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

Giuseppe De Luca; Jan R. Magnus; Franco Peracchi

doi:10.1080/03610926.2019.1710756

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

Econometrics and Data Science

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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 language	English
Pages (from-to)	4039-4049
Number of pages	11
Journal	Communications in Statistics - Theory and Methods
Volume	50
Issue number	17
Early online date	15 Jan 2020
DOIs	https://doi.org/10.1080/03610926.2019.1710756
Publication status	Published - 2021

Funding

Giuseppe De Luca and Franco Peracchi acknowledge financial support from MIUR PRIN 2015FMRE5X.

Funders	Funder number
Ministero dell’Istruzione, dell’Università e della Ricerca

Keywords

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

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10.1080/03610926.2019.1710756

Posterior moments and quantiles for the normal location model with Laplace priorFinal published version, 1.51 MBLicence: Article 25fa Dutch Copyright Act

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title = "Posterior moments and quantiles for the normal location model with Laplace prior",

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.",

keywords = "Cornish–Fisher approximation, Laplace priors, Normal location model, posterior moments and cumulants, posterior quantiles, reflected generalized gamma priors",

author = "{De Luca}, Giuseppe and Magnus, {Jan R.} and Franco Peracchi",

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T1 - Posterior moments and quantiles for the normal location model with Laplace prior

AU - De Luca, Giuseppe

AU - Magnus, Jan R.

AU - Peracchi, Franco

PY - 2021

Y1 - 2021

N2 - 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.

AB - 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.

KW - Cornish–Fisher approximation

KW - Laplace priors

KW - Normal location model

KW - posterior moments and cumulants

KW - posterior quantiles

KW - reflected generalized gamma priors

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M3 - Article

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EP - 4049

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 17

ER -

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

Abstract

Funding

Keywords

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