CA Vallejos and MFJ Steel
On posterior prorietary for the student-t linear regression model under Jeffreys priors
Abstract: Regression models with fat-tailed error terms are an increasingly popular choice to obtain more robust inference to the presence of outlying observations. This article focuses on Bayesian inference for the Student-t linear regression model under objective priors that are based on the Jeffreys rule. Posterior propriety results presented in Fonseca et al. (2008) are revisited and one result is corrected. In particular, it is shown that the standard Jeffreys rule prior precludes the existence of a proper posterior distribution.
Keywords: Student-t linear regression; Jeffreys prior; Posterior existence.