generalized gamma priors

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