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On Robust Analysis of a Normal Location Parameter |
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| Authors: | S T Boris Choy & Adrian F M Smith |
| Institution: | Chinese University of Hong Kong, Shatin, HK,;Imperial College of Science, Technology and Medicine, London, UK |
| Abstract: | Pericchi and Smith considered a normal location parameter problem with double-exponential and Student t prior distributions. These two prior distributions both belong to the class of scale mixtures of normal distributions and are useful in providing a robust analysis of the normal location parameter problem. In this paper we extend the analysis to other scale mixtures of normal distributions, such as the exponential power and the symmetric stable distributions. |
| Keywords: | double-exponential distribution exponential power distribution Laplace approximation to integrals robust analysis scale mixtures of normal distributions stable distribution |