Bayesian Analysis

Comment on Article by Rubio and Steel

Robert E. Weiss and Marc A. Suchard

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We discuss Rubio and Steel (2014). We discuss whether Jeffreys priors are worth the attention given to them, then move on to discuss the concepts of valid Bayesian inference and benchmark Bayesian inference. We briefly investigate the skew-normal and skew-t(4) models for variables in the Australian Institute of Sport (AIS) data to investigate the range of estimates that occur for the skewness parameter. The discussion closes by wondering whether we shouldn’t just use a Dirichlet Process Mixture instead of a skew-normal or skew-t.

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Bayesian Anal., Volume 9, Number 1 (2014), 29-38.

First available in Project Euclid: 24 February 2014

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Jeffreys prior Valid Bayesian inference Benchmark Bayesian inference Skew normal Split normal


Weiss, Robert E.; Suchard, Marc A. Comment on Article by Rubio and Steel. Bayesian Anal. 9 (2014), no. 1, 29--38. doi:10.1214/13-BA870.

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See also

  • Related item: Francisco J. Rubio, Mark F. J. Steel. Inference in Two-Piece Location-Scale Models with Jeffreys Priors. Bayesian Anal., Vol. 9, Iss. 1 (2014) 1–22.