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On Robust Analysis of a Normal Location Parameter
Author(s) -
Choy S. T. Boris,
Smith Adrian F. M.
Publication year - 1997
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00079
Subject(s) - location parameter , exponential function , normal distribution , scale parameter , scale (ratio) , mathematics , gamma distribution , class (philosophy) , exponential distribution , statistics , statistical physics , probability distribution , mathematical analysis , physics , computer science , artificial intelligence , quantum mechanics
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.